財務金融研究

Essays on Finance

許惠珠(Hui-Chu Shu)

指導教授 ： 洪茂蔚

國立臺灣大學/管理學院/國際企業學研究所/博士(2008年)

https://doi.org/10.6342/NTU.2008.10050

摘要

本論文主要包括三個部份，第一部分從理論面探討投資人情緒波動對股票市場與債券市場的影響；第二部份採實證分析探討台灣地區天氣變數與投資人情緒及股市報酬間之關聯；第三部份則推導避險者在收入期貨與價格期貨市場之最適避險部位，並探討影響最適避險部位及避險績效之因素。
隨著行為財務學的興起，投資人心理與投資行為間之關聯，成為財務學家探討的焦點。雖然許多實證研究發現，投資人情緒與股價行為間存在著某種關係，但迄今尚無學者從理論面的角度探討投資人情緒波動對財務市場的影響。因此本論文的第一部份，透過修改Lucas(1978)的模型來探討投資人情緒波動如何影響股票與債券市場。本研究首先求出股票與債券均衡價格與期望報酬的封閉解，據此探討情緒波動對資產價格、期望報酬與股權溢價之影響方向與程度。研究結果指出，某些實證上的發現，如投資人心情與資產價格呈現正相關，以及情緒對投資決策的影響在投資人處於正面情緒時較顯著等，可從理論面得到良好解釋。此外，時間偏好的微小變動會造成股價的大幅波動，因此建議將投資人情緒納入考量，有助於解釋股市的過度波動。本研究亦發現，心理學的一些主張可在財務市場得到驗證。
過去二十年來，許多實證研究探討投資人心情代理變數與股市報酬之關聯，其中以天氣最受到矚目。然而實證結果未獲得一致性結論，可能因為天氣對投資人情緒的影響未被證實。因此本論文的第二部份，以台灣股市為研究樣本，探討天氣變數與各項投資人情緒指標及股價報酬間之關係。實證結果發現，較佳的天氣結合較高的投資人情緒與股價報酬，驗證經濟中立變數可能透過影響投資人心理進而影響資產價格，因而違反效率市場假說。此外，個人相較於機構投資人，其投資決策較易受到天氣影響，顯見散戶的投資行為較不理性。本研究建議，將投資人心理納入分析，有助於解釋財務市場現象。
自90年代起，如何協助農業生產者及相關業者規避收入風險，成為美國政府及學界關注的焦點。美國風險管理局引進數種收入保險產品以協助農民降低收入風險，然而收入保險易引發道德風險問題。此外，由於收入風險來自於價格與產出的不確定性，無法單純藉由價格期貨或產出期貨達到避險目的，因此有些學者建議設立收入期貨市場，以提供相關業者更適切的避險工具。本論文的第三部份，探討避險者如何利用收入期貨與價格期貨降低收入風險，並推導在兩市場之最適避險部位。此外，本研究進一步分析在兩期貨為完全替代與不完全替代情況下，避險者的最適避險行為，並比較採用單一市場避險與雙重市場避險之避險績效。研究結果發現，當特有產出風險與系統產出風險關聯度高時，收入期貨的避險效果較佳，避險者應提高收入期貨的避險部位。反之，若特有產出風險與系統產出風險無關，則價格期貨提供較佳的避險功能。此外，當兩期貨為不完全替代時，採用雙重市場避險會優於單一市場避險。

關鍵字

投資人情緒 ； 行為財務 ； 天氣效果 ； 收入期貨 ； 避險策略

並列摘要

This dissertation consists of three parts. In the first part, how investor mood fluctuations influence equity and bill markets is explored. The second part examines the influence of weather on investor sentiment and stock market returns in the Taiwan Stock Exchange. In the last part, we derive the optimal hedging positions in revenue and price futures markets, and compare hedging effectiveness for using either or both futures contracts.
As behavioral finance becomes one of the mainstream theories, considerable research has attempted to link investor mood and financial decision-making. Given the extensive evidence of investor moods influencing asset prices, a theoretical perspective for explaining the influence of mood fluctuations on financial markets is still lacked. Therefore, the first part of this dissertation attempts to fill this gap by investigating how investor mood fluctuations affect equilibrium asset prices, expected returns and equity premiums with a general equilibrium asset-pricing model. By slightly modifying the Lucas (1978) model, we show that several empirical findings can be well interpreted from a theoretical perspective. Furthermore, we show that a slight fluctuation in investor mood may cause a violent fluctuation in equity markets, and hence suggest that taking into consideration of investor mood fluctuations can be better able to explain the over-volatility in financial markets.
During last two decades, the relationship between weather and stock returns has attracted considerable attention. However, previous research regarding the effect of weather on stock returns has provided no consensus conclusion, maybe because whether weather actually affects investor sentiment and behavior has not been demonstrated. The assumption that weather influences stock prices via investor mood makes sense only if there is a clear association among weather, investor sentiment and stock market returns. Thus, the second part investigates the relationship between weather and stock returns, as well as between weather and investor sentiment. The weather variables examined consist of temperature, humidity, and barometric pressure. The empirical results show that the stock market returns and investor sentiment are significantly correlated with weather: the better the weather, the higher the returns and investor sentiment. Notably, this weather effect is more pronounced for individuals than for institutions. This finding supports the psychological argument that weather influences investor mood, which in turn alters investment behavior, and hence stock prices. Moreover, individual investors are found to be more likely to diverge from rationality in investment than are institutional investors.
As agricultural producers and numerous downstream partners face both price and yield uncertainty, the most significant risk they face is revenue risk. How to remove revenue risk has become the central concern of related firms. In the third part, we analyze the optimal hedging decisions for firms and producers facing price and yield uncertainty, assuming price futures and revenue futures are available. Using mean- variance and minimum-variance approaches, we derive the exact solutions of optimal positions in both futures markets, and show that the correlation between idiosyncratic yield risk and systematic yield shock leads to a hedging role for revenue futures. Additionally, the optimal position in price futures market depends on the individual yield risk that is uncorrelated with systematic risk, and greater shocks of systematic yield risk on spot prices increase optimal price futures position while reduce optimal revenue futures position. In comparison, hedging with both futures is superior to using either future in reducing the variance of profit.

並列關鍵字

investor sentiment ； behavioral finance ； weather effect ； revenue futures ； hedging strategy

參考文獻

Ahrens, D. C., 2000, Meteorology today - An introduction to weather, climate and the environment., 6th ed., Pacific Grove, CA: Brooks/Cole.

Allen, A. M. and G. J. Fisher, 1978, Ambient temperature effects on paired associate learning. Ergonomics 21, 95-101

Anderson, R. W. and J. P. Danthine, 1983, The time pattern of hedging and the volatility of futures. Review of Economic Studies 50, 249-266.

Au, K., F. Chan, D. Wang and I. Vertinsky, 2003, Mood in foreign exchange trading: Cognitive processes and performance. Organizational Behavior and Human Decision Processes 91, 322-338.

Babcock, B. A. and D. A. Hennessy, 1996, Input demand under yield and revenue insurance. American Journal of Agricultural Economics 78, 416-27.