實時情緒指標運用於主動和被動投資選擇美國股票ETF

Applying A Real-time Sentiment Index on Active or Passive Investments – Using US Equities ETFs

戴如宜(Ju-Yi Tai)

指導教授 ： 石百達

共同指導教授 ： 莊文議(Wen-I Chuang)

國立臺灣大學/管理學院/財務金融學研究所/碩士(2020年)

https://doi.org/10.6342/NTU202001130

摘要

本文建構了以情緒指標作為選擇主動式或被動式投資的投資策略。以美國散戶投資人協會所編制的情緒指標作為情緒指標資料來源，並以專注於美國股市的ETF、大盤指數作為投資標的，建構出投資策略並回測其績效。

關鍵字

情緒指標 ； 投資

並列摘要

This paper constructed investment strategies using sentiment indicators as the choice of doing active or passive investments. Using the real-time sentiment index compiled by the American Association of Individual Investors as the source of sentiment indicators, and using ETFs that focus on the US stock market as investment targets. This paper also showed the back-test result of the strategies.

並列關鍵字

Sentiment Index ； Investment

參考文獻

[1] Jianfeng Yu and Yu Yuan, “Investor sentiment and the mean–variance relation,” The Journal of Financial Economics, Vol. 100, Issue 2, Pages 367-381, May 2011.

[2] Malcolm Baker and Jeffrey Wurgler, “Investor Sentiment and the Cross-Section of Stock Returns,” The Journal of Finance, vol. 61(4), Pages 1645-1680, August 2006.

[3] Mark M. Carhart, “On Persistence in Mutual Fund Performance,” The Journal of Finance, Vol. 52, Pages 57-82, March 1997.

[4] Robert F. Stambaugh, Jianfeng Yu, and Yu Yuan, “The short of it: Investor sentiment and anomalies,” The Journal of Financial Economics, Vol. 104, Issue 2, Pages 288-302, May 2012.

[5] Wai Mun Fong, Benjamin Toh, “Investor sentiment and the MAX effect,” The Journal of Banking Finance, Vol. 46, Issue 2, Pages 190-201, September 2014.