探討管理階層討論與分析之情緒分析與股價之關聯性

Exploring the Association between Management Discussion and Analysis (MD&A) Sentiment Analytics and Stock Price

林勇光(none)

指導教授 ： 諶家蘭

國立政治大學/商學院/會計學系/碩士(2021年)

https://doi.org/10.6814/NCCU202101164

摘要

由於網路科技之發展演變，投資人會接受到各式各樣之文本資訊，並受到該訊息進一步影響他們的投資決策，惟並非任何訊息都會被投資人所信賴及使用，而本次研究之重點為台灣公司上市每年所發布年報中之管理階層討論與分析段落(MD&A)，年報為公司內部之管理人員所編製，其中內容有關公司目前及未來之業務發展，對於投資人來說信賴度以及影響勢必相較其他文本來的深遠。本次研究以人工判讀之方式建置了適用於中文財經領域以及台灣公司之管理階層討論與分析段落的「財經正負向情緒辭典」，使用情緒分析之單詞袋分類法研究年報中之MD&A文本，以觀察文本情緒與累積異常報酬率(CAR)間之關聯性。

本次研究結果顯示，MD&A段落之情緒中，以負面情緒語調在短、中、長期之事件窗期與CAR皆有較顯著之影響，間接證實在台灣股票市場中，管理階層討論與分析段落所包含之文本情緒與股價市場波動之間存在一定之關聯，進一步推測其對於投資人投資決策變化之關係。

關鍵字

管理階層討論與分析 ； 事件研究法 ； 累積異常報酬率 ； 情緒分析

並列摘要

Due to the development of internet technology, investors will receive a variety of textual information, from which they can assess the overall market trend, and the information will further affect their investment decisions, but not all information will be trusted and used by investors.The focus of this study is the management discussion and analysis (MD&A) paragraph in the annual report issued by Taiwanese listed firms every year. The annual report is compiled by the company’s internal management personnel. The content is about the company’s current and future business development, the trustworthiness and influence for investors are bound to be far-reaching compared to other texts. In this study, a "Finanical Sentiment Dictionary", which is suitable for discussion and analysis paragraphs in the Chinese financial sector and the management of Taiwanese companies, was constructed by manual interpretation. The bag of words classification method of sentiment analysis was used to study the MD&A in the annual report.We observe the correlation between the sentiment of the text and the Cumulative Abnormal Return (CAR).
The results of this research show that in the emotions discussed and analyzed by the management, the negative sentiment tone has a significant impact on the short, medium, and long-term time event windows and the CAR. Indirectly confirms that in the Taiwan market, there is a certain correlation between the sentiment of the text contained in the discussion and analysis paragraphs of the management and the fluctuation of the stock price market, and further speculates its relationship to the changes in investors' investment decisions.

並列關鍵字

Management Discussion and Analysis(MD&A) ； Event Study ； Cumulative Abnormal Return(CAR) ； Sentiment Analysis

參考文獻

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