投資人情緒與條件資本資產定價模型於台灣股票市場多空頭時期實證研究

Investor Sentiments as the Conditional Information in Capital Asset Pricing Model during the Bullish and Bearish Periods in Taiwan Stock Market

田洛群(Luo-Chiun Tian)

指導教授 ： 趙莊敏 ； 林淑玲 ； 吳斯偉

國立臺北科技大學/管理學院/商業自動化與管理研究所/碩士(2010年)

https://doi.org/10.6841/NTUT.2010.00315

摘要

資本資產定價模型(CAPM)理論係由Sharpe(1964)、Linter(1965)、Mossin(1966)等人提出，亦稱為Sharpe-Linter form之CAPM，此原始CAPM模型假設市場為效率、完美市場，因此原始CAPM認為只有承擔市場風險(系統風險)才能夠從投資組合中獲得風險溢酬，由於公司特性風險(非系統風險)可藉由完全多角化分散之，因此無法獲得風險溢酬。然而在如此效率市場以及投資人為完全理性的假設下，有許多無論是縱斷面或者是橫斷面的異常現象陸續出現，對CAPM之預期報酬皆會產生影響。最近許多文獻皆發現投資人情緒會影響投資報酬率，因此Ho and Hung(2009)加入了總體經濟的投資人情緒指標做為條件資訊，應用於條件資本資產定價模型中。而本研究則是利用個股關鍵字出現次數，建立公司特性變數的投資人直接情緒指標，並將本研究所延伸的條件資本資產定價模型分為多空頭，最後再討論其在台灣股票市場的實證表現。
本研究採用月頻率資料，將台灣股價加權指數作為整體市場之變數，並以台灣中型100成分股做為模型中的個股變數，而其中所需資料來自於台灣經濟新報資料庫系統(TEJ)，樣本期間為2000年3月至2010年2月。

關鍵字

行為財務 ； 資本資產定價模型 ； 投資人情緒 ； 多空頭時期 ； 異常現象

並列摘要

The capital asset pricing model (CAPM) of Sharpe (1964) and Lintner (1965) has long been a basic tenet of finance. The CAPM theoretically contends that systematic risk is measured by the exposure to the market portfolio, and investors would like to require stock return by the systematic risk from CAPM. In addition, certain studies argue that the CAPM based on the efficient market theory cannot explain the empirical results of the significant relationship between the stock returns and the firm size (Banz, 1981), value(e.g.,Chan et al., 1991), momentum (Jegadeesh and Titman, 1993)and liquidity(Pastor and Stambaugh, 2003). Consequently, these effects have been named as the asset-pricing anomalies. In order to incorporate those anomalies and investor sentiments, this study use the investor sentiment conditional information asset-pricing framework of Ho and Hung (2009) to discuss the effects during the bullish and bearish period in Taiwan Stock Exchange.
The purpose of this study is to examine whether the conditional asset pricing model can explain the conditional expected returns. We run cross-sectional regressions of the estimated risk-adjusted returns on firm size, book-to-market ratio, liquidity and momentum effects. In addition, this study constructs a direct sentiment measure based on the frequency of discussions on the website. Finally, this model will be examined during the bullish and bearish period of the Taiwan Stock Exchange.

並列關鍵字

Behavior finance ； CAPM ； Invenstor sentimet ； Bull and bear market ； Anomalies

參考文獻

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