投資者情緒、時間變換的風險溢酬與股價報酬：PSTR模型之應用

Investor sentiment, time-varying risk premiums and stock returns: An application of panel smooth transition regression model

陳哲穎(Che-Ying Chen)

指導教授 ： 吳博欽

中原大學/商學院/國際經營與貿易研究所/碩士(2014年)

https://doi.org/10.6840/cycu201400575

摘要

本文使用縱橫平滑轉換模型的架構探討Fama和French的三因子評價模型，將原本的線性模式修改為非線性的模式，並且使用三個可以代表投資者情緒的代理變數，當作縱橫平滑轉換模型中的轉換變數，藉以研究投資者情緒的代理變數對於股票報酬的門檻效果。研究樣本為台灣證券交易所中的58家半導體公司的報酬率，研究期間為2003年1月至2013年12月。

實證結果顯示，(1)三個因子的風險溢酬會隨著時間變化。(2)在一般的投資情緒的狀態下，持有價值型股票會比持有成長型股票擁有較多的收益；但當市場處在極端的樂觀情緒或是極度悲觀的情緒之下，則持有成長型股票的報酬會優於持有價值型股票。(3)三個代理變數，信用違約互換交易指數、芝加哥選擇權交易所波動率指數、泰德價差，對於三因子模型中的三個風險溢酬，皆呈現複雜的關係。

關鍵字

三因子評價模型 ； 縱橫平滑轉換模型 ； 股價報酬

並列摘要

This thesis reconstructs the Fama-French three-factor model as a panel smooth transition regression (PSTR) framework. We use three proxies of investor sentiment as the transition variable to investigate the threshold effects of the proxies on stock returns, and use 58 semiconductor stocks listed on Taiwan Security Exchange Corporation as sample objects. The sample period spans from 2003 through 2013.

There are several interesting findings. (1) The three risk premiums are time-varying. (2) In normal sentiment of investment, holding value stocks can lead to higher returns than growth stocks. Contrarily, when the investors in stock markets show extreme pessimism or extreme optimism, the returns in holding growth stocks dominate holding value stocks. (3) The three proxies of investor sentiment have different impacts on the three risk premiums, derived from the complicated relationships among the CDS, VIX, and TED spread.

並列關鍵字

credit default swap (CDS) ； Panel smooth transition regression model (PSTR) ； volatility index (VIX) ； TED spread ； three factors pricing model ； stock return

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