投資者情緒對股票報酬的預測力-以美國股市為例

The Predictive Power of Investor Sentiment on Stocks: A Case Study of the US Stock Market

張碩倫(Shuo-Lun Chang)

指導教授 ： 吳淑貞

國立暨南國際大學/管理學院/國際企業學系/碩士(2020年)

https://doi.org/10.6837/ncnu202000124

摘要

本文主要探討投資者情緒對股票預測力的影響。本研究基於Baker&Wurgler的方法，刻畫投資者情緒變數，再通過實證模型探討了投資者情緒是否對股票具有預測力以及其報酬關係,並且把股票分為六大類股。以投資者情緒最為預測變數，預測六種投資組合未來的報酬率。分析投資者情緒在六種投資組合的預測力是否具有差異性。最後，對股票市場投資者情绪未來研究方向作出了展望,這些實證結果為深入理解投資者情緒以及其情緒所導致的行為對股票市場產生的影響提供了證據。

關鍵字

投資者情緒 ； 情緒變數 ； 股票市場 ； 股票預測力

並列摘要

This paper mainly discusses the influence of investor sentiment on stock forecasting power.Based on Baker&Wurgler's method, this study depicts investor sentiment variable, and then discusses whether investor sentiment has predictive power for stocks and its reward relationship through empirical model, and divides stocks into six categories.Investor sentiment is the most unpredictable variable to predict the future returns of six investment portfolios.Analyze whether there are differences in the predictive power of investor sentiment in six portfolios.Finally, the future research direction of investor sentiment in the stock market is prospected. These empirical results provide evidence for a deeper understanding of investor sentiment and the impact of the behavior caused by investor sentiment on the stock market.

並列關鍵字

Investor sentiment ； Sentiment variable ； Stock market ； Stock prediction

參考文獻

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