過去文獻發現不理性的投資人會受到管理者從事融資或購回股票、債券的影響,對該公司產生錯誤的評價,因此管理者為了修正其公司的價值,會利用擇時能力進行發行或購回股票、債券等行為。Hirshleifer and Jiang (2010)利用融資或購回股票、負債來建構一個零成本投資組合,藉此捕捉美國股市中投資人的系統性錯誤定價,因此,本文欲研究UMO因子在台灣股市中是否也為一定價因子。實證結果發現,在台灣股市中UMO因子溢酬無法被CAPM模型、Fama and French (1993)三因子模型、Carhart四因子模型、顧廣平四因子模型所解釋。因此,再進一步探討UMO因子是否可以有效地解釋台灣股市中現存的資產定價異常現象。本文發現不論在時間序列、橫斷面、BCS (1998)的檢定方法下,UMO因子對異常現象的解釋能力有限。
Previous studies find that manager use managerial timing to issue or repurchase stock and debt because irrational investors are affected by firms issue or repurchase stock and debt. According to Hirshleifer and Jiang (2010), they built a zero-investment portfolio by issue and repurchase firms, captures investors' systematic misvaluation in U.S. stock market. Therefore, we would like to study whether UMO factor is pricing factor in Taiwan stock market. We find UMO factor premium can not be explained by CAPM model, Fama and French (1993) three factor model, Carhart four factor model, and Ku four factor model. Therefore, we further discuss whether UMO factor explains Taiwan stock market's asset price anomalies. All of time series regression, cross-section regression and BCS (1998) test model, We find that UMO factor only explain partial anomalies.