本研究主要目的為依照Rani and Murugappa (2008)所提出的投機強度模型,以台灣上市公司為研究對象,對投機強度與異常報酬率與報酬率動能與反轉之影響進行研究。研究期間為西元2000年1月1日至2008年9月30日。利用各公司每季之資訊代理變數來清除日交易量之一階自我相關係數可由公開及私有資訊所能解釋的部分,殘差的部分即為投資人不以資訊進行投資的盲從程度,亦即本文所定義之投機強度。 本文研究結果分述如下: 1、在投機強度模型中,公司市值、產業別公司大小及以資訊為基礎之交易均與日交易量之一階自我相關係數有正向顯著關係,而分析師關注比例則呈現負向顯著關係。 2、投機強度與累積異常報酬率之間存在正向顯著關係,表示依照Rani and Murugappa (2008)的投機強度模型中所萃取出的投機強度確實可以捕捉到在異常報酬率之中公開資訊以外的訊息。 3、結果顯示只有在高投機強度組合之下的公司,當期及落後的投機強度與報酬率有顯著性的關係,會使整體股價產生動能。並發現在該投資組合之中,由低至高的投機強度會使動能減弱。
The purpose of this study is to discuss the impact of speculative intensity on abnormal returns and momentum and reversal in Taiwan firms from January 1, 2000 to September 30, 2008. We construct a firm-quarter-specific measure of speculative intensity (SPEC) as Rani and Murugappa(2008) for our sample. The SPEC is based on autocorrelation in daily trading volume adjusted for the amount of information available. The empirical results are summarized as follow: 1. The study finds that market value, the number of firms in each industry, and trading based on information have positive relation on autocorrelation in daily trading volume, and the proportion of days with analyst forecasts to total number of days negative relation has a negative relation on autocorrelation in daily trading volume. 2. The study that finds speculative intensity has a significant positive impact on abnormal returns. It suggests that the SPEC measure is capturing something except public information. 3. The study finds that consecutive daily returns tend to display momentum in the high-SPEC portfolio when SPEC is contemporary or lag. And the momentum is decreasing from low-SPEC to high-SPEC in the high-SPEC portfolio.