分析師關注度、投資人情緒對動能策略之影響

Sentiments, Analyst Coverage, and the Profitability of Momentum

施佩妘(Pei-Yun Shih)

指導教授 ： 王祝三

國立臺北大學/商學院/企業管理學系/碩士(2013年)

摘要

過去許多後續文獻探討Jegadeesh and Titman (1993)所提出的動能報酬現象，如Barberis, Shleifer, and Vishny (1998)發現投資人情緒可解釋動能報酬的異常現象，Hong, Lim, and Stein (2000)則發現分析師關注度低時對動能報酬有顯著影響。然而Bagnoli, Clement, Crawley, and Watts (2009)進一步指出分析師在發佈盈餘預測時，除了考量總體經濟、財務報表等外在因素外，也會考慮投資人情緒。因此，分析師關注度是否真的對動能報酬有解釋能力，還是其實只是間接反映了投資人情緒對動能報酬的解釋力而已，就成了一個有趣的問題，也引發了本文之研究動機。
為確認分析師關注度之解釋力，本文將檢測在移除投資人情緒對動能報酬的影響後，分析師關注度對動能策略報酬是否有顯著影響。本研究使用正交化方法將分析師關注度由投資者情緒可解釋的部分抽離出來，再檢測分析師關注度無法被投資者情緒所解釋的部份對動能報酬的影響是否具有解釋能力。
為了與過去文獻研究結果比較，本文採用與過去文獻相同之美國上市櫃公司股票為樣本。為了研究的完整性，研究方法主要透過時間序列迴歸模型分析，並同時考慮公司規模因子(SMB)與淨值市價比因子(HML)，使用Carhart (1997)的四因子模型進行迴歸分析，而由於四因子模型已將規模、淨值市價比、動能等變數皆納入模型中，因此本研究再分別加入投資者情緒與資訊透明度作為解釋變數，檢測是否受變數的影響出現顯著的結果。其中，投資者情緒使用Frazzini and Lamont (2008)之共同基金流量當個股投資人情緒的代理變數外，也參考Baker and Wurgler (2006)使用封閉型基金折價率、股票週轉率、IPO家數等組成的綜合情緒指標，來檢測整體市場之投資人情緒對橫斷面股票報酬之影響。
本文實證結果發現，剔除投資人情緒影響後之分析師關注度對未來動能報酬具顯著影響，此隱含動能策略並非完全導因於投資人情緒，分析師關注度亦是重要的解釋原因，因此對探討動能策略之後續研究而言，納入分析師關注度作為控制變數確有其必要。

關鍵字

分析師關注度 ； 投資者情緒 ； 動能策略

並列摘要

In the past years, many scholars have discussed about the phenomenon of momentum profits, since Jegadeesh and Titman indicated in 1993. In 1998, Barberis, Shleifer, and Vishny discovered that investors sentiments may explain the abnormal phenomenon. And Hong, Lim, and Stein(2000) talked about the low attentions of analysts have obvious influence with momentum profits. Thus, whether the attentions of analysts could explain the phenomenon of momentum profits was doubted. Perhaps, it was indirectly reflecting the relationship between investors sentiments and momentum profits. Due to this perspective, it triggered the motivation of this paper.
In this paper, the empirical results discovered that analysts attentions had significant influence on future momentum profits, after removing investors sentiments. This implied that momentum profits were not completely attributed from investors sentiments. Analysts attentions were also an important explanation. Thus, involving with analysts attentions as control variable was necessary for sequential study on momentum strategies.
In the past years, many scholars have discussed about the phenomenon of momentum profits, since Jegadeesh and Titman indicated in 1993. In 1998, Barberis, Shleifer, and Vishny discovered that investors sentiments may explain the abnormal phenomenon. And Hong, Lim, and Stein(2000) talked about the low attentions of analysts have obvious influence with momentum profits. Thus, whether the attentions of analysts could explain the phenomenon of momentum profits was doubted. Perhaps, it was indirectly reflecting the relationship between investors sentiments and momentum profits. Due to this perspective, it triggered the motivation of this paper.
In this paper, the empirical results discovered that analysts attentions had significant influence on future momentum profits, after removing investors sentiments. This implied that momentum profits were not completely attributed from investors sentiments. Analysts attentions were also an important explanation. Thus, involving with analysts attentions as control variable was necessary for sequential study on momentum strategies.
In the past years, many scholars have discussed about the phenomenon of momentum profits, since Jegadeesh and Titman indicated in 1993. In 1998, Barberis, Shleifer, and Vishny discovered that investors sentiments may explain the abnormal phenomenon. And Hong, Lim, and Stein(2000) talked about the low attentions of analysts have obvious influence with momentum profits. Thus, whether the attentions of analysts could explain the phenomenon of momentum profits was doubted. Perhaps, it was indirectly reflecting the relationship between investors sentiments and momentum profits. Due to this perspective, it triggered the motivation of this paper.
In this paper, the empirical results discovered that analysts attentions had significant influence on future momentum profits, after removing investors sentiments. This implied that momentum profits were not completely attributed from investors sentiments. Analysts attentions were also an important explanation. Thus, involving with analysts attentions as control variable was necessary for sequential study on momentum strategies.
In the past years, many scholars have discussed about the phenomenon of momentum profits, since Jegadeesh and Titman indicated in 1993. In 1998, Barberis, Shleifer, and Vishny discovered that investors sentiments may explain the abnormal phenomenon. And Hong, Lim, and Stein(2000) talked about the low attentions of analysts have obvious influence with momentum profits. Thus, whether the attentions of analysts could explain the phenomenon of momentum profits was doubted. Perhaps, it was indirectly reflecting the relationship between investors sentiments and momentum profits. Due to this perspective, it triggered the motivation of this paper.
In this paper, the empirical results discovered that analysts attentions had significant influence on future momentum profits, after removing investors sentiments. This implied that momentum profits were not completely attributed from investors sentiments. Analysts attentions were also an important explanation. Thus, involving with analysts attentions as control variable was necessary for sequential study on momentum strategies.

並列關鍵字

Momentum ； Sentiments ； Analyst Coverage, Behavior Finance, Overreaction

參考文獻

Bagnoli, M., Clement, M., Crawley, M., & Watts, S. (2009). The profitability of analysts’ stock recommendations: What role does investor sentiment play? Available at SSRN 1430617. Retrieved from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1430617

Baker, M., & Stein, J.C. (2004). Market liquidity as a sentiment indicator. Journal of Financial Markets, 7(3), 271-299.

Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. Journal of Fnance, 61(4), 1645-1680.

Bergman, N.K., & Roychowdhury, S. (2008). Investor sentiment and corporate disclosure. Journal of Accounting Research, 46(5), 1057-1083.

Brown, G.W., & Cliff, M.T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1), 1-27.