投資人情緒與動能生命循環週期相關性之研究

A Study of Relationship:Investor Sentiment and Momentum Life Cycle

江黃凱(Huang-Kai Chiang)

指導教授 ： 王祝三

國立臺北大學/商學院/企業管理學系/碩士(2014年)

摘要

Lee and Swaminathan (2000)提出動能生命週期（Momentum Life Cycle）假說，並發現透過股票週轉率的變化來判斷目前股票是處於動能生命週期中的哪個階段，可以預測股票未來價格動能（price momentum）的大小與方向。另外過去之實證文獻也證實，投資人情緒會影響股票報酬。如Brown and Cliff (2005)即指出，投資人情緒越高亢，則未來股票報酬越低，因為投資人情緒過度樂觀，會推升資產價格，使股價被高估，但未來股價修正後會回到實質價位，故導致未來的負向報酬率。因此本文認為Lee and Swaminathan (2000)所提出的動能生命週期假說中股票週轉率對股票未來價格動能的預測力，很有可能實際導因於投資人情緒。亦即，股票週轉率只是投資人情緒的代理變數，而投資人情緒才是造成未來價格動能之原因。
本文之目的即為檢測投資人情緒是否可以解釋動能生命循環週期假說。根據投資人情緒指標，可判斷投資組合是否將發生反轉（贏家變輸家，輸家變贏家）或繼續保持原來方向（贏家仍然是贏家，輸家仍然是輸家），即以投資人情緒指標連結了「過度反應」現象及「反應不足」的現象。
實證結果顯示投資人情緒僅能解釋動能生命循環週期部分現象，輸家變贏家的反轉部分為顯著，但贏家變輸家之反轉現象需要更長的期間才可確定反轉；而反應不足現象，低投資人情緒之贏家組合較為顯著，高投資人情緒之輸家組合為不顯著，推測為所使用的Feldman(2010)之個股投資人情緒擅長捕捉低投資人情緒，故高投資人情緒表現較為不明顯。

關鍵字

動能生命循環週期 ； 投資人情緒 ； 行為財務

並列摘要

Lee and Swaminathan (2000) put forward momentum life cycle (MLC) hypothesis and found through changes in the stock turnover rate to determine the kinetic energy of the current stock is in what stage of the life cycle, can predict future stock price momentum of size and orientation. Another empirical literature past also confirmed that investor sentiment affects stock returns. Such as Brown and Cliff (2005) pointed out that the more high-pitched investor sentiment, the lower the future stock returns, as investor sentiment overly optimistic, it will push up asset prices, so that the stock is overvalued, but the future price correction will return in real terms the price, it led to a negative future returns. Therefore, this paper considers the kinetic energy of the life cycle hypothesis of Lee and Swaminathan (2000) proposed the stock turnover rate of stock price momentum in the predictive power of the future is likely to arise from the actual investor sentiment. That is, the stock turnover rate is only a proxy for investor sentiment, and investor sentiment is the cause of future price momentum.

並列關鍵字

Investor sentiment ； Momentum life cycle

參考文獻

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