投資人情緒指標－陽光效應、股票週轉率對新上市股票投資組合超額報酬之實證研究

The Empirical Research of Investors’ Sentiment Index-Sunshine Effect、Stock Turnover on Initial Public Offerings Abnormal Return

陳惠琴(Huei-Chin Chen)

指導教授 ： 歐陽豪

共同指導教授 ： 李政隆(Cheng-Lung Li)

崑山科技大學/商業管理學院/企業管理研究所/碩士(2011年)

摘要

行為財務理論與傳統財務理論的主要差別在於投資者決策過程的假設與投資者對資訊的反應，並且行為財務學派企圖以心理學的角度探索及解釋傳統財務學派所無法解釋的異常現象(market anomalies)，諸如：規模效應(size effect)、元月效應(January effect)、週末效應(weekend effect)、股價短期與長期自我相關(autocorrelation)、新上市股票(Initial Public Offerings; IPOs)短期具有超額報酬及市場過度反應(overeation)等。本研究主要動機及目的在探討影響新上市公司股票短期超額報酬的因素，以及情緒指標－陽光效應、或其代理指標－股票週轉率對新上市公司股票短期超額報酬的解釋力，同時以相同模式探討長期下，新上市公司股票是否仍具超額報酬，以及情緒指標－陽光效應、或其代理指標－股票週轉率對新上市公司股票長期超額報酬的解釋力為何？本研究選定自1996年7月至2005年1月間之新上市股票(IPOs)為研究樣本，符合條件者IPOs公司共232家，其中，『電子零組件』產業有34家IPOs最多，『電腦及週邊設備』產業次之，有31家IPOs，『汽車業』最低，僅1家IPOs。
在短期迴歸分析方面，就Fama-French 三因子模式而言，本研究就發現：在考慮市場風險因子、規模因子及淨值市價比因子等三種風險後，IPOs 仍具有顯著正向的超額報酬，而市場風險因子與規模風險因子對IPOs投資組合短期超額報酬均有顯著的正向影響，淨值市價比風險因子對IPOs投資組合報酬則有不顯著的負向影響；在長期迴歸分析方面，就Fama-French 三因子模式而言，本研究就發現：在考慮市場風險因子、規模因子及淨值市價比因子等三種風險後，IPOs 已不具有顯著正向的超額報酬，而市場風險因子對IPOs投資組合長期超額報酬有顯著的正向影響，規模風險因子與淨值市價比風險因子對IPOs投資組合長期超額報酬有不顯著的正向影響。
在短期延伸因子模式方面，本研究就發現：在考慮市場風險因子、規模因子、淨值市價比因子與投資人情緒風險因子－雲量等四種風險後，IPOs仍有顯著正向的超額報酬，但以初次公開發行股票短期股票週轉率來替代投資人的情緒因子下，IPOs已無顯著正向的超額報酬，投資人情緒風險因子－雲量對IPOs 投資組合短期超額報酬為不顯著的負向影響，而初次公開發行股票短期股票週轉率對IPOs 投資組合報酬為顯著的正向影響，故本研究推論，短期下，投資人情緒指標－陽光效應在台灣並不存在，台灣投資人情緒適當指標應為股票週轉率；在長期延伸因子模式方面，本研究就發現：在考慮市場風險因子、規模因子、淨值市價比因子與投資人情緒風險因子－雲量等四種風險後，IPOs已不具有顯著正向超額報酬，若以初次公開發行股票長期股票週轉率來替代投資人的情緒因子下，IPOs亦無顯著正向的超額報酬，其中，投資人情緒風險因子－雲量對IPOs 投資組合長期超額報酬為不顯著的正向影響，而初次公開發行股票長期股票週轉率對IPOs 投資組合超額報酬亦為不顯著的正向影響，故本研究推論，長期下，投資人情緒指標－陽光效應，投資人情緒適指標－股票週轉率對IPOs 投資組合超額報酬均無顯著影響，長期下，應回歸其基本面來決定IPOs 投資組合超額報酬。

關鍵字

情緒指標 ； Fama-French三因子模式 ； 陽光效應 ； 股票週轉率

並列摘要

The main difference between behavior finance theory and traditional finance theory lies in the assumption of investor decision-making process and the response of investor to information. Besides, the behavior finance school tries to adopt the psychology view to explain the market anomalies which the tradition finance school is unable to explain, such as: size effect, January effect, weekend effect, the autocorrelation of short-term and long-term stock price, and the excess return and overation of market of the Initial Public Offerings (IPOs). The dominant motive and objective of this research is to discuss the key determinants which determine the short term excess return of IPOs. And the explanation power of setiment indicator－shine effect, or it’s proxy indicator－stock turnover on the short run excess return of IPOs. Furthermore, this study use the same model to test whether IPOs still have excess return in the longrun. And the explanation power of of setiment indicator－shine effect, or it’s proxy indicator－stock turnover on the long run excess return of IPOs. This research adopts IPOs from July, 1996 to January, 2005 to be our samples. At last we collect 232 IPOs, where there were 34 IPOs in electronic spare part industry, which is at most, the computer and the ancillary equipment industrial next, which had 31 IPOs, automobile industry is lowest, which only had 1 IPOs.
In the short-term regression analysis, the Fama-French three factor model , this study find that: After considering the factors model－market risk factor, size factor and the ratio of net worth book value to market value, IPOs still had obviously positive excess return of IPOs. The market risk factor and the size factor have remarkable positive effect to the excess return of IPOs, the ratio of net worth book value to market value has insignificantly negative to the excess return of IPOs. In the long-term regression analysis, After considering the Fama-French three factors model－market risk factor, size factor and the ratio of net worth book value to market value, IPOs do not have obviously positive excess return. The market risk factor still has remarkable positive effect to the excess return of IPOs, size factor and the ratio of net worth book value to market value had insignificantly long-term positive excess return of IPOs.
In the short-term extended factor model, this study find that: After considering four risk factors which include market risk factor, size factor, the ratio of net worth book value to market value and investor sentiment factor - cloud amount, IPOs still had obviously positive excess return. But after use stock turnover of IPOs to replace investor sentiment factor - cloud amount, IPOs do not have remarkable positive excess return. The investor sentiment factor－cloud amount has insignificantly negative effect on excess return of IPOs portofolio, while stock turnover of IPOs has significantly positive effect on excess return of IPOs portfolio. According above results, this study infer that investor sentiment indicator
－shine effect does not exist in short-term Taiwan stock market, the suitable investor sentiment indicator should be stock turnover in Taiwan. In the long-term extended factor model, this study find that: After considering four risk factors which include market risk factor, size factor, the ratio of net worth book value to market value and investor sentiment factor - cloud amount, IPOs do not have obviously positive excess return anymore. After use stock turnover of IPOs to replace investor sentiment factor - cloud amount, IPOs still do not have remarkable positive excess return. The investor sentiment factor－cloud amount has insignificantly positive effect on excess return of IPOs portofolio, while stock turnover of IPOs has insignificantly positive effect on excess return of IPOs portfolio too. According above results, this study infer that both investor sentiment indicator－shine effect and stock turnover do not have significant effect on excess return of IPOs portfolio. The excess return of IPOs portfolio to be determined by its fundamental plane in the long run.

並列關鍵字

Sentiment Indicator ； Fama-French Three Factor Model ； Shine Effect ； Stock Turnover

參考文獻

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