投資人情緒指標、動能策略與景氣循環階段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 , Momentum Strategy and Business Cycle Stage on Initial Public Offerings Abnormal Return

曾寶柳(Bao-Liou Zeng)

指導教授 ： 歐陽豪

崑山科技大學/商業管理學院/企業管理研究所/碩士(2009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得異常現象(market anomalies)。本研究以台灣地區的上市股票作為研究對象，研究期間為1986年7月至2007年12月，共138個月，主要在探討影響新上市公司股票長、短期超額報酬的因素，首先檢定三因子對於台灣地區新上市公司股票超額報酬是否有足夠的解釋能力，並加入情緒指標－陽光效應或其代理指標-週轉率、總體環境因子、景氣循環因子及動能因子，最後，本研究將研究對象區分為電子產業與非電子產業，近一步探討各變數是否亦能解釋新上市公司股票長、短期超額報酬，實證結果發現：
市場風險因子在短、長期之下均對IPOs投資組合超額報酬有顯著正向影響，規模風險因子、投資人情緒指標－陽光效應及投資人情緒的替代指標－股票周轉率則短期下對IPOs投資組合超額報酬均有顯著正向影響；在考慮動能因子(MOM)下之延伸因子模式方面，動能因子無論是一個月(1,1)、三個月(3,3)、六個月(6,6)及十二個月(12,12)，IPOs 投資組合的Jensen’s alpha在短期之下均為顯著正向影響。
本研究依IPOs 是否歸屬於電子產業的準則區分樣本，其實證結果發現：在考慮市場、規模、淨值市價比等三種風險後，短、長期之下，電子產業與非電子產業IPOs 仍具有顯著正向的超額報酬；考慮動能因子下，無論是K(1,1)、K(3,3) K(6,6)及K(12,12)下，動能因子( MOM)是足以解釋電子產業與非電子產業IPOs 短期績效的，但長期之下，動能因子(HML)僅在K(12,12)下對非電子產業IPOs投資組合報酬具顯著之正向影響。

關鍵字

情緒指標 ； Fama-French三因子模式 ； 陽光效應

並列摘要

Behavioral Finance Theory and Financial Theory traditional main difference is the assumption that the decision-making process of investors and investor reaction to information, and behavioral finance school of psychology in an attempt to explore and explain the traditional school finance can not be explained by abnormal (market anomalies ). In this study, the stock market in Taiwan as the research object, research period from July 1986 to December 2007, a total of 138 months, mainly in the newly listed companies to explore the impact of long stock, short-term factors that over-paid, first of all, the three factor test The newly listed companies in Taiwan stock compensation over the interpretation of whether there is sufficient ability, and add emotional indicators - sunlight effect or its agent indicators - turnover rate, the overall environmental factors, business cycle factors and kinetic factors, in conclusion, this study will examine object into the electronic industry and non-electronic industries, and further explore whether the variables can explain the new listed company shares long-and short-term over-compensation, empirical results:
Market risk factor in the short and long-term investment under the portfolio of IPOs are over-paid a significant positive impact on the scale of risk factors, indicators of investor sentiment - the sun and the effects of alternative investor sentiment indicators - the stock turnover rate of the short-term investments on IPOs combination of over-paid significant positive effects; in considering the momentum factor (MOM) under the elongation factor model, the kinetic energy factor, whether it is a month (1,1), three months (3,3), six (6 , 6) and twelve months (12,12), IPOs portfolio Jensen's alpha in the short term under the positive effects are significant.
IPOs in this study according to whether the attribution of the criteria in the electronics industry to distinguish between samples, in fact, evidence was found that: In considering the market size, the net market value of more than three risk, the short-and long-term, the electronics industry IPOs and non-electronics industry still has a significant positive to pay the excess; momentum factor to consider, whether K (1,1), K (3,3) K (6,6) and K (12,12), the momentum factor (MOM) is sufficient to explain the electronics industry and non-electronics industry short-term performance of IPOs, but the long-term, the momentum factor (HML) only in the K (12,12) under the IPOs of non-electronics industry pay a significant portfolio of positive effects.

並列關鍵字

emotional indicators ； Fama-French three-factor model ； the sunshine effect

參考文獻

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