定價異常與投資者情緒之研究

Essays on Pricing Anomalies and Investor Sentiment

李文聖(Wen-Shen Li)

指導教授 ： 周賓凰

國立中央大學/管理學院/財務金融學系/博士(2006年)

摘要

本研究是由二篇關於資產定價異常及投資者情緒之文章所構成。
第一篇文章是關於共變數風險及資產定價異常的堅實性檢定。在剔除極端的樣本之後，我們重新檢定因子模型及特徵模型的定價關係。我們的結果顯示即使使用了與Daniel及Titman (1997)類似的樣本（1963年7月至2002年6月，共39年的期間），在去除極端的樣本之後，三因子模型比特徵模型更能解釋價值貼水。對於規模貼水而言，如同Davis、Fama及French (2000)及Daniel、Titman及Wei (2001)的發現，我們沒有足夠的證據能夠拒絕三因子模型及特徵模型。但是當我們排除了極端的月份後，實證結果轉為支持特徵模型。隨後我們檢驗了一月效應，發現在一月以外的其他月份，特徵模型比三因子模型更能解釋規模效果。
在第二篇文章裡，我們根據Ross (1976)所提出的套利定價理論之精神來探討當投資者情緒作為定價的共同因子時所扮演的角色。在文章中我們探討了市場情緒、總體經濟因子及股票特徵對股票橫斷面報酬變異的解釋能力。我們的結果發現情緒因子非常顯著，亦即情緒因子有非常強的解釋能力，並且與Chen、Roll及Ross (1986)所提出之總體經濟因子是獨立的。這表示投資者情緒能夠捕捉到市場參與者對未來市場的預期中總體經濟因子所沒有捕捉到的部分。然而，情緒因子的解釋能力卻會被公司規模及帳面對市值比所吸收。因此，我們的結果支持規模效果及帳面市值比效果是與投資者行為相關的。

關鍵字

公司特徵 ； 總體經濟因子 ； 投資者情緒 ； 套利定價理論 ； 特徵模型 ； 因子模型 ； 極端值 ； 定價異常

並列摘要

This study contains two essays about pricing anomalies and investor sentiment.
Essay 1 examines the robustness of covariance risk and pricing anomalies. By trimming extreme observations, we reexamine the competition between the factor model and the characteristic model. Although we use almost the same sample period (July 1963 to June 2002, 39 years) as Daniel and Titman (1997), our results indicate that after trimming extreme observations the three-factor risk model explains the value premium better than the characteristic model. For size premium, like Davis, Fama, and French (2000) and Daniel, Titman, and Wei (2001), neither the three-factor nor the characteristic model can be rejected. But when we exclude influential months, our evidence turns to support the characteristic model. Then we investigate whether the results are related to the January seasonality. Our results indicate that in non-January months the characteristic model explains the size premium better than the three-factor risk model.
In essay 2, we explore the role of investor sentiment as a common factor in the spirit of Ross’s (1976) APT. We study the explanatory power of market sentiments, macroeconomic factors, and stock characteristics in capturing the variations in the cross-sectional stock returns. Our result shows that the sentiment premium is highly significant, and is independent of both the market factor and macroeconomic factors identified by Chen, Roll, and Ross (1986). It appears that investor sentiment captures market participants’ expectation of the future market prospects not fully capture by the common macroeconomic variables. However, the sentiment premium is absorbed by both firm size and book-to-market value. The result provides an evidence supporting the behavioral argument of size effect and value premia.

並列關鍵字

characteristics ； macroeconomic factor ； extreme observations ； factor model ； characteristic model ； APT ； investor sentiment ； pricing anomalies

參考文獻

Essay 1: On the robustness of covariance risk and pricing Anomalies

Banz, Rolf W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3-18.

Banz, Rolf W., and William J. Breen, 1986, Sample-dependent results using accounting and market data: Some evidence, Journal of Finance 41, 779-793.

Basu, Sanjoy, 1983, The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence, Journal of Financial Economics 12, 129-156.

Bhandari, Laxmi Chand, 1988, Debt/Equity ratio and expected common stock returns: Empirical evidence, Journal of Finance 43, 507-528.