投資人情緒與資訊透明度關聯性之研究

A Study on the Relationship between Investor Sentiment And Information Transparency

蕭志文(Chih-wen Hsiao)

指導教授 ： 曹壽民

國立中央大學/管理學院/企業管理學系碩士在職專班/碩士(2014年)

摘要

多數投資人均希望自己所投資的標的，是營運狀況良好、產業前景可期的公司，但在未來景氣看好或市場氛圍等外在環境因素影響投資人情緒下，常因投資人情緒高漲，在渴望獲利驅使及多頭市場喊進時入場投資，而忽略投資標的資訊是否具透明度？而買到定價偏高的股票。本研究原以外國企業回台上市的F類股作為研究樣本，因研究受限，故改採2005年至2013年承銷新制之IPO新股，以中央大學台灣經濟研究發展中心所調查之消費者信心指數作為投資人情緒之代理變數，運用多元迴歸分析法，研究結果發現當投資人情緒越高漲時，上市新股定價偏低的幅度越小，實證結果產生負相關，樂觀於新股上市當下所帶來的超額報酬； 另一方面亦發現，當投資人情緒越高漲，以投資人持有到下期之投資報酬率，實證結果亦產生負相關，即市場回歸到基本面後，股票報酬呈現反轉向下。此外，在投資人情緒高漲時，新股上市定價偏低幅度較小，其承銷商發行規模較小，投資人抽中籤率較高，而公司端之董監事持股比率較高、前一期的銷貨淨額表現較差、負債比率偏高，綜合上述即風險性偏高，符合預期達顯著水準。

關鍵字

投資人情緒 ； 資訊投明度 ； 偏低定價 ； F類股

並列摘要

Most investors look for healthy investment targets that are operating in good conditions and have a bright future. However, when extrinsic factors such as the market atmosphere or a strong economy affects the investor’s sentiment, investors often ignore the transparency of the information regarding their investment targets due to their high spirits, and buy into a bull market due to their desire for profit. So they end up buying the overpriced stocks. The research originally targeted the Foreign Corporations Listed on Taiwan Stock Exchange; however, hindered by the lack of samples, listed and delisted companies from 2005 to 2013 under the IPO new rules were also included in the research. The research utilized the Consumer Confidence Index found by the Research Center for Taiwan Economic Development in the National Central University as a proxy variable of the investor sentiment along with the use of the multiple regression analysis. Researchers found that when investors are in high spirit, the magnitude of IPO underpricing decreases and it generates negative correlation because IPO brought excess stock returns at the optimistic moment. Furthermore, as the investor sentiment grows, the empirical results also generate a negative correlation regarding the rate of return on the long-term investor. Stock returns are reversed when the market returns to its fundamentals. Moreover, when the investor sentiment is high, the extent of IPO underpricing decreases, issue sizes by underwriters decreases, investors cause a high success rate, the shareholding ratio of the company's directors and supervisors increases, net sales of last season display poor performance, and a high debt ratio. All in all, this is characterized by its high risk, which corresponds with our expectations and hypothesis.

並列關鍵字

Investor Sentiment ； Information Transparency ； Under Price ； Foreign Corporations

參考文獻

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