台灣投資人情緒與股票市場橫斷面報酬相關性研究

Investor Sentiment and the Cross-Section of Stock Returns: Evidence from Taiwan

林志豪(Zhi-Hao Lin)

指導教授 ： 鄭揚耀

國立中正大學/管理學院/財務金融學系/碩士(2013年)

摘要

無資料

關鍵字

台灣股票市場 ； 股票市場橫斷面報酬 ； 投資人情緒 ； 主成份分析

並列摘要

Abstract
This study investigates how investor sentiment affects the cross-section of stock returns in Taiwan stock market. The main hypotheses are investor sentiment has effects on securities whose valuations are subjective and difficult to arbitrage. We find that when beginning-of-period proxies for sentiment are low, subsequent returns are relatively high for unprofitable stocks, non-dividend-paying stocks. However, when sentiment is high, these categories of stock earn relatively low subsequent returns.

Keywords: investor sentiment, the cross-section of stock returns, Taiwan stock market.

並列關鍵字

Taiwan stock market ； the Cross-Section of Stock Returns ； Investor Sentiment ； Principal Component Analysis

參考文獻

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