多空市場資訊不確定性之實證研究-以台灣股票市場為例

An Empirical Study of Information Uncertainty and Stock Returns between Bullish and Bearish Market - the Case of Taiwan

林育瑄(Yu-hsuan Lin)

指導教授 ： 許光華 ； 嚴宗銘

朝陽科技大學/管理學院/財務金融系/碩士(2010年)

摘要

本研究旨在探討公司基本面波動是否會導致股票價格存在資訊不確定性的效果，在區分多空市場後並結合分析師預測EPS標準差及動能指標，驗證在好消息後會是否能獲得較好的報酬及在壞消息之後是否會獲得較差的報酬，最後再以 Carhart (1997)之四因子模型探討資訊不確定性效果是否顯著；本文主要以2003年1月1日至2009年12月31日期間之台灣股票市場上市電子股為對象，建構投資組合並驗證之。實證分析指出在多頭市場中好消息會有較好的報酬，在空頭市場的壞消息會有較低的報酬，且結合動能指標後，在多頭市場時推論股價有強者恆強，弱者恆弱現象，不論為多頭市場或空頭市場，台灣股票市場電子股具動能效果，其結果和Zhang (2006)提出動能投資策略報酬會隨著資訊不確定性增加而增加相呼應；研究亦發現在多頭市場好消息中，台灣股票市場電子股存在著規模效應。

關鍵字

動能策略 ； 反應不足 ； 多空市場 ； 資訊不確定性

並列摘要

The present study empirically investigates changes in company fundamentals, stock prices will lead to the effect of information uncertainty, according to the analysts forecast EPS and momentum in the bull market and the bear market respectively, we try to understand whether produce relatively higher expected returns following good news and relatively lower expected returns following bad news, moreover, we use Carhart (1997) four-factor model to discuss information uncertainty effect whether different form zero significantly? The sample using in the research is Taiwan stock market from 2003 to 2009 and use monthly returns for portfolios. The result is greater information uncertainty should produce relatively higher expected returns following good news in the bullish market and relatively lower expected returns following bad news in the bearish market. In other hand, with momentum strategy, so that the stock price has the phenomenon of momentum. Information and electronic industries of Taiwan stock market have the momentum effect in bull market and the bear market. And Taiwan’s information and electric industries have scale effect in market state with bull market and good news.

並列關鍵字

Underrecation ； Momentum strategy ； Bull market and Bear market ； Information uncertainty

參考文獻

Barber, B. M., and Odean, T. (2001) “Boys will be boys gender, overconfidence and common stock investmenr,” Quarterly Journal of Economics 116, 261-292.

Barber, B. M., and Odean, T. (2008) “All that glitters: the effect of attention and news on the buying behavior of individual and institutional investors, ” Review of Financial Studies, 21, 785-818.

Bry, G. and Boschan, C. (1971) “Cyclical analysis of time series: selected procedures and computer programs,” NBER Technical Paper, 20.

Canova, F. (1994) “Detrending and turning points” European Economic Review, 38, 614-623.

Canova, F. (1999) “Does detrending matter for the determination of the reference cycle and the selection of turning points?” Economic Journal, 109, 126-150.