分析師預測修正量、股價動量與訊息不確定性

ANALYSTS’ FORECASTS REVISIONS, PRICE MOMENTUM, AND INFORMATION UNCERTAINTY

葉光耀(Kuan-Yao Yeh)

指導教授 ： 陳瑞璽

大同大學/經營設計學院/事業經營學系所/碩士(2008年)

摘要

對於先前的文獻通常都把訊息不確定性與股票報酬的關係歸功於投資者行為的偏見，例如對於新訊息的反應。本篇文章對於短期股票價格走勢具有貢獻。本篇文章研究訊息不確定性在股價走勢所扮演的角色。如果短期股票價格走勢是因為投資者行為的偏見，那麼我們應該觀察到當有正面不確定訊息時，股價走勢應該往上。結果，當有正面不確定訊息時，確實產生相對較高的期望報酬；相對地，當有負面不確定訊息時，確實產生較低的報酬，本篇的實證數據支持這項假設。至於對於訊息不確定程度而言，為不確定性愈高，報酬愈低。

關鍵字

分析師修正量 ； 股價動量 ； 訊息不確定性

並列摘要

For the prior literatures often attributes the relation between the information uncertainty and stock returns to investor behavioral biases such as underreaction to new information. There are substantial evidences of short-term stock price continuation. This paper investigates the role of information uncertainty in price continuation anomalies and cross-sectional variations in stock returns. If short-term price continuation is due to investor behavioral biases, we should observe greater price drift when there is greater information uncertainty. As a result, greater information uncertainty should make relatively higher expected returns following good news and relatively lower expected returns following bad news. The evidence of this paper supports this hypothesis. For information uncertainty level, when information uncertainty is higher, the return is lower.

並列關鍵字

Information Uncertainty ； Analysts’ Forecasts Revisions ； Price Momentum

參考文獻

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