散戶情緒與股票報酬－台灣股市實證研究

Individual Investor Sentiment and Stock Return-Evidence from Taiwan

王錦瑩(Jin-Ying Wang) ； 林晏竹(Yen-Chu Lin)

《中華科技大學學報》 50期 (2012/01) Pp. 147-167

https://doi.org/10.7095/JCUST.201201.0145

摘要

傳統的財務理論以效率市場為核心，主張投資人大多是理性的，即使有不理性的投資人存在，也會因為他們的交易行為是隨機的，而抵銷掉彼此對證券價格的影響。然而，Shiller（1984，2000）對效率市場提出質疑，認為投資人常常會有非理性的行為，而且這種非理性的行為並非隨機發生，甚至會朝向同一個方向，以致對市場價格產生足夠的影響力。由於散戶屬於資訊弱勢，其投資行為往往被認為帶有不理性的情緒。在散戶參與比例超過七成的台灣股市中，散戶的投資可能會影響股票報酬率。本文選取短線交易買賣不平衡、散戶投資人週轉率、當日沖銷比率這三個具有投機性質的散戶情緒變數，探討台灣股市的散戶情緒變數與股票超額報酬率之間的關係。在進行迴歸分析時，本文以市場風險貼水、規模效果、帳面市值比效果，以及動能效果等四個因子做為控制變數，並且將公司依據規模、機構法人持股、帳面市值比以及股價等四種方式加上分類。實證結果發現，本文所使用的三個散戶情緒變數（短線交易的買賣不平衡、散戶投資人週轉率以及當日沖銷比率）具有高度的相關性，表示這三個變數可能捕捉到相近的散戶投資行為。而且，散戶情緒在小規模、低機構法人持股、高帳面市值比（價值股）以及低價股等散戶較集中投資的投資組合中，對股票的超額報酬率有正向的影響力，尤其是當日沖銷比率這項變數最為顯著。

關鍵字

散戶情緒 ； 當日沖銷 ； 股票報酬

並列摘要

The core of traditional financial theory is efficient market which proposed that almost all investors are rational. Irrational investments will neutralize each other because they appear randomly. However, Shiller (1984, 2000) suspects efficient market and argues that irrational investments appear frequently, not randomly. Irrational investments impact stock price if they are toward the same direction. Investments of individual investors are thought with irrational sentiment because individual investors are information disadvantage. The investment behaviors of individual investors should affect the returns of stocks in Taiwan stock market which participant ratio of individual investors is over seventy percent.This paper uses short-term buy-sell imbalance, individual investor turnover, and proportion of day-trades as proxies for individual investor sentiment, and analyzes the relationship between the individual investor sentiment and the excess return of stocks in the Taiwan stock market. This paper progresses regression models by controlling four variables, such as the market excess return, the size factor, the book-to-market factor and momentum factor, and dividing samples according to firm size, ownership of institutional investors, book to market ratio and stock price.The results show that three proxies of individual investor sentiment (short-term buy-sell imbalance, individual investor turnover, and proportion of day-trades) have high correlation, which implies they catch the similar investment behaviors of individual investors. Individual investor sentiment is positively related to the excess return of portfolios with high retail concentration, i.e., small-cap, lower institutional ownership, value stocks and lower-priced stocks. Proportion of day-trades is the most significant variable.

並列關鍵字

Individual investor sentiment ； Day trading ； Stock return