投資人情緒風險與新上市公司股票的異常績效－陽光效應之應用

Investor Sentiment Risk and the Abnormal Performance of IPOs: An Application of Sunshine Effect

陳振遠(Roger C. Y. Chen) ； 周賢榮(Shyan-Rong Chou) ； 王朝仕(Chao-Shi Wang)

《輔仁管理評論》 15卷1期 (2008/01) Pp. 43-72

https://doi.org/10.29698/FJMR.200801.0003

摘要

本研究根據心理學的論點與Hirshleifer & Shumway(2003)提出的陽光效應，首次提出以投資人情緒溢酬的觀念，進一步檢測IPOs短期與長期績效的差異。實證結果發現，若於Fama-French三因子模式中另控制投資人情緒風險溢酬，則能更完整解釋IPOs短期異常報酬，但卻無助於解釋其長期績效，也無法解釋配對公司短期與長期之績效。此結果表示IPOs短期異常報酬較受投資人情緒影響，而其長期報酬績效則將回歸由基本面決定。此外，投資人情緒對非電子產業IPOs短期績效的影響，高於電子產業IPOs。該結果可能與投資人對非電子產業相對較不熱衷，資訊取得度較低，使得情緒好壞成為影響投資決策的重要因素。

關鍵字

新上市公司股票 ； 投資人情緒 ； 陽光效應 ； Fama-French三因子模式

並列摘要

Based on the psychological argument and the sunshine effect suggested by Hirshleifer and Shumway (2003), we firstly present a model, taking investor sentiment into consideration, to investigate the differences between short-term and long-term performances of IPOs. Our empirical results indicate that investor sentiment can help explain the short-term abnormal return of IPOs measured by the Fama-French three factors model. Nonetheless, investor sentiment doesn't play any role in understanding the long-term performance of IPOs and the short-term and long-term performances of the matched firms. The evidence shows that we can attribute the short-term abnormal return of IPOs partly to investor sentiment while the long-term performance is still decided by actual operating figures of individual companies. Furthermore, investor sentiment influences more on non-electronic industry than on electronic industry. We may interpret this finding as investors are not so enthusiastic in collecting related information on non-electronic companies. The sentiment factor therefore becomes essential in making investment decision.

並列關鍵字

IPOs ； investor sentiment ； sunshine effect ； Fama-French three factors model

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