投資人情緒與長期股票績效反轉相關性之研究

A Study of relationship: Investor sentiment and reversal of long-term stock returns

陳韋安(Wei-An Chen)

指導教授 ： 王祝三

國立臺北大學/商學院/企業管理學系/碩士(2013年)

摘要

傳統財務理論以效率市場假說為主軸，對於股票價格及報酬的預測，皆未將投資人情緒考慮於理論模型中，近年來在行為財務學的蓬勃發展下，才開始以心理學的角度來解釋投資人的決策行為。
　　後續學者，如De Bondt and Thaler (1985)與Griffin, Ji, and Martin (2003)，曾探討過去股票報酬對未來股票報酬的影響，並發現股票績效存在長期反轉之現象。De Bondt and Thaler (1985)雖基於長期贏家股票之未來長期股票績效劣於長期輸家股票的發現而推論支持過度反應假說，然而本文認為，過去績效佳(差)之股票其實並不一定代表其股價被高(低)估，而可能只是反映了市場對其未來營運績效之合理預期而已。
　　另一方面，近來文獻，如Brown and Cliff (2004)、Baker and Wurgler (2006)、Frazzini and Lamont (2008)與Stambaugh, Yu, and Yuan (2012)，紛紛發現非理性之投資人情緒會正向影響股票績效，並導致未來長期股票績效的反轉，並建議資產定價模型中，應納入投資人情緒。本文認為，由於投資人之過度反應與投資人情緒存在密不可分之關係，若投資人之過度反應確實為長期股票績效反轉之主因。本文之研究目的即是檢測投資人情緒與長期股票績效反轉之關係，以確認過度反應假說是否成立。

關鍵字

贏家輸家投資組合 ； 投資人情緒 ； 過度反應 ； 股票績效反轉

並列摘要

Efficient market hypothesis are the main of Traditional financial theory, prediction for the stock price and return are not considering investor sentiment in the theoretical model. Recently, Behavioral financial began to explain the psychological point of view in the decision- making behavior of investors.
Subsequent scholars, such as De Bondt and Thaler (1985) and Griffin, Ji, and Martin (2003), has explored the impact of past stock returns on future stock returns and found that the stock returns of long-term reversal phenomenon. De Bondt and Thaler (1985) found consistent with the predictions of the overreaction hypothesis, portfolios of prior losers are outperform prior winners in the future. However, past return is good (poor) stock is not necessarily representative of its stock price is Overestimated (Underestimated). May simply reflect the market reasonably expected to operating returns in the future.
On the other hand, such as Brown and Cliff (2004), Baker and Wurgler (2006), Frazzini and Lamont (2008) and Stambaugh, Yu, and Yuan (2012), recent literature have found that irrational investor sentiment positive effect the stock returns, and lead to the reversal of the long-term stock returns. Recommended in the asset pricing model, should be included in investor sentiment. This paper argues that due to a close relationship exists between the overreaction of investors and investor sentiment. If the overreaction of investors is indeed the main cause of reversal of the long-term stock returns. The purpose of this study is to detect the reversal of the relationship between investor sentiment and long-term stock returns, to confirm whether the overreaction hypothesis established.
This article is expected if past stock returns negative impact on future stock returns is caused by the overreaction of investors, portfolio of past winners (losers) abnormal returns with current investor sentiment will be positively correlated, and current investor sentiment with future abnormal stock returns will be negatively correlated.

並列關鍵字

winner-loser portfolio ； investor sentiment ； overreaction ； reversal

參考文獻

Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. Journal of Finance, 61(4), 1645-1680.

Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1), 1-27.

Brown, G. W., & Cliff, M. T. (2005). Investor sentiment and asset valuation. Journal of Business, 78(2), 405-440.

Campbell, J. Y. (1987). Stock returns and the term structure. Journal of Financial Economics, 18(2), 373-399.

Campbell, J. Y. (1991). A variance decomposition for stock returns. Journal of Economic, 101(405), 157-179.