以層級貝式估計法探討總體經濟因子與公司特性因子對個股超額報酬率之影響

The Economic Factors and the Firm-specific Factors’ Influence on the Stocks’ Excess Return Using Bayes’ Theorem

陳品妤(Pin-Yu Chen)

指導教授 ： 蕭榮烈

國立臺北大學/商學院/國際企業研究所/碩士(2011年)

摘要

如何瞭解投資人之投資行為具有動態性，並且預測下期股價走勢為現今學者所重視之問題，而哪些總體經濟因子具有強化公司特性因子之功能，成為本文另外一個研究重點，由於投資行為會受到總體經濟影響，為探討投資人行為之動態性以及受總體經濟因子強化影響，本文以COMPUSTAT資料庫中，以金融業為研究樣本，研究期間為2001年1月至2010年12月，資料型態為月資料，接著利用層級貝式估計模式(Hierarchical Bayesian Model)探討各期投資行為之動態性，以及公司特性因子是否受到總體經濟因子顯著影響。
研究發現，採用金融類股，投資人的行為模式在不同時間下會有所不同，且受外在經濟環境影響下，投資者的投資行為會呈現動態性的調整。

關鍵字

層級貝式模型、公司特性因子、總體經濟因子

並列摘要

The scholars concern about how to understand the dynamic of investor's investment behavior and forecast the next period stock price. Then, economic factors strengthen the firm-specific factors, which is another focus on this text. The data is from COMPUSTAT database, and the financial industry is the study sample, study period is from January 2001 to December 2010, data type is monthly data. Then, estimated methods are using hierarchical Bayesian model to explore the dynamic behavior of the investment period, as well as company property factor is significantly affected by economic factors.

The study found that the investor's behavior at different times is different by using financial stocks, and the investors’ behavior would adjust dynamically when the economic factors change.

並列關鍵字

Hierarchical Bayesian model、Firm-specific factors、Economic Factors

參考文獻

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