Fama-French三因子模型的應用-投資人情緒指標及股票週轉率對超額報酬率影響之實證研究-以台灣新上市公司、電子產業與非電子產業新上市公司為例

The application of the Fama-French three-factor model - investor sentiment and stock turnover ratio of empirical research on the impact of excess return - to the Initial Public Offering in Taiwan, the electronics industry and non-electronic Initial Public Offering

陳志強(Chih-Chiang Chen)

指導教授 ： 歐陽豪

崑山科技大學/商業管理學院/企業管理研究所/碩士(2012年)

https://doi.org/10.6828/KSU.2012.00070

摘要

本研究以台灣地2003年1月至2009年12月的新上市公司股票作為研究對象，首先以Fama-French(1993)提出的三因子(市場風險因子、規模風險因子、淨值市價比因子)模型檢定新上市公司（含電子、非電子類）股票在短期下是否具有超額報酬。其次，以三因子搭配投資人情緒指標－雲量或情緒代理指標股票週轉率作為第二、三模型驗證此延伸的四因子模型下，新上市公司是否具有超額報酬？

在全體樣本與電子產業下之Fama-French三因子模式、Fama-French三因子與情緒指標，及Fama-French三因子與股票週轉率之延伸Fama-French模式下，市場風險溢酬因子(MRP)對IPOs短期超額報酬為顯著正向影響，淨值市價比因子(HML)在Fama-French三因子模式與Fama-French三因子與股票週轉率之延伸Fama-French模式下對IPOs短期超額報酬為顯著正向影響；Fama-French三因子模式及考慮投資人情緒後的四因子模式，IPOs短期下仍具顯著正向超額報酬(α0>0)，僅考慮股票週轉率後之四因子模式，IPOs短期下則不具正向超額報酬；投資人情緒指標(GMB) －低雲量組合報酬減高雲量組合報酬對IPOs投資組合超額報酬為顯著負向影響，可見在台灣的資本市場，並不存在『陽光效應』，反而存在『陰霾效應』；股票週轉率對全體樣本IPOs短期超額報酬為顯著正向影響，在台灣，投資人的情緒的適當指標應為『IPOs股票週轉率』而非『低雲量組合報酬減高雲量組合報酬』。

關鍵字

Fama-French三因子模式 ； 投資人情緒指標 ； 股票週轉率 ； 超額報酬

並列摘要

In this study, we adopt initial public offerings onTaiwan Stock Exchange from January 2003 to December 2009 as our research samples. Firstk, using Fama-French (1993) three-factor model (market risk factor, size factor and the book-to-market factor) to verify whether newly listed companies (including electronic and non-electronic industry) has excess returns in the short term. Second, we extended three-factor with investor sentiment indicators - Cloud or emotional proxy indicators－ stock turnover as the second or third model to test this extensive four-factor model whether IPOs still exist the excess returns?

The market risk premium factor (MRP) has significantly positive imact on IPOs excess return under Fama-French three-factor model and Fama-French four-factor model(after adding investor’s sentiment indicator or stock turnover) in electronic industry and non- electronic industry. Book-to-market (HML) has significantly positive imact on IPOs excess return under Fama-French three-factor model and Fama-French four-factor model (after adding stock turnover) in electronic industry and non- electronic industry, too. Under Fama-French three-factor model and Fama-French four-factor model- consider investor sentiment indicator, IPOs investment portfolio still exist significantly positive short-term excess return (α0> 0). Only in Fama-French four-factor model- consider stock turnover, IPOs does not exist significantly positive short-term excess return. Investor sentiment indicators (GMB) - the portfolio return of low cloud less return jof high cloud that has significantly negative impact on IPOs excess return. It seem there does not exist "sunshine effect", but “haze effect " in Taiwan capital market. The stock turnover has significantly positive impact on IPOs excess return. Therefore, the appropriate indicators of investor sentiment in Taiwan, should be" IPOs stock turnover rather GMB.

並列關鍵字

the Fama-French three-factor model of investor sentiment index ； shares of employed turnover ratio ； the excess return

參考文獻

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