散户情绪与股票报酬-中华科技大学.DOCVIP

散戶情緒與股票報酬－台灣股市實證研究Sentiment and Stock Return－Evidence from Taiwan 王錦瑩1 林晏竹2 Jin-Ying Wang Yen-Chu Lin 1銘傳大學風險管理與保險學系副教授 Department of Risk Management and Insurance, Ming Chuan University 2華南金控專員 HUA NAN Financial Holdings 摘 要傳統的財務理論以效率市場為核心，投資人是理性的，即使不理性的投資人存在，因為他們的交易行為是隨機的，抵銷彼此對證券價格的影響。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，會朝向同一個方向，。散戶屬於資訊弱勢，在散戶參與比例七成台灣股市，散戶的。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，探散戶情緒變數超額報酬率。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，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。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 ABSTRACT 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 ra