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| 研究生： |
張軒瑜 |
|---|---|
| 論文名稱： |
投資人情緒是否影響資訊解讀-以月營收揭露為例 The effect on sales information on sentiment and stock returns |
| 指導教授： | 周冠男 |
| 口試委員: |
何耕宇
徐之強 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2017 |
| 畢業學年度： | 105 |
| 語文別： | 英文 |
| 論文頁數： | 22 |
| 中文關鍵詞： | 月營收資訊 、股票報酬 、投資人情緒 、行為財務學 |
| 外文關鍵詞： | Sales information, Stock returns, Investor sentiment, Behavioral finance |
| 相關次數： | 點閱：76 下載：15 |
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本研究旨在探討投資人情緒與月營收資訊是否能夠解釋台灣股票報酬，以及投資人情緒是否影響對於月營收資訊的解讀。實證結果發現，前期月營收資訊、前期投資人情緒以及兩者乘積對當期股票報酬有顯著的正向影響。表示月營收資訊的揭露能帶給投資人資訊，作為交易時的考量，而前期投資人情緒能夠部分解釋當期股票報酬。兩者乘積表示營收資訊和投資人情緒為同期時，投資人對於資訊的解讀會受到情緒影響，進而影響股票的報酬。進一步探討，當投資人面對月營收成長率高、月營收波動低時，對於其月營收資訊的解讀傾向伴隨著情緒。
This study wants to discuss whether sales information and investor sentiment could explain Taiwan stock market and whether investor sentiment affects their interpretation on sales information. The empirical results show that the sales information last period, investor sentiment last period and the multiplication of these two are significantly positively correlated to current stock returns. It indicates that the sales disclosure is informative to investors as a consideration while trading and investor sentiment can partially explain the stock returns. The estimate of multiplication which is positive indicates that when sales information and investor sentiment are in the same period, investors’ interpretation on sales information would be affected by their sentiment, and further affecting the stock returns. We further find that when companies have the characteristics of high sales growth rate and low sales volatility, their sales information tends to be interpreted by investors emotionally.
1. Introduction 1
1.1 Motivation of the study 1
2. Literature review 2
2.1 Accounting Information 2
2.2 Investor Sentiment 2
3. Data and Model Construction 5
3.1 Data 5
3.2 Model Construction 6
3.3 Definition and hypothesis of control variables and
independent variables 6
4. Empirical Results 9
4.1 Descriptive Statistics 9
4.2 The Regression Result in Overall Companies 10
4.3 The Regression Result Categorized by Sales
Growth Rate 12
4.4 The Regression Result Categorized by Sales
volatility 14
4.5 The Regression Result in Different Industries 17
5. Conclusion and Suggestions 20
6. Reference 21
The Research Center for Taiwan Economic Development (RCTED), National Central University http://rcted.ncu.edu.tw/upload.phtml
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