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| 研究生： |
連振廷 Lien, Chen Ting |
|---|---|
| 論文名稱： |
總體經濟變數宣告日與非宣告日報酬差異之研究 A Tale of Two Days: Investor Sentiment or Risk? |
| 指導教授： |
湛可南
Chan, Konan |
| 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： | 2014 |
| 畢業學年度： | 102 |
| 語文別： | 英文 |
| 論文頁數： | 45 |
| 中文關鍵詞： | 投資人情緒 、總體經濟變數 、宣告日 、風險 |
| 外文關鍵詞： | Investor Sentiment, Announcement days, Macroeconomic news, Risk-return relation |
| 相關次數： | 點閱：232 下載：28 |
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1966年至2010年市場報酬資料顯示，在總體經濟變數宣告日的市場報酬比非宣告日的市場報酬高出數倍之多。本研究結果發現，市場投資人情緒高低與宣告日及非宣告日報酬差異有正向相關，並且投資人情緒能夠預期其報酬差異。除此之外，在市場熱絡期間，投資人情緒能夠顯著解釋其差異，而市場情緒悲觀其間，則不存在此現象。此外，本研究進一步探討風險與情緒對於報酬的解釋能力，我們發現在市場熱絡期間，投資人情緒能夠解釋其報酬差異現象，而在市場悲觀期間其報酬差異存在風險抵換關係。
The returns of the days that macroeconomic news scheduled for release (announcement days) are extremely higher than those of other trading days. This paper indicates that investor sentiment is positively related to the excess returns difference and it predicts the difference of the returns. Also, investor sentiment is a significant factor to explain the excess returns difference during high sentiment period, whereas it is not significant during low sentiment period. Finally, we reconcile risk factor and sentiment factor toward the excess returns difference, suggesting that investor sentiment plays an important role in the excess returns difference between announcement days and other days.
Content
1. INTRODUCTION 4
2. DATA AND METHODOLOGY 8
2.1 ANNOUNCEMENT DAYS 8
2.2 AGGREGATE MARKET RETURNS 8
2.3 INVESTOR SENTIMENT 9
2.4 EXPECTED VARIANCE 9
2.5 SUMMARY STATISTICS 10
3 EMPIRICAL RESULTS 10
3.1 ABNORMAL RETURNS AND INVESTOR SENTIMENT 10
3.2 HIGH SENTIMENT AND LOW SENTIMENT 13
3.3 PREDICTABILITY OF INVESTOR SENTIMENT 14
3.4 WHICH FACTORS MATTERS: RISK OR INVESTOR SENTIMENT 15
4 ROBUSTNESS CHECKS 16
4.1 USING VIX AND CLOSED-END FUND DISCOUNT FACTORS AS THE PROXY OF INVESTOR SENTIMENT 16
4.2 TESTING VARIOUS PORTFOLIOS 18
5. CONCLUSION 19
REFERENCE 21
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