請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/51395完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 陳彥行(Yan-Shing Chen) | |
| dc.contributor.author | Weng-Long Vong | en |
| dc.contributor.author | 黃泳龍 | zh_TW |
| dc.date.accessioned | 2021-06-15T13:32:46Z | - |
| dc.date.available | 2016-03-08 | |
| dc.date.copyright | 2016-03-08 | |
| dc.date.issued | 2016 | |
| dc.date.submitted | 2016-02-02 | |
| dc.identifier.citation | Allvine, F. C., & O'Neill, D. E. (1980). Stock market returns and the presidential election cycle: Implications for market efficiency. Financial Analysts Journal, 36(5), 49-56.
Ariel, R. A. (1990). High stock returns before holidays: Existence and evidence on possible causes. The Journal of Finance, 45(5), 1611-1626. Bamber, L. S., Barron, O. E., & Stober, T. L. (1997). Trading volume and different aspects of disagreement coincident with earnings announcements. Accounting Review, 72(4), 575-597. Bank, M., Larch, M., & Peter, G. (2011). Google search volume and its influence on liquidity and returns of German stocks. Financial markets and portfolio management, 25(3), 239-264. Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of Financial Studies, 21(2), 785-818. Barber, B. M., Odean, T., & Zhu, N. (2009). Do retail trades move markets? Review of Financial Studies, 22(1), 151-186. Cergol, B., & Omladič, M. (2015). What can Wikipedia and Google tell us about stock prices under diferent market regimes? Ars Mathematica Contemporanea, 9(2). Chaney, P. K., & Devinney, T. M. (1992). New product innovations and stock price performance. Journal of Business Finance & Accounting, 19(5), 677-695. Chemmanur, T. J., & Yan, A. (2009). Advertising, attention, and stock returns, Retrieved from http://ssrn.com/abstract=1340605 Da, Z., Engelberg, J., & Gao, P. (2011). In search of attention. The Journal of Finance, 66(5), 1461-1499. Fama, E. F., & French, K. R. (1995). Size and book‐to‐market factors in earnings and returns. The Journal of Finance, 50(1), 131-155. Gärtner, M., & Wellershoff, K. W. (1995). Is there an election cycle in American stock returns?. International Review of Economics & Finance, 4(4), 387-410. Gervais, S., Kaniel, R., & Mingelgrin, D. H. (2001). The high-volume return premium. Journal of Finance, 56(3), 877-919. Grullon, G., Kanatas, G., & Weston, J. P. (2004). Advertising, breadth of ownership, and liquidity. Review of Financial Studies, 17(2), 439-461. Hirshleifer, D., & Teoh, S. H. (2003). Limited attention, information disclosure, and financial reporting. Journal of Accounting and Economics, 36(1), 337-386. Hirshleifer, D., Hsu, P. H., & Li, D. (2013). Innovative efficiency and stock returns. Journal of Financial Economics, 107(3), 632-654. Hou, K., Xiong, W., & Peng, L. (2009). A tale of two anomalies: The implications of investor attention for price and earnings momentum. Retrieved from http://ssrn.com/abstract=976394 Huang, R. D. (1985). Common stock returns and presidential elections. Financial Analysts Journal, 41(2), 58-61. Kahneman, D. (1973). Attention and effort (p. 246). Englewood Cliffs, NJ: Prentice-Hall. Kim, C. W., & Park, J. (1994). Holiday effects and stock returns: Further evidence. Journal of Financial and Quantitative Analysis, 29(01), 145-157. Lee, R. P., & Chen, Q. (2009). The Immediate Impact of New Product Introductions on Stock Price: The Role of Firm Resources and Size. Journal of Product Innovation Management, 26(1), 97-107. Loh, R. K. (2010). Investor inattention and the underreaction to stock recommendations. Financial Management, 39(3), 1223-1252. Lou, D. (2014). Attracting investor attention through advertising. Review of Financial Studies, 27, 1891-1912 Mondria, J., Wu, T., & Zhang, Y. (2010). The determinants of international investment and attention allocation: Using internet search query data. Journal of International Economics, 82(1), 85-95. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/51395 | - |
| dc.description.abstract | 本論文觀察台灣股票市場中公司之Google搜尋量指數(SVI)與政治選舉、災難事件、交易日、研發支出等變數之關係，以研究投資者關注度之影響因素為何。論文之研究目標為台灣50指數中之成份股，樣本包含17,537個週觀察值與4,700個月觀察值。實證結果顯示投資者關注度隨著災難之發生而下降，並隨著每週之交易日數增加而上升。 | zh_TW |
| dc.description.abstract | This study investigates what determinants can explain investor attention on Taiwan stocks by observing the relationship between Google Search Volume Index and variables such as political elections, disaster events, trading days and research and development (R&D) expense. The sample consists of 17,537 weekly observations and 4,700 monthly observations based on fifty listed stocks of TW50. The empirical results show that investor attention decreases when disasters event occurs, and investor attention increases with number of trading days in a week. These interesting findings are not mentioned in past literature. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T13:32:46Z (GMT). No. of bitstreams: 1 ntu-105-R02723066-1.pdf: 649878 bytes, checksum: 00e5101103e717a5f645db6ddda227bb (MD5) Previous issue date: 2016 | en |
| dc.description.tableofcontents | I. Introduction 1
II. Data and Methodology 2 A. Google Search Volume 2 B. The Regression Model 6 C. Dependent Variables 7 i. Existing Proxies of Attention 7 ii. Key Independent Variables of Interest 9 III. Result 11 IV. Conclusion 14 References 15 TABLES Table I. Demonstration for Adjustments of SVI 17 Table II. Variable Definitions 18 Table III Summary Statistics 19 Table IV. Regression Result - Weekly ln(1+SVI) 21 Table V. Regression Result - Monthly ln(1+SVI) 22 Table VI. Regression Result - Monthly ln(1+Ticker SVI) 23 Table VII. Tobit Regression Result - ln(1+SVIs) 24 Table VIII. Regression Result - Weekly Abnormal SVI 25 Table IX. Regression Result - Monthly Abnormal SVI 26 Table X. Regression Result - Monthly Abnormal Ticker SVI 27 | |
| dc.language.iso | en | |
| dc.title | 投資者關注度之影響因素探討
以台灣股票市場為例 | zh_TW |
| dc.title | The Determinants of Investor Attention:
Evidence from Taiwan | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 104-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳業寧(Yehning Chen),施懿宸(Yi-Cheng Shih) | |
| dc.subject.keyword | 投資者關注度,Google 搜尋量指數(SVI),政治選舉,災難,交易日, | zh_TW |
| dc.subject.keyword | Investor Attention,Google Search Volume Index (SVI),Political Elections,Disasters,Trading Days, | en |
| dc.relation.page | 27 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2016-02-02 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-105-1.pdf 目前未授權公開取用 | 634.65 kB | Adobe PDF |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。