請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/54998完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 胡星陽(Shing-yang Hu) | |
| dc.contributor.author | Chia-Hsuan Lu | en |
| dc.contributor.author | 呂家萱 | zh_TW |
| dc.date.accessioned | 2021-06-16T03:43:52Z | - |
| dc.date.available | 2015-03-13 | |
| dc.date.copyright | 2015-03-13 | |
| dc.date.issued | 2014 | |
| dc.date.submitted | 2015-02-09 | |
| dc.identifier.citation | [1] Akhtar, S., R. Faff, B. Oliver, and A. Subrahmanyam, (2011), “The power of bad: the negativity bias in Australian consumer sentiment announcements on stock returns”, Journal of Banking and Finance, 35, 1239-1249.
[2] Akhtar, S., R. Faff, B. Oliver, and A. Subrahmanyam, (2013), “Reprint of: Stock salience and the asymmetric market effect of consumer sentiment news”, Journal of Banking and Finance, 37, 4488-4500. [3] Allen, F. and D. Gale, (2000), “Financial contagion”, Journal of Political Economy, 108, 1–33. [4] Barber, B. M., Y. T. Lee, Y. J. Liu and T. Odean, (2004), “Do Individual Day Traders Make Money? ”, Working Paper, University of California. [5] Barber, B. M. and T. Odean, (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. [6] Baker, M. and J. C. Stein, (2004), “Market Liquidity as A Sentiment Indicator”, Journal of Financial Markets, 7, 271-299. [7] Baker, M. and J. Wurgler, (2006), “Investor Sentiment and the Cross-section of Stock Returns”, Journal of Finance, 61, 1645–80. [8] Baron, R. M. and D. A. Kenny, (1986), “The moderator–mediator variable distinction in social psychological research: Conceptual, strategic, and statistical considerations”, Journal of Personality and Social Psychology, 51(6), 1173-1182. [9] Calvo, G., (1999), “Contagion in Emerging Markets: When Wall Street is a Carrier”, Working Paper, University of Maryland. [10] Carhart, M. M., (1997), “On Persistence in Mutual Fund Performance”, Journal of Finance, 52, 57-82. [11] Cooper, M. J., R. C. Gutierrez JR., and A. Hameed, (2004), “Market states and momentum”, Journal of Finance, 59, 1345–1365. [12] Fama, E. F. and K. R. French, (1992), “The Cross-section of Expected Stock Returns”, Journal of Finance, 47, 427–465. [13] Fama, E. F. and K. R. French, (1993), “Common Risk Factors in Returns on Stocks and Bonds”, Journal of Financial Economics, 33, 3–56. [14] Gurun, U. G. and A. W. Butler, (2012), “Don’t Believe the Hype: Local Media Slant, Local Advertising, and Firm Value”, Journal of Finance , 67,561-597 [15] Hong, H. and J. C. Stein, (1999), “A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets”, Journal of Finance, 54, 2143-2184. [16] Hong, H., T. Lim, and J. C. Stein, (2000), “Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies”, Journal of Finance, 55, 265-295. [17] Jegadeesh, N. and S. Titman, (1993), “Returns to Buying Winners and Selling Losers: Implication for Market Efficiency”, Journal of Finance, 48, 65-91. [18] Kumar, A. and C. M. C. Lee, (2006), “Retail Investor Sentiment and Return Comovements”, Journal of Finance, 61, 2451-2486. [19] Kyle, A. and W. Xiong, (2001), “Contagion as a wealth effect”, Journal of Finance, 56, 1401–1440. [20] Lim, T., (2001), “Rationality and Analysts’ Forecast Bias”, Journal of Finance, 56, 369-385. [21] Mian, G. M. and S. Sankaraguruswamy, (2012), “Investor Sentiment and Stock Market Response to Earning News”, The Accounting Review, 87, 1357-1384. [22] Shapira, Z. and I. Venezia, (2001), “Patterns of Behavior of Professionally Managed and Independent Investors”, Journal of Banking and Finance, 25(15), 73–87. [23] Shefrin, H. and M. Statman, (1985), “The disposition to sell winners too early and ride losers too long: Theory and evidence”, Journal of Finance, 40(7), 77–90. [24] Solomon, D. H., (2012), “Selective Publicity and Stock Prices”, Journal of Finance, 67, 599-638. [25] Veldkamp, L. L., (2006), “Information Markets and the Comovement of Asset Prices”, Review of Economic Studies, 73 (3), 823-845. [26] Yuan, K., (2005), “Asymmetric price movements and borrowing constraints: a REE model of crisis, contagion, and confusion”, Journal of Finance, 60, 379–411. [27] 王錦瑩、林晏竹 (2007)， 「散戶情緒與股票報酬－台灣股市實證研究」, 《中華科技大學學報》，50，145-165。 [28] 李春安、羅進水、蘇永裕 (2006)，「動能策略報酬: 投資人情緒與景氣循環之研究」，《財務金融學刊》，14(2)，73-109。 [29] 周賓凰、張宇志、林美珍 (2007)，「投資人情緒與股票報酬互動關係」，《證券市場發展季刊》，19(2)，153-190。 [30] 詹場、胡星陽、呂朝元、徐崇閔 (2011)，「市場狀態與投資人對盈餘訊息之反應」，《經濟論文叢刊》，39(4)，463–510。 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/54998 | - |
| dc.description.abstract | 本文以2003/12~2013/12間台灣上市公司股票的交易資料，檢視公司的媒體報導頻率、散戶投資人情緒和股價報酬率的關係，並探討在不同的市場狀態下三者關係是否改變。實證結果顯示：(1)新聞頻率對股票超額報酬率有正面影響，且小型公司的股價報酬率對新聞頻率的反應較慢。(2)散戶投資人情緒則對新聞頻率對股價報酬率的影響有部分中介效果。(3)小型公司的股價報酬率會受到大型公司新聞頻率的負面影響，尤其在牛市時效果更強。 | zh_TW |
| dc.description.abstract | This study investigates the relationship among media coverage, retail investor sentiment and stock return in Taiwan stock market from December 2003 to December 2013. We also examine whether the relationship would change on different market state or not.
The result indicates that first, news frequency has positive influence on excess stock return, and stock returns of small firms react to news frequency more slowly than big firms. Secondly, retail investor sentiment has a partial mediation effect on the path of news frequency to stock return. Thirdly, the news frequency of the big-firm portfolio has negative influence on the excess stock return of the small-firm portfolio, especially during a bull market. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T03:43:52Z (GMT). No. of bitstreams: 1 ntu-103-R01723048-1.pdf: 702634 bytes, checksum: 20e7cd2ed63ff51bc455986572886d4f (MD5) Previous issue date: 2014 | en |
| dc.description.tableofcontents | 誌謝 i
中文摘要 ii ABSTRACT iii CONTENTS iv LIST OF FIGURES vi LIST OF TABLES vii Chapter 1 前言 1 Chapter 2 文獻回顧與假說建立 3 2.1 文獻回顧 3 2.1.1 注意力相關文獻 3 2.1.2 新聞報導相關文獻 4 2.1.3 投資人情緒相關文獻 5 2.1.4 股價間的共同移動關係 6 2.2 假說建立 6 Chapter 3 研究方法 10 3.1 資料來源 10 3.2 研究樣本分組 10 3.3 變數定義及衡量方法 10 3.3.1 散戶投資人情緒 10 3.3.2 新聞頻率 15 3.3.3 市場狀態 16 3.4 研究模型 17 3.4.1 新聞頻率、散戶投資人情緒對投資組合超額報酬之影響 17 3.4.2 散戶投資人情緒的中介效果 19 Chapter 4 實證結果與分析 20 4.1 樣本資料敘述統計 20 4.2 新聞頻率、散戶投資人情緒對投資組合超額報酬之影響 23 4.3 散戶投資人情緒的中介效果 30 4.4 大公司群組對小公司群組之影響 35 4.5 市場狀態之影響 39 Chapter 5 結論 42 REFERENCE 44 | |
| dc.language.iso | zh-TW | |
| dc.subject | 市場狀態 | zh_TW |
| dc.subject | 新聞頻率 | zh_TW |
| dc.subject | 散戶投資人情緒 | zh_TW |
| dc.subject | 股價共動性 | zh_TW |
| dc.subject | 媒體報導 | zh_TW |
| dc.subject | Comovement | en |
| dc.subject | Market State | en |
| dc.subject | Retail investor sentiment | en |
| dc.subject | Media coverage | en |
| dc.subject | News frequency | en |
| dc.title | 新聞頻率、散戶投資人情緒與股價共動性 | zh_TW |
| dc.title | News Frequency, Retail Investor Sentiment, and Stock Comovement | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 103-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 何耕宇(Keng-Yu Ho),莊文議(Wen-I Chuang) | |
| dc.subject.keyword | 新聞頻率,媒體報導,散戶投資人情緒,市場狀態,股價共動性, | zh_TW |
| dc.subject.keyword | News frequency,Media coverage,Retail investor sentiment,Market State,Comovement, | en |
| dc.relation.page | 46 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2015-02-10 | |
| 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-103-1.pdf 未授權公開取用 | 686.17 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。