放空限制與投資人情緒對交易活動之影響

Abstract

我們根據Chordia, T., Huh, S., Subrahmanyam, A.,(2006)的研究，以此篇為基本架構，再往後發展加入投資人情緒(Robert F., Stambaugh, Yu J., Yuan Y.,(2010))與放空限制變數(Nagel S.,(2004))研究其中變數間的變化與影響。我們的資料期間橫跨1983年初到2012年底，且涵蓋了NYSE/AMEX與Nasdaq兩大交易市場，共15個變數因子。實證的結果發現，放空限制越嚴重，將使得投資人的交易越不熱絡，而區分投資人情緒的高低時期，發現盈餘預估波動度在高情緒時對交易量影響越劇烈；盈餘波動度與盈餘驚艷程度在低情緒時，對交易活動影響較小，代表就算盈餘有突破性的成長或衰退，提不起勁的投資人也無動於衷；公司存活期間此變數在低情緒期間較高情緒期間大，意味著當投資人情緒低落時，會較集中交易在老牌公司的股票，而情緒高昂時，投資人較不在意此項變數，老牌公司的穩健報酬以不是首選；帳市比變數在低情緒期間普遍大於高情緒期間，顯示投資人在低情緒期間，類似於公司存活期間變數的解釋，會較關注基本面，反之亦然。

We depend on Chordia, T., Huh, S., Subrahmanyam, A., (2006), and use it for our basic base. Then we add investor sentiment factor (Robert F., Stambaugh, Yu J., Yuan Y., (2010)) and short-sale constrain factor (Nagel S., (2004)) to study the change and effect among factors. Our data period is form beginning of 1983 to end of 2012, cover NYSE/AMEX and Nasdaq, and contain 15 factors. The results show that when short-sale constrain is tighter, trading activity is duller. When using high and low two period to distinguish investor sentiment, we find volatility of expecting earning is higher in high sentiment period than in low. Volatility of earning and surprise of earning are have less effect to trading activity in low sentiment period. It seems whether earning has strong grow or decline, investor completely do not care. The coefficient of company age in low sentiment is larger than in high. It seems when investor have low sentiment, they will concentrate on trading older company. And when they have high sentiment, they seems less care about it, robust return of old company has less attraction. The coefficient of Book-to-Market ratio in low sentiment is higher than in high, it reveals investor will more focus fundamental vice versa.