注意力與投資人情緒、個股波動度及公司債利差之關聯

Abstract

本文使用Ben-Rephael, Da, and Israelsen (2017)提出之機構投資人注意力代理變數，以及Google 的搜尋量指數作為個別投資人注意力代理變數，探討機構及個別投資人注意力與公司層面之投資人情緒、個股波動度和公司債利差的關聯性。實證結果顯示，個別投資人注意力與投資人情緒有顯著相關，對個股波動度和公司債利差亦有顯著的解釋能力，於波動度較大的情況下，會加劇對公司債利差的影響；機構投資人注意力提升時，投資人情緒反而減弱，且對於個股波動度的解釋能力小於個別投資人，與公司債利差則無顯著的關聯。

This study investigates the relationship between investor attention, firm-level investor sentiment, equity volatility, and corporate bond yield spreads. We employ a novel and direct measure of abnormal institutional investor attention proposed by Ben-Rephael, Da, and Israelsen (2017) and use Google search volume index as a proxy of individual investor attention. The empirical results show that (1) Individual attention has positively influence on firm-level investor sentiment, whereas institutional attention influences investor sentiment negatively. (2) Both measures of attention significantly explain a firm’s equity volatility; however, individual investor attention generally has better explanatory power of stock liquidity and volatility. (3) Only Individual attention has significant power to explain bond yield spreads. (4) The effect of individual investor attention on bond yield spreads will be more significant when the degree of equity volatility is higher.