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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 莊文議(Wen-I Chuang) | |
| dc.contributor.author | Shih-Han Cheng | en |
| dc.contributor.author | 鄭詩涵 | zh_TW |
| dc.date.accessioned | 2022-11-24T03:43:14Z | - |
| dc.date.available | 2021-08-16 | |
| dc.date.available | 2022-11-24T03:43:14Z | - |
| dc.date.copyright | 2021-08-16 | |
| dc.date.issued | 2021 | |
| dc.date.submitted | 2021-07-22 | |
| dc.identifier.citation | Aboody, D., Even-Tov, O., Lehavy, R., Trueman, B., 2018. Overnight returns and firm-specific investor sentiment. Journal of Financial and Quantitative Analysis 53, 485–505. Baker, M., Wurgler, J., 2006. Investor sentiment and the cross-section of stock returns. Journal of Finance 61, 1645–1680. Barber, B., Odean, T., 2008. All that glitters: the effect of attention and news on the buying behavior of individual and institutional investors. The Review of Financial Studies 21, 785–818. Campbell, J.Y., Hilscher, J., Szilagyi, J., 2008. In search of distress risk. Journal of Finance 63, 2899–2939. Chen, L., Novy-Marx, R., Zhang, L., 2010. An alternative three-factor model. Unpublished working paper, University of Rochester. Cooper, M.J., Gulen, H., Schill, M.J., 2008. Asset growth and the cross- section of stock returns. Journal of Finance 63, 1609–1652. Daniel, K.D., Titman, S., 2006. Market reactions to tangible and intangible information. Journal of Finance 61, 1605–1643. D’Avolio, G., 2002. The market for borrowing stock. Journal of Financial Economics 66, 271–306. Fama, E., French, K., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3–56. Hirshleifer, D., Hou, K., Teoh, S.H., Zhang, Y., 2004. Do investors over- value firms with bloated balance sheets. Journal of Accounting and Economics 38, 297–331. Keynes, J.M., 1936. The General Theory of Employment, Interest, and Money. Macmillan, London. Lin, Chin, Chang, 2011. Investor Sentiment and Analyst Behavior. Journal of Management 28(2), 447-474 Loughran, T., Ritter, J.R., 1995. The new issues puzzle. Journal of Finance 50, 23–51. Miller, E.M., 1977. Risk, uncertainty and divergence of opinion. Journal of Finance 32, 1151–1168. Novy-Marx, R., 2010. The other side of value: Good growth and the gross profitability premium. Unpublished working paper, University of Chicago. Ohlson, J.A., 1980. Financial ratios and the probabilistic prediction of bankruptcy. Journal of Accounting Research 18, 109–131. Ritter, J.R., 1991. The long-run performance of initial public offerings. Journal of Finance 46, 3–27. Shleifer, A., Vishny, R., 1997. The limits of arbitrage. Journal of Finance 52, 35–55. Sloan, R.G., 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Review 71, 289–315 Stambaugh, R. F., Yu, J., Yuan, Y.（2012）The short of it: Investor sentiment and anomalies. Journal of Financial Economics, 104(2), 288–302. Titman, S., Wei, K., Xie, F., 2004. Capital investments and stock returns. Journal of Financial and Quantitative Analysis 39, 677–700. White, H., 1980. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48, 817–838. Xing, Y., 2008. Interpreting the value effect through the Q-theory: an empirical investigation. Review of Financial Studies 21, 1767–1795. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/81324 | - |
| dc.description.abstract | 近年來有許多的學者致力於研究投資人情緒對股價之影響，一些針對美國股票市場的研究也顯示出投資人情緒對股票價格偏誤的影響確實存在。本文基於賣空障礙使價格高估效果比價格低估效果顯著的理論背景下，加入投資人情緒，以國內股票市場作為研究對象，股票隔夜報酬率作為投資人情緒指標，研究投資人情緒對於股票報酬異常現象的關聯性。本文依異常現象指標大小將公司組成十個投資組合，並買進表現最佳的股票組成作多投資組合、放空表現最差的股票組成作空投資組合，觀察在不同的投資人情緒狀態時，對多、空部位和套利投資組合的報酬影響。本文得到三點重要實證結果：第一、異常現象在投資人情緒高昂時較為明顯；第二、當投資人情緒較高昂時，作空投資組合的超額報酬明顯較低；第三、投資人情緒對於作多投資組合的報酬影響較不明顯。 | zh_TW |
| dc.description.provenance | Made available in DSpace on 2022-11-24T03:43:14Z (GMT). No. of bitstreams: 1 U0001-1907202123021600.pdf: 4360916 bytes, checksum: 8734bc0e54e68db5c451561e5bf174f2 (MD5) Previous issue date: 2021 | en |
| dc.description.tableofcontents | 口試委員會審定書 # 誌謝 i 中文摘要 ii ABSTRACT iii 目錄 iv 圖目錄 vi 表目錄 vii 第一章 緒論 1 1.1 研究背景與動機 1 1.2 研究目的 2 第二章 文獻回顧與研究假說 3 2.1 文獻回顧 3 2.2 假說建立 5 第三章 資料來源與研究方法 8 3.1 資料來源 8 3.2 異常現象 8 3.3 Long-short策略 12 3.4 投資人情緒 14 第四章 實證分析 15 4.1 個股情緒與異常現象 15 4.2 市場情緒與異常現象 17 4.3 市場情緒與個股情緒 20 4.4 價格不對稱或市場情緒不對稱 21 4.5 三因子溢酬 22 第五章 結論與建議 24 5.1 結論 24 5.2 未來研究建議 25 參考文獻 26 附錄 28 | |
| dc.language.iso | zh-TW | |
| dc.subject | 隔夜報酬 | zh_TW |
| dc.subject | 賣空障礙 | zh_TW |
| dc.subject | 投資人情緒 | zh_TW |
| dc.subject | 異常現象 | zh_TW |
| dc.subject | Overnight return | en |
| dc.subject | Investor sentiment | en |
| dc.subject | Short-sale impediment | en |
| dc.subject | Anomaly | en |
| dc.title | 投資人情緒與股票報酬異常現象 | zh_TW |
| dc.title | Investor Sentiment and Stock Return Anomalies | en |
| dc.date.schoolyear | 109-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 劉祥熹(Hsin-Tsai Liu),張景宏(Chih-Yang Tseng) | |
| dc.subject.keyword | 異常現象,投資人情緒,隔夜報酬,賣空障礙, | zh_TW |
| dc.subject.keyword | Anomaly,Investor sentiment,Overnight return,Short-sale impediment, | en |
| dc.relation.page | 59 | |
| dc.identifier.doi | 10.6342/NTU202101581 | |
| dc.rights.note | 同意授權(限校園內公開) | |
| dc.date.accepted | 2021-07-23 | |
| 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 | |
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