投資人情緒以及放空限制對股價之影響

Abstract

本研究探討投資人情緒是否影響股價，以及易受情緒影響的股票是否具有特定的特徵，並觀察被影響股價的程度以及方向與投資人情緒的關係。因此以美國上市公司的股票為樣本，觀察前一個月的投資人情緒指標對下一個月報酬的影響，以及若建構策略來同時買進持有及賣出放空股票是否能夠獲得超額報酬。 研究方式為依照十個財務指標去分組，例如規模、股價波動程度以及成立時間長短，並觀察是否能夠以情緒指標為判斷標準來獲得超額報酬。隨後建構一個同時買進持有以及賣出放空的策略，去探討各策略報酬的來源是來哪一個部分。 根據結果，大部分以過去五十年為樣本時都能夠因為此策略獲利，主要獲得超額報酬的來源是源自於持有的部位，且在前一個月投資人情緒低迷時，獲利現象更明顯。整體來看，依照規模、帳市值比以及獲利指標去分類時有著較不同的結果，依照這三個分類標準在買進持有以及賣出放空的部分都能夠獲利。

This study explores whether investor sentiment affects stock prices and whether stocks that are susceptible to investor sentiment have certain characteristics by examining the relationship between the degree and direction of the impact of investor sentiment on stock prices. Using the stocks listed on the U.S. stock market as a sample. We study whether the long-short strategy that is formed at the current month can generate excess returns conditional on investor sentiment at the previous month. Specifically, stocks are sorted into decile portfolios based on the ten financial variables, such as firm size, stock price volatility, and firm age. Then we examine whether investor sentiment can be used to predict the returns of the long-short strategy. And further detect whether the source of its profitability comes from the long- or short-side of the strategy. Our results show that most of the long-short strategies are profitable over the sample period of past 50 years, and the profitability comes primarily from the contribution of the long-side, rather than the short-side, of the strategy. The profitability is more pronounced when investor sentiment is low at the previous month. Specifically, when the long-short strategy is constructed based on firm size, book-to-market equity and profitability measures, both the long- and short-sides of the strategy contribute to its profitability.