散戶投資者會影響價值溢酬嗎?

Abstract

本文探討散戶的交易行為是否會影響價值溢酬。我們使用了著名網路券商羅賓漢所提供的資料，發現散戶的交易行為對股票報酬有正向且顯著的影響。此外，這正向的散戶效應在成長股當中表現更為明顯，這表示散戶更容易被成長股這類型的股票所吸引。更重要的是，我們發現散戶在買進成長股後的一週內便出現了報酬反轉的現象，這表示散戶激進的買入行為的確造成了價格壓力。而散戶在買進價值股後的一週內並沒有出現反轉的現象，並且對其報酬的正向影響仍可持續至一個月。因此，我們認為散戶的交易行為很有可能是導致成長股未來績效不好的原因之一。總的來說，本文的研究結果與價值溢酬的行為面解釋是一致的。 關鍵字：散戶、股票、成長股、價值股、報酬反轉、價值溢酬

This paper examines whether retail investors’ trading activities would affect the value premium. Using data from Robinhood, we find that retail investors’ trading activities can have positive impacts on the stock returns and this positive retail effect is more pronounced in growth stocks. More importantly, we find that the retail effect on cumulative returns of growth stocks becomes diminished compared to value stocks. The findings suggest that excessive retail buying of growth stocks generates substantial price pressure and subsequently exhibits a negative return reversal pattern. Taken together, our evidence is consistent with the behavioral explanation of the value premium. Keywords: retail investors, stocks, growth stocks, value stocks, return reversal, value premium