投資人情緒、壞消息囤積、與股價崩跌風險

Abstract

本研究探討投資人情緒、壞消息囤積理論、以及股價崩跌風險之間的關係，並使用兩種衡量公司不透明度的變數與兩種投資人情緒進行分析。初步的實證分析發現，公司的不透明度越高，會使得公司股價崩跌的風險提升，與過去文獻的發現相符。進一步分析不透明度、崩跌風險與投資人情緒的交互作用，結果顯示公司不透明度對崩跌風險的影響，確實會受到投資人情緒的影響而有不同，雖然其中一種投資人情緒產生混和效果，但大多數結果都是偏向支持在投資人情緒高時，公司的不透明程度對股價崩跌風險的影響會相較投資人情緒低時小。最後，以衡量公司的不透明度的變數所建構出的多空投資組合能夠獲得超額報酬，然而投資人情緒在此就不是一個決定性的因素。

This study investigates the relationship between investor sentiment, bad news hoarding theory, and stock price crash risk, using two measures of firm opacity and two measures of investor sentiment indexes. Preliminary analysis reveals that higher firm opacity increases the risk of stock price crash risks, which is consistent with prior literature. Further analysis of the interaction between opacity, crash risk, and investor sentiment demonstrates that the influence of firm opacity on crash risk varies under different levels of investor sentiment. While one type of investor sentiment produces mixed effects, most of the results support the notion that the impact of firm opacity on stock price crash risk is smaller during periods of high investor sentiment compared to periods of low investor sentiment. Lastly, a long-short investment portfolio constructed based on firm opacity measures generates excess returns, with investor sentiment not being a decisive factor in this context.