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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 胡星陽 | zh_TW |
| dc.contributor.advisor | Shing-Yang Hu | en |
| dc.contributor.author | 徐維廷 | zh_TW |
| dc.contributor.author | Wei-Ting Hsu | en |
| dc.date.accessioned | 2023-08-16T17:17:37Z | - |
| dc.date.available | 2023-11-09 | - |
| dc.date.copyright | 2023-08-16 | - |
| dc.date.issued | 2023 | - |
| dc.date.submitted | 2023-08-09 | - |
| 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(2), 485–505.
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/89139 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2023-08-16T17:17:37Z No. of bitstreams: 0 | en |
| dc.description.provenance | Made available in DSpace on 2023-08-16T17:17:37Z (GMT). No. of bitstreams: 0 | en |
| dc.description.tableofcontents | 摘要 i
Abstract ii 誌謝 iii 目錄 iv 第一章 緒論 1 1.1 研究動機與目的 1 1.2 研究背景 1 1.3 研究結果與貢獻 2 第二章 文獻回顧與假說建立 3 2.1 壞消息囤積理論 (Bad News Hoarding Theory) 3 2.1.1 囤積壞消息的動機 3 2.1.2 衡量方式 3 2.2 投資人情緒 5 2.2.1 市場整體的投資人情緒 5 2.2.2 個別公司的投資人情緒 6 2.2.3 投資人情緒與公司資訊揭露 7 2.3 假說建立 7 2.3.1 機制一 8 2.3.2 機制二 8 第三章 資料與變數 9 3.1 資料來源與篩選準則 9 3.2 變數定義 9 3.2.1 投資人情緒指標 9 3.2.2 公司的個別報酬 11 3.2.3 衡量價格崩跌風險之變數 11 3.2.4 衡量公司不透明度之變數 12 3.2.5 其他控制變數 13 第四章 實證分析 14 4.1 變數統計資料 14 4.1.1 敘述統計 14 4.1.2 相關係數 14 4.2 初步分組分析 17 4.3 公司不透明變數之間的關係 19 4.4 公司不透明度與股價崩跌風險 20 4.5 投資人情緒、公司不透明度、與股價崩跌風險 22 4.6 其他測試 25 4.6.1 其他情緒指標 25 4.6.2 建構多空投資策略 27 第五章 結論與建議 29 參考文獻 30 附錄 A 其餘迴歸結果 32 A.1 空單餘額殘差估計結果 32 | - |
| dc.language.iso | zh_TW | - |
| dc.subject | 公司不透明度 | zh_TW |
| dc.subject | 壞消息囤積理論 | zh_TW |
| dc.subject | 股價崩跌風險 | zh_TW |
| dc.subject | 投資人情緒 | zh_TW |
| dc.subject | 行為財務學 | zh_TW |
| dc.subject | Investor Sentiment | en |
| dc.subject | Behavioral Finance | en |
| dc.subject | Bad News Hoarding Theory | en |
| dc.subject | Stock Price Crash Risk | en |
| dc.subject | Company Information Opacity | en |
| dc.title | 投資人情緒、壞消息囤積、與股價崩跌風險 | zh_TW |
| dc.title | Investor Sentiment, Bad News Hoarding, and Crash Risk | en |
| dc.type | Thesis | - |
| dc.date.schoolyear | 111-2 | - |
| dc.description.degree | 碩士 | - |
| dc.contributor.oralexamcommittee | 陳明賢;莊文議;陳鴻崑 | zh_TW |
| dc.contributor.oralexamcommittee | Ming-Shen Chen;Wen-I Chuang;Hung-Kun Chen | en |
| dc.subject.keyword | 行為財務學,投資人情緒,公司不透明度,股價崩跌風險,壞消息囤積理論, | zh_TW |
| dc.subject.keyword | Behavioral Finance,Investor Sentiment,Company Information Opacity,Stock Price Crash Risk,Bad News Hoarding Theory, | en |
| dc.relation.page | 32 | - |
| dc.identifier.doi | 10.6342/NTU202301157 | - |
| dc.rights.note | 同意授權(限校園內公開) | - |
| dc.date.accepted | 2023-08-10 | - |
| dc.contributor.author-college | 管理學院 | - |
| dc.contributor.author-dept | 財務金融學系 | - |
| 顯示於系所單位： | 財務金融學系 | |
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