投資者情緒與市場不確定性下的 Beta 異常現象與 MAX 效應：以台灣股市為例

Abstract

本研究以 TEJ 台灣經濟新報資料庫中 1999 年至 2023 年上市及上櫃公司資料為樣本，採用 Fama–MacBeth 迴歸與單、雙變量投資組合分析，探討台灣市場中 Beta 異常現象與樂透需求(MAX)效應之存在及其與投資者情緒及市場不確定性間的交互影響。研究設計建立四組假說，檢驗依 Beta 或 MAX 排序時，超額報酬變化趨勢，以及高情緒與高不確定性環境下異常現象效應是否顯著放大。實證結果顯示，超額報酬隨風險指標升高而顯著下降，顯示 Beta 異常現象與 MAX 效應普遍存在，且主要由小型股驅動；此外，本研究發現 Beta 異常現象與 MAX 效應並非彼此獨立可控，其中 Beta 異常現象在高情緒環境下更明顯，MAX 效應則同時受情緒與市場不確定性影響。研究結果挑戰傳統 CAPM 高風險高報酬觀點，突顯投資者行為與市場環境因素在資產定價中的關鍵作用，為後續相關研究與實務操作提供實證依據與理論參考。

Using a sample of listed and over-the-counter companies from the TEJ Taiwanese Economic Journal database spanning 1999 to 2023, this study employs Fama–MacBeth regressions along with univariate and bivariate portfolio analyses to examine the existence of the beta anomaly and MAX effect in the Taiwanese market, as well as their interactive moderation by investor sentiment and market uncertainty. Four hypotheses are developed by sorting stocks based on beta and MAX factors to investigate the trend of excess returns relative to risk measures. Empirical findings reveal that as risk indicators increase, excess returns significantly decline, demonstrating the widespread presence of both the beta anomaly and the MAX effect, which are predominantly driven by small-cap stocks. Moreover, the study finds that the beta anomaly and the MAX effect are not independently controllable; specifically, the beta anomaly becomes more pronounced under high investor sentiment, whereas the MAX effect is simultaneously influenced by both sentiment and market uncertainty. These results challenge the traditional CAPM notion of high risk–high return, highlighting the critical roles of investor behavior and market environmental factors in asset pricing, and offering valuable empirical evidence and theoretical insights for future research and practical portfolio management.