資訊不確定性與股票報酬

Abstract

已經有相當多的文獻提出關於短期股價會有慣性現象的證據，一般說來，短期股價慣性是歸因於投資人的行為偏誤，例如對市場新資訊的過度反應。如果短期股票慣性現象是由於投資人的行為偏誤所引起，那麼在高度資訊不確定之下，我們應該可以觀察到較大的股價漂移現象。即在高度資訊不確定時，若伴隨著市場好消息的來臨，將預期能得到較高的股票報酬；反之，若是市場有壞消息釋出時，則預期會得到相對低的股票報酬。而本篇論文是要探討資訊不確定性(Information Uncertainty)對於股價慣性背離現象以及對於橫截面股票報酬的影響。

There are many substantial evidences of short-term stock price continuation, the prior literatures often attribute it to investor behavioral biases, for example, the underreaction to new information in the market. If short-term stock price continuation is due to investor behavioral biases, we should see the greater stock price anomalies under greater information uncertainty. As a result, the greater information uncertainty is expected to generate relatively higher future returns following good news and relatively lower future returns following bad news. This paper investigates the effects to stock price continuation and cross-section returns under information uncertainty.