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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 廖咸興 | |
| dc.contributor.author | Yu-Yu Chen | en |
| dc.contributor.author | 陳又瑜 | zh_TW |
| dc.date.accessioned | 2021-06-17T03:21:21Z | - |
| dc.date.available | 2020-06-29 | |
| dc.date.copyright | 2018-06-29 | |
| dc.date.issued | 2018 | |
| dc.date.submitted | 2018-06-22 | |
| dc.identifier.citation | 1. Andrei, D. and Hasler, M., 2015. Investor attention and stock market volatility. The Review of Financial Studies, 28(1), 33–72.
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/69620 | - |
| dc.description.abstract | 本文使用Ben-Rephael, Da, and Israelsen (2017)提出之機構投資人注意力代理變數，以及Google 的搜尋量指數作為個別投資人注意力代理變數，探討機構及個別投資人注意力與公司層面之投資人情緒、個股波動度和公司債利差的關聯性。實證結果顯示，個別投資人注意力與投資人情緒有顯著相關，對個股波動度和公司債利差亦有顯著的解釋能力，於波動度較大的情況下，會加劇對公司債利差的影響；機構投資人注意力提升時，投資人情緒反而減弱，且對於個股波動度的解釋能力小於個別投資人，與公司債利差則無顯著的關聯。 | zh_TW |
| dc.description.abstract | This study investigates the relationship between investor attention, firm-level investor sentiment, equity volatility, and corporate bond yield spreads. We employ a novel and direct measure of abnormal institutional investor attention proposed by Ben-Rephael, Da, and Israelsen (2017) and use Google search volume index as a proxy of individual investor attention. The empirical results show that (1) Individual attention has positively influence on firm-level investor sentiment, whereas institutional attention influences investor sentiment negatively. (2) Both measures of attention significantly explain a firm’s equity volatility; however, individual investor attention generally has better explanatory power of stock liquidity and volatility. (3) Only Individual attention has significant power to explain bond yield spreads. (4) The effect of individual investor attention on bond yield spreads will be more significant when the degree of equity volatility is higher. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-17T03:21:21Z (GMT). No. of bitstreams: 1 ntu-107-R05723038-1.pdf: 4853168 bytes, checksum: 05c0f4819dc1403d99b88f0a767906ef (MD5) Previous issue date: 2018 | en |
| dc.description.tableofcontents | 口試委員會審定書 i
誌謝 ii 摘要 iii Abstract iv 目錄 v 圖表目錄 vi 第一章 概述 1 第二章 研究假說 6 2.1 投資人注意力與投資人情緒 6 2.2 投資人注意力、個股波動度與公司債利差 7 第三章 研究樣本與研究方法 11 3.1 主要解釋變數 11 3.2 樣本篩選、被解釋變數與控制變數 14 第四章 實證結果與分析 22 4.1 主要實證結果 22 4.2 穩健性檢定 (Robustness Test) 27 第五章 結論 30 參考文獻 32 附錄 62 | |
| dc.language.iso | zh-TW | |
| dc.subject | 投資人注意力 | zh_TW |
| dc.subject | 個別投資人 | zh_TW |
| dc.subject | 機構投資人 | zh_TW |
| dc.subject | 機構投資人 | zh_TW |
| dc.subject | 公司債利差 | zh_TW |
| dc.subject | 個股波動度 | zh_TW |
| dc.subject | 投資人情緒 | zh_TW |
| dc.subject | 投資人注意力 | zh_TW |
| dc.subject | 個別投資人 | zh_TW |
| dc.subject | 公司債利差 | zh_TW |
| dc.subject | 個股波動度 | zh_TW |
| dc.subject | 投資人情緒 | zh_TW |
| dc.subject | Equity volatility | en |
| dc.subject | Corporate bond yield spreads | en |
| dc.subject | Equity volatility | en |
| dc.subject | Investor sentiment | en |
| dc.subject | Investor attention | en |
| dc.subject | Individual investors | en |
| dc.subject | Institutional investors | en |
| dc.subject | Institutional investors | en |
| dc.subject | Individual investors | en |
| dc.subject | Investor attention | en |
| dc.subject | Investor sentiment | en |
| dc.subject | Corporate bond yield spreads | en |
| dc.title | 注意力與投資人情緒、個股波動度及公司債利差之關聯 | zh_TW |
| dc.title | Investor Attention, Investor Sentiment, Stock Return Volatility, and Corporate Bond Yield Spreads | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 106-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 何耕宇,陳宗岡 | |
| dc.subject.keyword | 機構投資人,個別投資人,投資人注意力,投資人情緒,個股波動度,公司債利差, | zh_TW |
| dc.subject.keyword | Institutional investors,Individual investors,Investor attention,Investor sentiment,Equity volatility,Corporate bond yield spreads, | en |
| dc.relation.page | 67 | |
| dc.identifier.doi | 10.6342/NTU201801059 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2018-06-22 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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| ntu-107-1.pdf 未授權公開取用 | 4.74 MB | Adobe PDF |
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