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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/34088
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34088


    Title: 台灣散戶投資人情緒對股票報酬的影響
    Authors: 林晏竹
    Contributors: 劉玉珍
    林晏竹
    Keywords: 周轉率
    融資融券
    當日沖銷
    BSI
    Date: 2005
    Issue Date: 2009-09-17 19:26:20 (UTC+8)
    Abstract: 本研究選取BSI、投機性BSI、散戶投資人周轉率、融資餘額變動率、融券餘額變動率、當日沖銷比率這六個散戶投資人情緒變數,對台灣股市上市普通股之超額報酬率進行分析。因為Baker and Wurgler(2006)認為對某些不易評價或難以套利的投資組合,投資人情緒的影響力會較大,因此本研究主要探討散戶投資人情緒變數是否會對不同投資組合造成不同的影響。結果發現小規模、低機構法人持股、低獲利性、低有形資產比重的投資組合超額報酬率對BSI、融資餘額變動率和當日沖銷比率這三個投資人情緒變數的變動最為敏感,而其中BSI幾乎不管在哪一種分類的投資組合中都與超額報酬率呈現顯著的負向關係,顯示BSI可能是一個一般性的錯誤定價因子,並非僅在個股難以評價時才有影響力。雖然BSI、融資餘額變動率和當日沖銷比率這三個投資人情緒變數和投資組合超額報酬率有顯著的同期關係,但卻僅有融資餘額變動率和當日沖銷比率具有預測超額報酬率的能力;此外,在忽略交易成本和稅賦之下,也只有當日沖銷比率在小規模和低獲利的投資組合內可以得到明顯的經濟利益。
    Reference: 古金尚,2003,「台灣股票市場投資者心理情緒影響因素之實證研究」,未出版碩士論文,朝陽科技大學財務金融研究所。
    吳訂宜,2002,「台灣股價能否被預測? −以每日之價、量、個用交易及外資買賣超」,未出版碩士論文,私立朝陽科技大學財務金融研究所。
    洪培元,2004,「市場情緒指標與股價報酬關係之研究」,未出版碩士論文,朝陽科技大學財務金融研究所。
    許銘傑,2002,「市場情緒與基本面對短期股價影響之比較」,未出版碩士論文,國立政治大學國際貿易研究所。
    張宇志,2004,「投資者情緒與市場報酬」,未出版碩士論文,國立中央大學財務金融研究所。
    陳怡靜,2001,「台灣地區總體經濟因素與股票和債券報酬關係之實證研究」,未出版碩士論文,國立中山大學財務管理研究所。
    Baker, Malcolm, Jeremy C. Stein, 2004, Market liquidity as a sentiment indicator. Journal of Financial Markets 7, 271–299.
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    Description: 碩士
    國立政治大學
    財務管理研究所
    92357009
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0923570091
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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