政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/60634
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113392/144379 (79%)
Visitors : 51220740      Online Users : 906
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/60634


    Title: 投資人情緒、動能、與公司治理對股價的影響
    The Influence of investor sentiment, momentum, and corporate governance
    Authors: 吳孟臻
    Wu, Meng Chen
    Contributors: 李志宏
    Lee, Chih Hung
    吳孟臻
    Wu, Meng Chen
    Keywords: 投資人情緒
    動能
    公司治理
    股價
    investor sentiment
    momentum
    corporate governance
    Date: 2010
    Issue Date: 2013-09-09 11:29:26 (UTC+8)
    Abstract: 本研究採2003年12月至2010年6月上市上櫃公司為研究樣本,檢驗當期投資人情緒、公司治理、及動能投資策略對下期股價獲利的影響,與先前研究不同之處在於,投資人情緒使用世新大學投資人情緒資料庫所提供之「投資人情緒指數」。實證結果為:
    1、當期投資人情緒悲觀會使得當期股價低估,而使下期股價向上修正時有較高的報酬率。
    2、公司治理佳的股票報酬率顯著大於公司治理劣的股票報酬率。
    3、過去股價報酬率較高者未來也有較高的獲利,反之則較低。
    4、投資人情緒相較於公司治理及動能策略而言,為主要的影響股價的因素。
    5、金融海嘯時,投資人情緒悲觀仍使下期股價有較高的報酬率,但公司治理劣者報酬率顯著大於公司治理佳者。
    Reference: Antoniou C., Doukas J. and Subrahmanyam A.(2010), “ Sentiment and Momentum”, working paper.
    2. Albert Jr.,Robert L., and Smaby, T.R.(1996), " Market response to analyst recommendations in the `dartboard` column : The information and price-pressure effect," Review of Financial Economics, pp.59-74
    3. Allen, J.W. and G.M., Phillips(2000),"Corporate equity ownership, strategic alliances, and product market relationships," The Journal of Finance, 6, 2791-2814
    4. Andreassen, P. and S. Krause, 1988, “Explaining the price-volume relationship,” Organizational Behavior and Human Performance, 41(3), 347-372.
    5. Andreassen, P. and S. Krause, 1990, “Judgmental extrapolation and the salience of change,” Journal of forecasting, 9(5), 347-372.
    6. Ang, A., J. Chen, and Y. Xing (2001), Downside Risk and the Momentum Effect, NBER working paper 8643
    7. Antweiler, W. and Frank, M.Z., 2001, Is all the talk just noise: The information content of internet stock message boards, Working paper, University of British Columbia.
    8. Baker, M. and J.C. Stein (2004). “Market liquidity as a sentiment indicator,” Journal of Financial Markets 7, pp. 271-299.
    9. Brown, G. W. and M. T. Cliff (2004). Investor sentiment and the near-term stock market.Journal of Empirical Finance 11, 1–27.
    10. Brown, G. W. and M. T. Cliff (2005). Investor sentiment and asset valuation. Journal of Business 78 (2), 405–440.
    11. Barber, B. (1999), “Noise Trader Risk, Odd-Lot Trading, and Security Return”, Working Paper, University f California at Davis.
    12. Barberis, N., Andrei Shleifer, and Robert Vishny, (1998), “A model of investor sentiment”, Journal of Financial Economics, 49, 307–343.
    13. Barkham, R.J. and C.W.R. Ward(1999), “Investor Sentiment and Noise Traders: Discount to Net Asset Value in Listed Property Companies in the U.K.”, Journal of Real Estate Research, Vol.18, 291-312
    14. Chan, K.C. (1998), " On the contrarian investment strategy," Journal of Business, vol.61, no.2, pp.147-163
    32
    15. Chen, K. C. W., Chen, Z. H. and J. K. C. Wei. 2003. Disclosure, corporate governance, and the cost of equity capital: Evidence from Asia’s emerging markets. SSRN Working Paper
    16. Chordia T., Roll R., Subrahmanyam A., 2002, “Order imbalance, liquidity, and market returns,” Journal of Financial Economics, 65, 1, 111-130.
    17. Claessens, S., S. Djankov, and L. H. P. Lang. 2000. The separation of ownership and control in East Asian corporation. Journal of Financial Economics 58(1): 81-112
    18. Chen, A. (2000), “Momentum does not Matter Consistently: The Evidence from Taiwan Stock Returns.” working pape
    19. Clarke, R.G., and Statman, M.(1998), “Bullish or Bearish?” Financial Analysts Journal 5, pp.63-72.
    20. Conrad, J., and G. Kaul, 1998, “An Anatomy of Trading Strategies,” Review of Financial Studies 11, No. 3(Fall): 489-519
    21. Daniel, Hirshleifer, and Subrahmanyam (1998)
    22. DeBondt and Thaler(1985),”Does the stock market overreact?”, Journal of Finance, Vol.40,No.3, pp.793-805
    23. Daniel, K., Hirshleifer, D. and Subrahmanyam, A. (1998), “Investor psychology and security market over- and under-reactions,” Journal of Finance, Vol.53, No.6, pp. 1839–1885.
    24. David, P.L., and Cance, M.(1978), " Stock Prices and The Publication of Second-Head Information," The Journal of Business 51, pp.43-57
    25. De Bondt, W.(1993), " Betting on Trends: Intuitive Forecasts of Financial Risk and Return," International Journal of Forecasting 9, pp.355-371
    26. De Long, J.B., A. Shleifer, L. H. Summers and R.J. Waldmann(1990), "Positive feedback investment strategies and destabilizing rational speculation," Journal of Finance, Vol.25, pp375-395
    27. Fisher, K.L. and Statman, M., (2000),"Investor sentiment and stock returns", Financial Analysts Journal, 3(4), 16-23
    28. Fuerst, O., & Kang, S.H.(2000), "Corporate governance, expected operating performance, and pricing", working paper, Yale School of management, New Haven
    29. Gompers, P., J. Ishii, and A. Metrick, 2003, Corporate Governance and equity prices, Quarterly Journal of Economics, Vol. 118: 107-155.
    30. Hong, H. and J.C. Stein, 1999, A unified theory of underreaction, momentum trading and overreaction in asset markets, Journal of Finance 54,2143-2184
    31. Huth, William L. , B. A. Maris ,(1992), “Large and small firm stock price response to ‘Heard On The Street’recommendation”, Journal of Accounting, Auditing&
    33
    Finance, 7, Iss.1, pp.27-47.
    32. Jensen, M.C., and W.H. Meckling (1976) “Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure” Journal of Financial Economics, October, V.3, 4, pp. 305-360.
    33. Jones, C., 2001. "A century of stock market liquidity and trading costs", working paper, Columbia University
    34. Kaniel, R., G. Saar and S. Titman (2004), "Individual investor sentiment and stock returns", working paper, Duke University
    35. Keim, D., Kriegel, H., and Ankerst, M. (1995). Recursive pattern: a technique for visualizing very large amounts of data. Proc. of Visualization `95, p. 279-86.
    36. Jegadeesh and Titman(1993),” Returns to buying winners and selling losers-implications for stock-market efficiency.”, Journal of Finance, Vol.48, No.1, pp.65-91
    37. Lakonishok, J. and E. Maberly (1990), “The Weekend Effect: Trading Patterns of Individual and Institutional Investors”, Journal of Finance, Vol.45(1), 231-243
    38. Lee, W. Y., C. X. Jiang, and D. C. Indro(2002), “Stock Market Volatility, Excess Returns, and the Role of Investor Sentiment’, Journal of Banking & Finance, Vol.26, 2277-2299
    39. Lemmon, M., and E. Portniaguina, (2006),"Consumer confidence and asset prices: Some empirical evidence", Review of Financial Studies 19, 1499-1529.
    40. Liu, P., S. D. Smith and A. A. Syed(1990), "Stock price reactions to the Wall Street Journal`s securities recommendations", Journal of Financial and Quantitative Anaylsis, 25(3), pp.399-410
    41. Liu, W. M., (2006), "A liquidity-augmented capital asset pricing model", Journal of Financial Economics 82, pp.631-671
    42. Lo, A., and A. C. MacKinlay, 1998, “When are contrarian profits due to stock market overreaction?” Review of Financial Studies 3, 175-208.
    43. Malcolm Baker and Jeffrey Wurgler(2006), “ Investor Sentiment and the Cross-Section of Stock Returns”, Journal of Finance, Vol.LXI, No.4, 1645-1678
    44. Mitton, T. (2002), “A cross-firm analysis of the impact of corporate governance on the East Asian financial crisis.”, Journal of Financial Economics, Vol.64, No.2, pp.215-241
    45. Mitchell, M.L., Mulherin, J.H., 1994. The impact of public information on the stock market. Journal of Finance 49,923–950
    46. Neal, R. and S.M. Wheatley(1998), “Do Measures of Investor Sentiment Predict Returns”, Journal of Financial and Quantitative Analysis, Vol.33, 523-547
    34
    47. Patton, A. and J. C. Baker, “Why Won’t Directors Rock the Boat?” Harvard Business Review, 1987, 10-18
    48. Rouwenhorst, K. G. (1998), “International Momentum Strategies.” Journal of Finance, 53, No.1,pp.267-84
    49. Schiereck, D., W. F. M. De Bondt, and M. Weber,(1999),” Contrarian and momentum strategies in germany”, Financial Analysts Journal 55, 104-116
    50. Schmeling, M. (2009), "Investor sentiment and stock returns: Some international evidence," Journal of Empirical Finance, 16, 394-408.
    51. Shome, D. K. and S. Singh (1995), “Firm Value and External Blockholdings.” Financial Management, 24, No.4, pp.3-14.
    52. Shleifer, A. and Vishny, R.W., “A Survey of Corporate Governance”, ”Journal of Finance ”, 55, 737-783.
    53. Simon, D. and R. Wiggings III(2001), “S&P Futures and Contrary Sentiment Indicators,” Journal of Futures Market, 21, 447-462
    54. Weir, C. and D.Liang, (2002), Governance structures, director independence and corporate performance in the UK, European Business Review,86-95
    55. Yeh, Y. H., Lee, T. S., & Woidtke, T. 2001. Family control and corporate governance: Evidence from Taiwan. International Review of Finance, 2 (1/2): 21-48.
    56. Yeh, Y. H., Lee, T. S., & Woidtke, T. (2001), "Family control and corporate governance: Evidence from Taiwan", International Review of Finance, 2 (1/2): 21-48
    57. Yermack, David, 1996, Higher market valuation of companies a small board of directors, Journal of Financial Economics 40, 185-202
    58. Zana and Cibulskiene(2010), “Investor Sentiment Effect on Stock Returns in Scandinavian Stock Market”, Economics and Management, ISSN 1822-6515
    59.方國光(2002),公司治理與經營績效之實證研究-以上海證券交易所上市公司為例,國立台北大學會計學系未出版碩士論文。
    60.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」,未碩士論文,朝陽科技大學財務金融所
    61.朱榕屏,王明昌,謝企榮,郭照榮,莊建富(2003),「台灣股市動能與反向策略」,2003年行為財務學暨法與財務學研討會,台北:世新大學
    62.池祥萱、林煜恩、周賓凰(2007),「基金績效持續與聰明錢效果:台灣實證」,管理學報,4(6),1-19
    63.林哲鵬、黃昭祥、李春安(2006),「機構投資人行為與台灣股市報酬的關聯性」,財務金融學刊,第14卷第3期,頁111-50
    64.許溪南、郭玟秀、鄭乃誠(2005),「投資人情緒與股價報酬波動之互動關係:台灣股市之實證,台灣金融財務季刊,第六卷第三期,107-121
    35
    65.許溪南、陳慶芳(2005),「公司治理指標與價值衡量之證實分析-以我國上市(櫃)公司為例」,南台科技大學財金所碩士論文
    66.陳正佑(2002),「台股動量策略與反向策略投資績效之研究」,中山大學財務管理研究所未出版博士論文
    67.陳若菁(1996),「會計資訊與分析師推薦投資股票之研究」,國立台灣大學會計研究所碩士論文
    68.陳榮昌(2002),「台灣股票報酬之結構分析」,國立中山大學財務管理研究所碩士論文
    69.曾昱達與王正己(2002),大眾媒體推薦資訊對台灣股票市場之影響
    70.黃昭祥(2005),「法人投資行為、成交量、與報酬可預測性—台灣股市動能效應或反轉現象之再探」,雲林科技大學籲理研究所未出版博士論文
    71.鄭高輯,林泉源(2010),「投資人情緒對投機型股票報酬之影響」,商略學報,2010年,2卷,1期,021-035
    72.羅庚辛、朱孝恩、林書賢、蔡知倫(2009),「短期動量、明確訊息與訊息不確定性下之動量投資策略績效」,2009台灣科技大學管理新思維學術研討會
    73.蘇冠豪(2004),「動量策略與市場雜訊互動關係之研究」,朝陽科技大學財務金融系碩士班碩士論文
    Description: 碩士
    國立政治大學
    財務管理研究所
    98357027
    99
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0098357027
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

    Files in This Item:

    File Description SizeFormat
    702701.pdf1044KbAdobe PDF21008View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback