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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/68233


    Title: 總體經濟變數宣告日與非宣告日報酬差異之研究
    A Tale of Two Days: Investor Sentiment or Risk?
    Authors: 連振廷
    Lien, Chen Ting
    Contributors: 湛可南
    Chan, Konan
    連振廷
    Lien, Chen Ting
    Keywords: 投資人情緒
    總體經濟變數
    宣告日
    風險
    Investor Sentiment
    Announcement days
    Macroeconomic news
    Risk-return relation
    Date: 2013
    Issue Date: 2014-08-06 11:40:46 (UTC+8)
    Abstract: 1966年至2010年市場報酬資料顯示，在總體經濟變數宣告日的市場報酬比非宣告日的市場報酬高出數倍之多。本研究結果發現，市場投資人情緒高低與宣告日及非宣告日報酬差異有正向相關，並且投資人情緒能夠預期其報酬差異。除此之外，在市場熱絡期間，投資人情緒能夠顯著解釋其差異，而市場情緒悲觀其間，則不存在此現象。此外，本研究進一步探討風險與情緒對於報酬的解釋能力，我們發現在市場熱絡期間，投資人情緒能夠解釋其報酬差異現象，而在市場悲觀期間其報酬差異存在風險抵換關係。
    The returns of the days that macroeconomic news scheduled for release (announcement days) are extremely higher than those of other trading days. This paper indicates that investor sentiment is positively related to the excess returns difference and it predicts the difference of the returns. Also, investor sentiment is a significant factor to explain the excess returns difference during high sentiment period, whereas it is not significant during low sentiment period. Finally, we reconcile risk factor and sentiment factor toward the excess returns difference, suggesting that investor sentiment plays an important role in the excess returns difference between announcement days and other days.
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    Description: 碩士
    國立政治大學
    財務管理研究所
    101357030
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1013570302
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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