政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/103976
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 114012/145044 (79%)
造访人次 : 52104541      在线人数 : 464
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/103976


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/103976


    题名: 投資者有限關注與股價表現及投資者行為異質性
    The performance of stock price and investor heterogeneity with investor attention.
    作者: 鄭威
    贡献者: 李志宏
    鄭威
    关键词: 有限關注度
    投資者異質
    股價反轉
    高轉送
    日期: 2016
    上传时间: 2016-11-14 16:08:56 (UTC+8)
    摘要: 在傳統的投資者有限關注度對於股價影響的研究中，往往都採取極端收益率、異常成交量等市場指標作為投資者關注度的代理變量。隨著網絡科技的發展，搜索引擎和財經網站的數據更直觀、即時、準確地反應了投資者關注度的變化。本文用和訊網股票關注度作為衡量投資者關注度的代理變量，實證檢驗了和訊網股票關注度所帶來的投資者異質性以及和創業板股價的聯繫。本文的實證結論主要有以下幾點：1.和訊網股票關注度比市場指標為代表的投資者關注度的代理變量更及時地反應投資者的注意力的分佈。2.小額投資者受關注度影響持續淨買入，而大額投資者則在關注度高的期間大量賣出以套利。3.投資者有限關注度對股價當期起正向的壓力，之後迅速反轉。4.在創業板市場上的高轉送(high stock dividends)事件期的股價反轉現象受關注度驅動。
    In the traditional studies of investor attention,scholars often use indirect proxies of investor attention .such as extreme return，trading volume and price limit.with the development of network technology,the measures of investor attention from search engine and financial web are more direct ,immediate and accurate.this paper use the measure of investor attention from hexun web to test if investor attention links with investor heterogeneity and GEM stock performance.We find that：1. hexun investor attention captures investor attention in a more timely fashion than the other proxies of investor attention. 2. Retail investors are likely to be net buyers of attention-grabbing stock continuously while large investors keep selling. 3. The investor attention brings the positive pressure to current stock price, and then quickly reverses. 4. The stock price reversal in the period of high stock dividends event is driven by the investor attention.
    參考文獻: Grullon G, Weston J P,2004，Advertising, breadth of ownership, and liquidity，Review of Finance 31,1645-1680.
    Barber B M, Odean T, 2008, All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors, Review of Finance 21, 785-818.
    Chan W S, 2003, Stock price reaction to news and no-news: drift and reversal after headlines, Journal of Finance 52,151-186.
    Tetlock P. C, 2007, Giving content to investor sentiment: The role of media in the stock market, The Journal of Finance 10, 969-993.
    Aboody, D, R. Lehavy, and B. Trueman, 2010, Limited attention and the earnings announcement returns of past stock market winners, Review of Finance82, 251-288.
    DellaVigna, Stefano and Joshua Pollet, 2009, Investor Inattention and Friday Earnings Announcements, Journal of Finance 64, 709-749.
    Mark S. Seasholes, Guojun Wu, 2007, Predictable behavior, profits, and attention, Journal of Empirical Finance 14,590-610.
    Solomon, David H, 2012, Selective Publicity and Stock Prices, Journal of Finance 67, 599-637.
    Da Z, Engelberg J, GAO P, 2009, In Search of Attention, The Journal of Finance 66, 1461-1499.
    Lee, Charles M. C, Balkrishna Radhakrishna, 2000, Inferring Investor Behavior: Evidence from TORQ Data, Journal of Financial Markets 3, 83-111.
    Daniel, Kent D, Mark Grinblatt, Sheridan Titman, and Russ Wermers, 1997, Measuring mutual fund performance with characteristic-based benchmarks, Journal of Finance 52, 1035-1058.
    Engelberg, Joseph, Caroline Sasseville, Jared Williams.Market Madness-The Case of Mad Money58, 351-364.
    DellaVigna S, 2009, Psychology and economics: evidence from the field, Journal of Economic Literature 47,315-358.
    Louis, Henock and Amy Sun, 2010, Investor inattention and the market reaction to merger announcements, Management Science 56, 1781-1793.
    Tim Bollerslev, Lin Peng and Wei Xiong, 2007, Investor Attention and Time-Varying Comovements, Europan Financial Management13, 394-422.
    Vlastakis, Nikolaos, Markellos and Raphael N, 2010, Information demand and stock market volatility, Journal of Banking and Finance 36 , 1808-1821.
    Eichler S, 2012, Limited Investor Attention and the Mispricing of American Depository Receipts, Economics Letters 115, 490-492.
    Michael S, Drake, Darren T, Roulstone and Jacob R, 2012, Investor Information Demand: Evidence from Google Searches Around Earnings Announcements. Journal of Accounting Research 50, 1001–1040.
    Mizrach, Bruce and Susan Z. Weerts, 2009, Highs and Lows: A Behavioral and Technical Analysis, Applied Financial Economics 19, 767-778.
    饶育蕾,彭叠峰,成大超.媒体注意力会引起股票的异常收益吗?——来自中国股票市场的经验证据[J]. 系统工程理论与实践. 2010(02)。
    宋雙傑,曹暉,楊坤.投資者關注與IPO異象——來自網路搜索量的經驗證據[J]. 經濟研究. 2011(01)。
    鄒富. 基金業績、投資者有限注意力與基金申購[J]. 上海金融. 2011(12)
    俞庆进,张兵.投资者有限关注与股票收益——以百度指数作为关注度的一项实证研究[J]. 金融研究. 2012(08)。
    楊曉蘭.我國股票市場的網絡關注度效應-一個基於和訊網股票關注度的實證檢驗[J].浙江大學學報.2011(03)。
    肖磊.對我國故事內幕交易的實證研究[J].金融研究2005(09)。
    张新,祝红梅.内幕交易的经济学分析[J]. 经济学(季刊). 2003(04)。
    李心丹,王冀宁,傅浩. 中国个体证券投资者交易行为的实证研究[J]. 经济研究. 2002(11)。
    秦國權.中國高轉送A股上市公司的財務特徵研究-以製造業為例[J].對外經貿大學學報.2014（09）。
    付朝勇.創業板高派現、高轉送動因及經濟後果研究-基於影視行業上市公司分析[D].華東理工大學：2014。
    鄧雄博.高轉送公告對股票收益率影響的實證研究[J].觀點.2013(03)。
    常曉.我國深市A股上市公司高轉送的短期市場反應及合理性分析實證研究[D].西南財經大學:2014。
    描述: 碩士
    國立政治大學
    財務管理研究所
    103357040
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G1033570401
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    040101.pdf909KbAdobe PDF2312检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    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 ©   - 回馈