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| Title: | 台灣ETF溢價現象與賭博偏好
ETF Premium Ratio and Gambling Preference in Taiwan |
| Authors: | 林禹岑
Lin, Yu-Cen |
| Contributors: | 周冠男
Chou, Robin K.
林禹岑
Lin, Yu-Cen |
| Keywords: | ETF
折溢價率
賭博偏好
樂透型股票
樂透股指數LIDX
ETF
Premium ratio
Gambling preference
Lottery-type stock
Lottery index (LIDX) |
| Date: | 2021 |
| Issue Date: | 2021-07-03 00:39:15 (UTC+8) |
| Abstract: | 過去國內外文獻極少針對ETF市場討論投資人賭博偏好，本文旨在初步連結相關議題，期望能有拋磚引玉之效。在排除債券ETF和境外ETF後，採用2015至2020年間曾於證交所或櫃買中心掛牌之125檔ETF作為研究樣本，探討台灣ETF出現極端高溢價之成因，並從投資人行為面進行解釋。實證結果發現：高溢價ETF的未來報酬表現較差。透過事件研究法得知，當溢價率超越30%時，60個交易日（約3個月）內標準化累積異常報酬率（SCAR）為-24%。觀察各類型ETF後發現，涉及國外指數商品之ETF溢價率低於一般ETF，但涉及期貨商品之ETF、具槓桿反向特性之ETF、符合前兩項任一條件之ETF，皆因期貨轉倉成本而導致溢價率顯著高於一般ETF。而實證回歸結果指出，高溢價ETF具有低市價、高單日最大報酬率、低年化報酬率之特性，與樂透型股票相似。可進一步推論，ETF的高溢價率與投資人的賭博偏好有關。然而，溢價率與異質偏態的關係和樂透型股票相反，並且，樂透股指數LIDX不適合作為ETF異常高溢價之預警指標。另外，實證研究發現，投資者因損失趨避而不願實現損失，導致ETF市價下跌幅度小於淨值，使溢價率居高不下。而由於投資者的關注會加深購買力道，導致規模大或交易量大的ETF溢價率更高。最後，高流動性有助於減緩ETF溢價情形。
Empirical studies are rare regarding gambling preference in the ETF market. This paper aims at filling the gap and figures out the reasons for the abnormal high premium ratio of ETFs in Taiwan, using 125 ETF monthly data in 6 years from the TEJ database. The empirical results are as the followings: First, high-premium ETFs perform worse in the future. When the ETF premium ratio surpasses 30%, there is a standardized cumulative abnormal return (SCAR) of 24% loss after 60 transaction days (about 3 months). Second, the mean premium ratio of Foreign-type ETFs is lower than Pure ETFs. But for Futures-type ETFs, Leverage-type ETFs, and Futures-or-Leverage-type ETFs, their premium ratios are significantly higher than Pure ETFs due to the rolling cost of futures in their portfolio. Third, high-premium ETFs tend to have lower prices, higher maximum daily returns, and lower yearly returns, similar to lottery-type stocks. Therefore, the high premium ratio of ETF is related to investors` gambling preferences. However, the relationship with idiosyncratic skewness is contrary to lottery-type stocks, and the lottery index (LIDX) is not a suitable indicator of an abnormal ETF premium phenomenon. Moreover, investors’ reluctance of realizing loss causes prices to fall less than NAV, making the premium ratio stay high. And big and hot ETFs have higher premium ratios because of investors’ attention to them. Finally, higher liquidity is helpful to correct ETF mispricing. |
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| Description: | 碩士
國立政治大學
財務管理學系
108357008 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108357008 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202100541 |
| Appears in Collections: | [財務管理學系] 學位論文
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