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姓名 梁景婷(Ching-Ting Liang) 查詢紙本館藏 畢業系所 財務金融學系 論文名稱 情緒與總經宣告對報酬與變異數抵換關係影響
(The relation of investor sentiment, macroeconomic announcements and risk-return trade-off)相關論文 檔案 [Endnote RIS 格式] [Bibtex 格式] [相關文章] [文章引用] [完整記錄] [館藏目錄] [檢視] [下載]
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摘要(中) 本文分別延續以投資人情緒與總經宣告的觀點探討報酬與條件變異數之抵換關係,實證發現高情緒交易日佔多數的樣本期間才能明確分離出情緒的影響,此時低情緒對報酬與變異數之抵換關係影響為正向關係,而情緒較高時則會破壞報酬與變異數之正向抵換關係,因此情緒並不全然能解釋報酬與變異數間的抵換關係。
另一方面,總經宣告在實證中僅產生些微解釋力,但加入與情緒之交乘作用後,影響大幅提升,在同時為低情緒與無宣告之交易日時,報酬與變異數抵換關係的影響為正向且顯著;而高情緒且有總經宣告日的影響為負向顯著,可以說高情緒與宣告日兩者的交乘效果明顯破壞了報酬與變異數間的抵換關係。摘要(英) This study extends the studies of investor sentiment and macroeconomic announcements on the market’s risk-return trade-off. We find that only the period that is dominated by high-sentiment can be explained by investor sentiment. During that periods, the stock market’s expected excess return is positively related to the market’s conditional variance in low-sentiment while the risk-return trade-off is negative in high-sentiment. Therefore, risk-return trade-off can’t be explained completely by investor sentiment.
In addition, we also found out that there is a little explanatory power of macroeconomic announcement. However, when it has interaction effect with investor sentiment, it has a significant effect on risk-return trade-off. The empirical results demonstrate that there is a positive relationship between the stock market’s expected excess return and the market’s conditional variance at the day which is neither announcement day nor high-sentiment day. Similarly, the risk-return trade-off is negative on the day that is both announcement day and high-sentiment day.關鍵字(中) ★ 投資人情緒
★ 報酬與變異數抵換關係
★ 總經宣告
★ 變異數關鍵字(英) ★ Investor sentiment
★ Mean-variance relation
★ Macroeconomic announcement
★ Variance論文目次 第一章 緒論 1
第二章 研究方法 4
2.1條件變異數 4
2.2情緒指標 4
第三章 樣本資料與敘述統計 6
3.1指數 6
3.2情緒指標 8
3.3總經宣告變數 9
第四章 假設與模型 11
4.1假設 11
4.2模型 12
第五章 實證分析 14
5.1情緒 14
5.2 總經宣告 18
5.3 情緒與總經宣告 19
第六章 穩健性測試 21
6.1 TGARCH 模型 21
6.2 消費者信心指數 24
第七章 結論 25
附錄 27
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Yu J, Yuan Y, 2011. Investor Sentiment and the Mean–Variance Relation. Journal Finance Economics, 100, 367–381指導教授 葉錦徽(Jin-Huei Yeh) 審核日期 2018-7-16 推文 facebook plurk twitter funp google live udn HD myshare reddit netvibes friend youpush delicious baidu 網路書籤 Google bookmarks del.icio.us hemidemi myshare