衡量投資人情緒指標持續效果對投資績效的影響

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题名:	衡量投資人情緒指標持續效果對投資績效的影響
作者:	張至賢;Chang,Chin-Hsien
贡献者:	企業管理學系
关键词:	持續效果;投資人情緒指標;周轉率;資產定價模型;動態SBM;Carry-over;Investor sentiment;Turnover;CAPM;Dynamic SBM
日期:	2013-06-19
上传时间:	2013-07-10 11:53:27 (UTC+8)
出版者:	國立中央大學
摘要:	我們都知道在持有資產，價格不斷波動的情況下，只有上漲多於下跌才有可能創造足夠的獲利；同樣地，在持有資產空頭部位的時候，也只有在價格下跌的多於上漲的情況下才能創造出足夠的獲利。不僅如此，在近期興起的行為財務學領域中，有別於傳統的財務模型，認為投資人的心理狀態才是影響資產價格定價波動的重要因子，因此出現了所謂的投資人情緒指標作為預測資產價格反轉的重要依據。本研究利用上述的概念，針對持有資產的多頭部位建立一個模型；持有空頭部位建立另外一個模型，使用動態SBM將投資人情緒指標作為資產價格變化波動的持續效果(Carry-over)，除了評估這兩種模式的績效和整體大環境對投資的影響，還和未納入持續效果的動態SBM做差異性檢定，評估投資人情緒指標對於投資績效的影響。研究的結果顯示，在金融海嘯的之後，多方的Model I表現可能受到影響，且影響直到2012年都在，績效雖然時有起色，但是又馬上下滑，顯示績效起伏不定，這段時間持有多頭部位對於投資人而言是件相當辛苦的事；反觀做空的Model II表現卻相對較穩定，且績效幾乎都在高檔徘徊，代表著這段時間持有空頭部位的績效相當優異，從以上幾點來看，在金融海嘯之後的一段期間非常適合做針對群眾恐慌的空頭操作，這是因為2008年到2012年全球市場上還是充滿著恐慌的氣氛的關係。最後，在用Wilcoxon檢定了一般的動態SBM和未納入持續效果(Carry-over)的SBM是否存在顯著差異之後，發現，兩者間確實存在顯著的差異，投資人情緒指標確實對於投資的績效有顯著的影響，投資人在投資時應該多加注意情緒指標的變化，以防價格反轉。 We all know that in the case that asset’s price fluctuate constantly, only when prices rise more than fall would bring enough profits if you are holding the long position this is the same for the short position, only in the case that prices fall more than rise create ideal profit. Moreover, the rising field named behavioral finance has proposed models that are different from traditional ones, the psychological state of investors do influence asset prices and is an important factor for pricing volatility, to observe the change of the psychology state of investors, behavior finance comes the investor sentiment indicator to predict the reversal of asset prices. In this study, we use the concepts above to build a long position model and another short position model, Dynamic SBM will be used to set investor sentiment as the Carry-over of asset prices change, to evaluate the performances of these two models and the overall environment impact on investment performance. Furthermore we have another dynamic SBM without carry-over, to assess investor sentiment indicators for investment performance. Results of the study shows that after financial crisis, the long position model’s performance is probably affected, and the effect has been until 2012, although sometimes performance is fine, but it immediately fell, showing ups and downs, this time for investors with long positions is tough in the contrast, the short position model’s performance was relatively stable and high performance in most time, representing short positions in this time is quite excellent, which means in this period after the financial crisis is very suitable for panic shorting. This was because the market was still panic from 2008 to 2012. Finally, with the Wilcoxon test, the general dynamic SBM and no Carry-over dynamic SBM exists significant differences, investors should pay more attention on the investment sentiment indicators change, to prevent price reversal.
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