博碩士論文 92428013 詳細資訊




以作者查詢圖書館館藏 以作者查詢臺灣博碩士 以作者查詢全國書目 勘誤回報 、線上人數:7 、訪客IP:3.233.219.62
姓名 李呈穎(Chen-Ing Lee)  查詢紙本館藏   畢業系所 財務金融學系
論文名稱 消費者情緒對股價報酬的預測能力
(The Predictability of Consumer Sentiment on Stock Returns)
相關論文
★ 使用信用卡循環信用持卡人特性之研究★ 證券商分公司經營績效-以元大證券為例
★ 經濟變數對十年期公債殖利率影響之研究★ 從股務代理機構之角度探討全面發行無實體有價證券作業
★ 以KMV 及Logistic 模型計算發行公司違約機率-台灣股市實證研究★ 財務比率與股價報酬關聯性之研究--以全球汽車產業為例
★ 以完全複製不定期調整方式建構指數股票型基金之績效研究★ 投資組合理論在財富管理上之應用
★ 以存活分析法預測通信貸款之還款期限★ 匯率風險與亞洲金融風暴之研究
★ 因子或特徵:全球觀點★ 台灣加權指數波動率之實證研究
★ 從隨機優勢觀點探究全球價值-成長策略★ 全球反向與動能策略
★ 套利訂價模型中未知因子之分析:全球實證研究★ 選擇權交易與標的資產報酬及標準差之關係
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]   至系統瀏覽論文 ( 永不開放)
摘要(中) 投資者心理是否能解釋股價一直是財務學中一個令人感興趣的主題。這篇研究為檢驗密西根大學消費者情緒指數對市場和產業組合的報酬預測能力,我們分別對1979-2000年間的月報酬和1955-2000年間的年報酬進行檢驗。消費者看法在年和月的檢定基礎下,皆可預期大部分的產業股價報酬率。此外,受消費者看法影響的產業在經濟景氣上升和衰退時略有不同。我們發現消費者情緒指數的改變在經濟景氣衰退時比經濟景氣上升時預測能力更強。
摘要(英) Whether investor sentiment has any bearing on asset returns has long been a topic of interest in finance. This paper studies the relationship between changes in sentiment as measured by changes in the University of Michigan consumer sentiment index on stock market and different industry portfolios returns at one-month and one-year horizons over 1979-2000 and 1955-2000 period, respectively. We find that change in consumer sentiment reliably predict most industries both on monthly and yearly basis. In addition, the effect of consumer sentiment on industries differs between economic expansion and recession period. We find that the change of the consumer sentiment index has better predictability in the economic recession than in the economic expansion.
關鍵字(中) ★ 消費者情緒指數
★ 景氣循環
★ 產業投資組合
關鍵字(英) ★ industry portfolios
★ business cycle
★ consumer sentiment index
論文目次 Contents
1. INTRODUCTION 1
2. LITERATURE REVIEW 3
3. DATA 5
3.1 Return for the Market and 30 Industry Portfolios 5
3.2 The Consumer Sentiment Index 5
3.3 Other data 6
4. EMPIRICAL RESULTS ON MARKET AND 30 INDUSTRY PORTFOLIOS RETURNS 8
4.1 Results for the Whole Market 8
4.2 Results for Monthly 30 Industry Portfolios 10
4.3 Results for Yearly 30 Industry Portfolios 11
4.4 Summary of Empirical Results 12
5. BUSINESS CYCLE EXAMINATION 13
5.1 Test for Business Cycle 13
5.2 Test for the Economic Expansion of 1991/03-2000/12 14
5.3 Interpretation of the Empirical Results 14
6. CONCLUSION 15
REFERENCE 17
APPENDIX 54
Appendix A: Definitions of 30 Industry Portfolios 54
Appendix B: Calculation of Consumer Sentiment Index 55
Appendix C: NBER Business Cycle Reference Dates 56
Appendix D: Results for Other Regressions Table A 57
參考文獻 References
Brown, Gregory W. and Michael T. Cliff, 2001a, “Investor Sentiment and Asset Valution,” Working paper, University of North Carolina at Chapel Hill.
Brown, Gregory W. and Michael T. Cliff, 2001b, “Investor Sentiment and the Near-Term Stock Market,” Working paper, University of North Carolina at Chapel Hill.
Carroll, Christopher D., Jeffrey C. Fuhrer, and David W. Wilcox, 1994, “Does Consumer Sentiment Forecast Household Spending? If so, why?,” American Economic Review, 84, 1397-1408
Charoenrok Anchada, 2003, “Does Sentiment Matter?” Working Paper. The Owen Graduate School of Management, Vanderbilt University.
Fama, Eugene F., 1990, “Stock Return, Expected Returns and Real Activity,” Journal of Finance, 45, 1089-1108.
Fama, Eugene F., and G. William. Schwert, 1997, “Asset Returns and Inflation”, Journal of Financial Economics, 5, 115-146.
Hirshleifer, David, 2001, “Investor Psychology and Asset Pricing,” Journal of Finance, 55, 1533-1597.
Hirshleifer, David, and Tyler Shumway, 2003, “Good Day Sunshine: Stock Returns and the Weather,” Journal of Finance,58,1009-1065.
Howrey, E. Philip, 2001, “The Predictive Power of the index of Consumer Sentiment”, Brookings Papers on Economic Activity, 1, 175-216
Keim, Donald B., and Robert F. Stambaugh, 1986, “Predicting Returns in Bond and Stock Markets,” Journal of Financial Economics, 12, 357-390.
Keynes, J.M., 1936, The General Theory of Employment, Invest and Money, Macmillan, London.
Kothari, S. P., and Jay Shanken, 1997, “Book-to-Market, Dividend Yield, and Expected Market Returns: A Time-Series Analysis”, Journal of Financial Economics, 44, 169-203.
Lemmon, Michael, and Evgenia Portniaguina, 2002, “Consumer Confidence and Asset Prices: Some Empirical Evidence,” Working paper, University of Utah.
Matsusaka, John G, and Argia M. Sbordone, 1995, “Consumer Confidence and Economic Fluctuations,” Economic Enquiry, 33, 296-318.
Newey, Whitney K., and Kenneth D. West, 1987, “Hypothesis Testing with Efficient Method of Moments Estimate, “International Economic Review, 28, 777-778.
Otoo, Maria W., 2000, “Consumer Sentiment and the Stock Market, “Working paper, Board of Governors of the Federal Reserve System.
Pontiff, Jeffery, and Lawrence D. Schall, 1998, “Book-to-Market Ratios as Predictors of Market Returns, “Journal of Financial Economics, 49, 141-160.
Shleifer, Andrei, 2000, Inefficient Markets: An Introduction on Behavioral Finance, Oxford University Press, Inc., New York.
Stambaugh, Robert F., 1986, “Bias in Regression with Lagged Stochastic Regressors,” CRSP Working Paper No. 156, University of Chicago.
指導教授 何耕宇(Keng-Yu Ho) 審核日期 2005-6-27
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   

若有論文相關問題,請聯絡國立中央大學圖書館推廣服務組 TEL:(03)422-7151轉57407,或E-mail聯絡  - 隱私權政策聲明