投資人異質性與投資人認知溢酬

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姓名

謝宜程(Yi-Cheng Xie) 查詢紙本館藏

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財務金融學系

論文名稱

投資人異質性與投資人認知溢酬
(Investor Heterogeneity and Investor Recognition Premium)

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至系統瀏覽論文 (2026-12-31以後開放)

摘要(中)

Merton (1987)認為在資訊不完整下，投資人持有不完全多角化的投組，因而要求更高的超額報酬，進而推論出獨特性風險與橫斷面報酬呈現正相關。本文參考Merton的原始模型，將投資人區分為機構投資人與散戶，其中機構投資人再分為短期與長期，並以其各自的持股比例建構不完整資訊下的影子成本λ(由相對市值、股東基數以及獨特性風險所組成)，發現散戶(λ^R)、短期機構投資人之影子成本(λ^STI)與橫斷面報酬呈現顯著正相關，代表他們承受獨特性風險能獲取認知溢酬，如同Merton預期的投資人認知假說。
本文後續探討短期機構投資人對認知溢酬的影響，發現其對整體機構投資人的風險溢酬有正面貢獻，然而對散戶則有負面影響，較類似於市場中理性套利者的角色。此外，與Miller (1977)的意見分歧理論進行比較後，發現當市場存在賣空限制與意見分歧時，散戶所獲得的溢酬來自於公司獨特性風險，此結果較偏向Merton (1987)。

摘要(英)

Merton (1987) posits that in the presence of incomplete information, investors hold less diversified portfolios and thus require higher excess returns, leading to a positive correlation between idiosyncratic risk and cross-sectional returns. Building on Merton’s original model, this study distinguishes between institutional investors and retail investors, further categorizing institutional investors into short-term and long-term groups. By constructing the shadow cost of incomplete information (λ), which consists of relative market size, shareholder base, and idiosyncratic risk, this study finds that the shadow cost of retail investors (λ^R) and short-term institutional investors (λ^STI) is significantly positively correlated with cross-sectional returns. This indicates that these investors bear idiosyncratic risk and receive a recognition premium, as predicted by Merton’s investor recognition hypothesis.
Further, this study analyze the impact of short-term institutional investors on recognition premiums. It reveals a positive contribution to the risk premium for overall institutional investors, but a negative impact on retail investors, aligning them more closely with the role of rational arbitrageurs in the market. Comparing these findings with Miller’s (1977) divergence of opinion, the study discovers that in the presence of short-selling constraints and divergent opinions, the premiums obtained by retail investors stem from idiosyncratic risk, supporting Merton’s (1987) model.

關鍵字(中)

★ 機構投資人
★ 散戶
★ 異質性
★ 獨特性風險
★ 投資人認知假說

關鍵字(英)

★ Institutional Investors
★ Retail Investors
★ Heterogeneity
★ Idiosyncratic Risk
★ Investor Recognition Hypothesis

論文目次

摘要 i
Abstract ii
誌謝 iii
目錄 iv
表目錄 v
第一章緒論 1
第二章研究設計與假說建立 5
2.1 檢驗投資人認知假說 6
2.2 檢驗短期機構投資人對認知溢酬的影響 8
2.3 檢驗Miller意見分歧理論 8
第三章資料來源與變數 10
3.1 機構投資人與散戶持股比例 10
3.2 市場β_i與獨特性風險σ_i之估計方式 11
3.3 控制變數 11
第四章實證結果 13
4.1 敘述性統計 13
4.2 相關係數表 14
4.3 Fama-MacBeth橫斷面迴歸分析結果 14
第五章結論 18
參考文獻 20

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指導教授

周賓凰(Pin-Huang Chou)

審核日期

2024-7-18

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