投資者情緒和異常報酬

Abstract

本論文利用異常報酬(anomalies)之間的搭配分組，建立投資組合的交易策略，來捕捉異常報酬，在彼此交互作用下，加入投資者情緒，試著利用投資者情緒來解釋異常報酬的來源，或是其與異常報酬之間的關係，研究發現幾個現象，一為投資者情緒能夠增強價格動能對股價的影響，使市場對新資訊反應不足，股價無法及時修正；二是投資者情緒能夠反應公司的研發費用對股票未來報酬率的影響，當盈餘公布後的結果和投資人預期相同時，市場對意外盈餘的反應較小，股價波動不大；最後則是公司盈餘表現和毛利率一致時，投資者情緒會使股價錯置情形更嚴重。從上述現象可以推論，投資者情緒確實存在，使市場在資訊公布後無法迅速修正股價，市場非完全效率。

This study examines the relationship between anomalies and investor sentiment. We try to use the firm-specific investor sentiment created by Aboody et al(2013) to explain the abnormal returns in trading strategy . Then we find three main results from our experiment. First, investor sentiment will strengthen the price momentum to make stock price more mispricing after new earnings information. On the other words, investor sentiment makes market more underreact. Second, investor sentiment has already reflected the research and development expenses (R&D) on price. If the earning’s anticipation from investors is same as the one in earnings announcement, price volatility will be small and the stock market will not react seriously for earnings surprise. Last, the mispricing will be more seriously if the performance of earnings and gross profitability are consistently good or bad. According to the above results, we can infer that investor sentiment certainly exists in stock market and will bring the market mispricing. Stock market is not always efficient.