臺灣股票市場過度反應與不確定資訊假說的實證研究

Abstract

所謂過度反應(Overreaction)﹐是指某一事件發生而引發證券價格過劇的 變動﹐超過理論上的預期水準﹐然而又反向修正報酬率的現象。DeBondt & Thaler(1985)認為過度反應的存在違反了弱式效率市場的情況﹐並提出 過度反應的兩項假設﹐一為當股票價格在某一時期有巨額變動時，可預期 日後的股票價格會反向變動﹔二是前期的價格變動幅度越大﹐則事後的反 向調整越激烈。Brown ,Harlow , Tinic在1988所提出的不確定資訊假說( Uncertain information hypothesis)﹐認為市場並非沒有效率﹐而是投 資人會在完全瞭解事件造成的全部影響前﹐就設定股票價格﹐並因未來的 不確定因素而預測在事件過後的系統風險提高﹐所以不管是在正事件或負 事件發生後﹐股票的價格變化平均來說為正﹐或至少不為負。國內過去的 研究都將焦點都放在台灣股市是否具有過度反應的探討上﹐但驗證結果卻 並非都認同過度反應現象的存在﹐所以本研究乃以Brown , Harlow , Tinic(1988)的研究方法為出發點﹐對民國80年至84年﹐台灣證券市場上 市的150家公司﹐針對事件發生前後報酬率以及系統風險的變化進行研究 。實證結果總結如下：一､民國80年至民國84年﹐過度反應或不確定資訊 假說都未能合理解釋台灣股票市場行為。二､在採樣事件中可看出規模效 應和季節影響因素的存在。三､系統風險會因為事件的發生而改變﹐有部 份的採樣公司的系統風險會作永久性而非暫時性的改變。四､系統風險和 報酬率之間有正向變動的關係存在。 The Overreaction Hypothesis claims that investors systematically overreact to extreme events and place too much emphasis on relatively recent information. DeBondt The Overreaction Hypothesis claims that investors systematically overreact to extreme events and place too much emphasis on relatively recent information. DeBondt and Thaler(1985) propose two hypothesis of Overreaction : (1)Extreme movements in stock prices will be followed by subsequent price movements in the opposite direction. (2)The more extreme the initial price movements ,the greater will be the subsequent adjustment. Both hypothesis imply a violation of weak-form market efficiency.Brown ,Harlow and Tinic propose the Uncertain Information Hypothesis in 1988. They don't consider that finical market is not efficient. They think uncertainty among investors, following the arrival of unexpected information leads to increased price volatility. So, the post- event stock price response to a negative event will be positive and response to a positive event will be at least nonnegative. In the past, all the researches in Taiwan focus on the empirical studies of the Overreaction Hypothesis. But not all of the results conclude that overreaction exists in Taiwan. So, our study adapt Brown's research method to check the Taiwan's stock market behaviors. We choose 1991 to 1995 as our research period and take 150 companies in Taiwan's stock market as our samples. Our conclusion list below:1. During 1991 to 1995, both of the Overreaction and Uncertain Information Hypothesis can't explain the Taiwan's stock market behavior reasonably.2. Firm size effect and season effect seem to exist in the Taiwan's stock market.3. Events really make change in post-event systematic risk. But some systematic risk of our companies samples will alter permanently not temporally due to these surprise events.4. There is a positive relationship between systematic risk and return rate.