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博碩士論文 etd-0018118-112823 詳細資訊
Title page for etd-0018118-112823
論文名稱
Title
不對稱性廣告效果對樂透股異常現象的影響研究
Asymmetric Effect of Advertising on MAX Anomaly
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
56
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2017-12-27
繳交日期
Date of Submission
2018-01-18
關鍵字
Keywords
樂透股異常現象、偏好彩劵型股票、廣告、投資人關注度、放空限制、投資人情緒
short-sale constraints, investor sentiment, investor attention, MAX anomaly, preferences for lottery-type stocks, advertising
統計
Statistics
本論文已被瀏覽 5671 次,被下載 8
The thesis/dissertation has been browsed 5671 times, has been downloaded 8 times.
中文摘要
Bali et al. (2011)提出“樂透股異常現象(MAX anomaly)”,亦即高極端正報酬的股票報酬低於低極端正報酬的股票報酬,其產生的原因主要來自於投資人偏好彩劵型股票。另一方面,Lou (2014)指出管理者利用廣告來吸引投資人的關注度,進而提高散戶的買進行為。然而,此注意力效果容易與投資人行為偏誤產生交互作用,使得投資人對訊息解讀產生過度反應,進而影響到彩劵型偏好的投資人對彩劵型股票的需求,加強樂透股異常現象。特別而言,當市場投資人情緒更加樂觀時,使得放空限制的程度更加嚴格,進而提高套利者的套利風險,阻礙負面訊息的傳遞導致投資人的過度反應的程度上升,樂透股異常現象更強。為了研究上述論點,本研究以廣告費用變動率作為投資人關注度的代理變數,來檢測廣告效果對樂透股異常現象的影響。研究結果顯示在持有期1個月,高廣告投資組合的樂透股異常現象顯著高於低廣告投資組合的樂透股異常現象;在持有期3個月後,樂透股異常現象就不顯著。進一步觀察市場的放空限制是否影響廣告(訊息)的傳播速度,本研究使用Baker and Wurgler (2006)建構的投資人情緒指作為市場面的放空限制,實證結果展現投資人情緒對高廣告投資投資組合的樂透股異常現象具有顯著的預測能力,說明當市場放空限制程度提高時(投資人情緒高漲時期),容易提升廣告的傳遞速度,進而加強投資人的過度自信的程度,而此行為偏誤會使投資人對股票產生過度反應,隨後引起偏好彩劵型股票投資人的關注,進而加強他們投機性的動機,提升對彩劵型股票的需求,導致樂透股異常現象更強。
Abstract
Bali et al. (2011) show the stocks with high daily maximum returns have lower return than stocks with low maximum daily returns, which is named “MAX anomaly”. And this anomaly derives from the biases that afflict the individual investor such as preferences for lottery-type stocks. On the other hand, Lou (2014) indicates that firm manager can attract investors' attention by raising their advertising exposure to express internal information, and thereby influence short-term stock returns. However, the advertising effect may interact with investors’ behavioral bias such as overconfident to their private information and overreact to it. This may influence the demand for lottery-type stocks due to highly the propensity for investors to gambling, accordingly the MAX anomaly is stronger. In particular, short-sale constraint may increase risk in arbitrage and therefore impede negative information spread. When sentiment increases as investors' optimism growing, short-sale constraint is more binding and accordingly increase arbitrage risk. With this condition, negative information diffuses more slowly, thereby generating overreaction. Consequently, the magnitude of MAX anomaly is higher. For our purpose, we employ a change in advertising expense as a proxy for investor attention to investigating the effect of advertising on the MAX anomaly. The empirical result shows that in the holding-period 1 month, the MAX anomaly in the high advertising portfolio is significantly higher than the low advertising portfolio. After holding-period 3 month, however, the MAX anomaly is insignificant. We further testify the role of short-sale constraint on MAX anomaly by using market-wide investor sentiment index as a proxy to show the transmission speed of advertising under short-sale constraint. The empirical result shows that the predictability of investor sentiment on MAX anomaly with high advertising portfolio is outperformance than with low advertising portfolio. Our results imply that short-sale constraint can accelerate the transmission of advertising, thereby increasing the degree of investor overconfidence and leads to overreactions. With advertising effect, investors with a preference for lottery-type stocks are attracted by this phenomenon and then reinforce their propensity to gamble. Subsequently, they increase demand for lottery-type stocks; consequently, the MAX anomaly is higher.
目次 Table of Contents
論文審定書 i
摘要 ii
Abstract iii
目錄 v
圖次 vii
表次 viii
第一章 緒論 1
第一節 研究動機 1
第二節 研究架構 4
第二章 文獻回顧 5
第一節 投資人關注度 5
第二節 廣告對股票報酬的影響 7
第三節 投資人的彩劵型偏好 8
第三章 假說建立 11
第四章 研究方法 13
第一節 投資組合的建構 13
第二節 變數說明 14
第三節 模型建立 16
第五章 實證結果與分析 19
第一節 敘述性統計 19
第二節 迴歸結果分析 24
第三節 投資人情緒之預測結果分析 30
第六章 結論與貢獻 42
第一節 結論 42
第二節 研究貢獻 43
第三節 未來研究方向 44
參考文獻 45
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