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博碩士論文 etd-0516115-160836 詳細資訊
Title page for etd-0516115-160836
論文名稱
Title
廣告對動能策略的不對稱影響
The asymmetric effect of advertising on momentum strategy
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
60
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
2015-05-15
繳交日期
Date of Submission
2015-06-24
關鍵字
Keywords
投資人注意力、動能策略、投資者情緒、廣告
Advertising, Investor sentiment, Investor attention, Momentum strategy
統計
Statistics
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The thesis/dissertation has been browsed 5778 times, has been downloaded 41 times.
中文摘要
現今財務領域上諸多議題討論投資人注意力、動能策略及投資者情緒彼此間相互影響的關係。Hou, Peng, and Xiong (2009)發現動能策略獲利會受到投資人注意力的影響,但僅考慮橫斷面特性,未接續探討情緒期間對投資人注意力的影響。Antoniou, Doukas and Subrahmanyam (2013)探討情緒期間對動能策略獲利的不對稱影響,然而僅考慮資訊傳遞的速度,並未考量不同情緒期間下投資人注意力的差異。由於上述兩個議題之間欠缺整合性的論述,因此本文同時將橫斷面特性—投資人注意力對動能策略獲利的影響,與時間序列特性—樂觀與悲觀情緒期間對動能策略獲利的影響納入考量。
本文使用廣告作為投資人注意力代理變數,探討在不同投資者情緒期間下,廣告對動能策略的影響。本研究結論如下:
1. 公司廣告費用愈高,愈能在投資人心中留下印象,使投資人的關注度增加。短期之下,股票的認知度愈高,使投資者對過去報酬較低的輸家產生過度反應的現象,從而使持有期1個月的高廣告曝光度的動能策略獲得0.81%超額報酬;長期之下,投資人對股票的認知度愈高,則投資人要求的預期報酬降低,造成過度反應現象在1年之後消散,於持有期第13至第36個月的動能策略獲利反轉為負。
2. 在樂觀情緒期間,廣告吸引投資人更加關注好消息,使壞消息傳遞速度更為緩慢,加上放空限制,造成輸家投資組合報酬率持續下跌,使動能策略的獲利期間延長。高廣告曝光度的動能策略在樂觀情緒期間的正向效果高於悲觀情緒期間的正向效果。於1、3及6個月的持有期中,樂觀情緒期間高廣告曝光度的動能策略分別獲得1.45%、2.87%及5.24%高於悲觀情緒期間策略之報酬。
Abstract
In financial field, there are many issues which discuss the interaction between investor attention, momentum strategy, and investor sentiment nowadays. Hou, Peng, and Xiong (2009) find that the investor attention would influence the performance of momentum strategy, but they don’t take investor sentiment into consideration. Antoniou, Doukas and Subrahmanyam (2013) search the asymmetry effect of the investor sentiment on the performance of momentum strategy, however; they consider the spreading speed of information but ignore the influence of investor sentiment on momentum strategy. Currently, the relation between these issues is still unknown, thus; this article considers both two issues, cross section characteristics—the influence of investor attention on momentum strategy, and time series features—the influence of optimistic and pessimistic sentiment on momentum strategy.
This article adopts advertising expense as the proxy variable of investor attention and then discusses the influence of investor attention on momentum strategy in different investor sentiments. The results display as follow:
1. The higher degree impression of corporation on investors follows the more its advertising expense, attracting more investor attention. In the short term, if the stock gains higher degree of investor attention, the investors tend to overreact toward the past negative return. The highest advertising expense quintiles significantly generate 0.81% profits. In the long term, the lower investor expected return follows the higher degree of investor attention, causing the disappearance of investor overreaction. The profit of momentum strategy would reverse to negative from the 13 month to 36 month.
2. In optimistic sentiment, the advertisements would fascinate the investors more concentrate on the good news. Moreover, the limitation of selling stocks in stock market causes losers to continue underperformance and prolong the period of momentum strategy of earning excess profit. The profit of highest advertising expense quintiles portfolios momentum strategy in optimistic sentiment is higher than that in pessimistic sentiment. In the holding period of 1, 3, and 6 month, the highest advertising expense quintiles portfolios momentum strategies of optimistic sentiment would separately gain 1.45%, 2.87%, and 5.24% profits higher than those in pessimistic sentiment.
目次 Table of Contents
[論文審定書 i]
[摘要 ii]
[Abstract iv]
[目錄 v]
[圖次 vii]
[表次 viii]
[第一章 緒論 1]
[第一節 研究動機與目的 1]
[第二節 研究架構 5]
[第二章 文獻回顧 6]
[第一節 投資人注意力對股票報酬率的影響 7]
[第二節 動能策略 9]
[第三節 投資人注意力對動能策略的影響 10]
[第四節 市場狀態對動能策略的影響 11]
[第五節 投資者情緒對投資人注意力的影響 12]
[第三章 假說建立 13]
[第四章 研究方法 15]
[第一節 投資組合的建構 15]
[第二節 變數說明 16]
[第三節 模型建立 16]
[第五章 實證結果與分析 19]
[第一節 樣本資料 19]
[第二節 廣告投資組合公司家數統計 19]
[第三節 敘述統計 21]
[第四節 實證結果 24]
[第六章 結論與貢獻 44]
[第一節 結論 44]
[第二節 研究貢獻 45]
[第三節 未來研究方向 46]
[參考文獻 48]
參考文獻 References
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