動能效果是在金融市場上普遍存在的異常現象。許多財務學者開始尋找動能效果的成因，其中行為財務學者指出由於投資人存在行為偏誤，造成他們對資訊的反應不足與過度反應，進而導致股價出現持續性同向地走勢。其中，資訊傳播速度及投資人情緒也可能是導致動能效果的因素。本研究觀測資訊離散程度(Information Discreteness, ID)是否會影響股價反應資訊的時間，更進一步加入投資人情緒指標，藉以探究當投資人情緒高漲時，壞消息和投資人樂觀情緒互相牴觸，是否會導致投資人產生認知失調進而拉長資訊反應時間，使得動能效果越明顯。
　　本研究使用資訊離散程度作為資訊傳播速度的代理變數，探討在不同投資人情緒期間下，資訊離散程度對動能效果的影響，結論如下：
1. 由於投資人注意力有限，當市場上釋出大量資訊時，投資人只會注意到那些被廣為報導及討論的資訊，因此，當資訊離散程度越低，資訊越容易被投資人忽略，進而拉長資訊反映至股價的時間。
2. DeLong, Shleifer, Summers, and Waldmann (1990)指出情緒是影響投資人的非理性因素之一，本研究進一步區分樂觀與悲觀情緒期間，研究結果顯示相較於悲觀情緒，樂觀情緒期間操作動能策略能獲得較高的風險調整後報酬，在樂觀情緒期間由於輸家壞消息與投資人情緒相牴觸，使投資人產生認知失調減緩資訊傳播速度，加上市場存在放空限制導致輸家報酬持續呈現負向走勢。
3. 本研究結果顯示，當前一期投資人情緒上升1個標準差，隨後連續資訊持有期1個月的動能報酬隨即上升0.6%，代表投資人情緒對於動能策略的報酬存在顯著的預測能力。此結果呈現當投資人產生認知失調且同時市場存在放空限制時，隨著投資人情緒越高，輸家資訊的傳播速度更加緩慢，使得動能效果更加明顯。

The momentum effect is the most pervasive return anomalies. Many financial scholars have tried to find what the underlying causes of momentum are. In the view of behavior explanation, investor biases display a main role. Investors’ underreaction and overreaction to relevant information make return continuation. Among, the flow of the information and investor sentiment may be the causes of momentum effect. Our study investigate whether the information discretetness (ID) affects the return over time. Furthermore, we take investor sentiment into account. In high sentiment period, bad news contradicts with the sentiment due to cognitive dissonance. Bad news diffuse slowly, momentum arisen.
Our study employ information discreteness to be a proxy for the flow of information. Under optimism and pessimism, how do information discreteness affect momentum effect. Conclusions listed as follows,
1. Limited with investor attention, investor could only take notice of information which are high media coverage and widely discussed. Since information discreteness is low, continuous information easily be ignored. Information diffuses slowly, stock price reaction delayed.
2. DeLong et al. (1990) provide empirical support sentiment is an irrational reason swayed noise trader. Our study discriminate between optimism and pessimism. Optimism appears to earn higher momentum risk adjusted return. When losers’ bad news contradict with the sentiment due to cognitive dissonance, information diffuses slowly. Also with short-sale impediments, losers return continued to be negative.
3. When investor sentiment arise one standard deviation in prior-period, continuous information return increase 0.6%. It investigate the ability of sentiment to predict return. Due to cognitive dissonance and short-sale impediments, losers’ bad news diffuse slowly, and the momentum effect stronger.

摘要+i
Abstract+ii
目錄+iv
圖次+vi
表次+vii
第一章　緒論+1
第一節　研究動機+1
第二節　研究架構+3
第二章　文獻探討+4
第一節　動能效果+4
第二節　資訊離散程度+6
第三節　投資人情緒+8
第三章　假說建立+12
第四章　研究方法+14
第一節　投資組合的建構+14
第二節　樣本來源及變數說明+16
第三節　模型建立+17
第五章　實證結果+20
第一節　敘述性統計+20
第二節　資訊離散程度與動能效果+22
第三節　投資人情緒與動能效果+26
第四節　投資人情緒對動能效果之預測迴歸+33
第六章　結論與貢獻+36
第一節　結論+36
第二節　研究貢獻+37
第三節　未來研究方向+37
參考文獻+38

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鄭麗玉（2006），《認知心理學》，台北：五南圖書。
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