過去不同領域之文獻分別指出投資人情緒與顧客滿意度為衡量資產價值之重要指標，然而，卻少有文獻關注及探討是否投資人情緒交互影響顧客滿意度與股價報酬間之關係部分。本研究採用三種不同的風險調整定價模型來檢驗，是否以顧客滿意度為篩選標準之投資組合，能在不同投資人情緒條件下創造超額報酬。實證結果顯示：顧客滿意度較高之投資組合能創造顯著的風險調整後報酬。此外，本文發現在悲觀及中立的投資人情緒下，顧客滿意度較高之投資組合表現超越大盤，且能創造顯著的風險調整後報。由於較高的顧客滿意度的公司可能能夠創造相對穩定的現金流入、減緩顧客抱怨的負面影響並增加顧客忠誠度，使該公司的股票報酬免於受到悲觀的投資人情緒之影響，因此，在悲觀市場時能創造顯著風險調整後報酬。本文的研究結果認為，以顧客為基準的變數應被納入財務定價模型中。

A large body of literature has explored that investor sentiment and customer satisfaction have been viewed as important metrics to evaluate asset prices, little attention has been paid to whether investor sentiment influence the impact of customer satisfaction on stock returns. This paper examines whether customer-based portfolios can create abnormal returns by employing different risk-adjusted models in different sentiment states. This study finds that portfolio composed of firms with better customer satisfaction can continuously beat the benchmark index and create abnormal returns when adopting different risk-adjusted models. Furthermore, portfolio with better customer satisfaction can significantly outperform the market even in pessimistic and neutral investor sentiment state. This is because of higher CS firms can create stable business cash flows, alleviate customer complaints and strengthen customer loyalty, which will create insurance-like protection for firms in
pessimistic investor state, which results in significant abnormal returns even in pessimistic investor state. These results suggest that customer-based metrics are valuable information that should be included in financial models.

論文審定書 i
誌謝 ii
摘要 iii
Abstract iv
1. Introduction 1
2. Literature Reviews: Intangible Asset, ACSI and Sentiment 6
2.1 The effect of customer satisfaction on firm’s stock returns 8
2.2 Investor’s Sentiment 10
3. Data and Research Methodology 13
3.1 Customer satisfaction: American Customer Satisfaction Index (ACSI) 13
3.2 Investor sentiment: Index of relative retail sentiment 17
3.3 Methodological Approaches for Risk-Adjusted Abnormal Portfolio Returns 20
3.4 Examine Abnormal Returns in Different Investor State by Separating Market into Pessimistic, Neutral and Optimistic Based on Relative Sentiment. 23
4. Empirical Results 27
4.1 Abnormal returns of customer-based portfolios 27
4.2 Return of customer-based portfolios during different investor sentiments. 31
4.3 Robustness tests 37
5. Conclusions and Implications 44
References 47

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