在行為財務學的領域裡，低波動異常現象為近年來最熱門的研究主題之一，行為財務學者指出投資人的樂透彩型偏好是影響低波動異常現象的其中因素。Fong and Toh (2014)證實隨著投資人情緒高漲，投資人的樂透彩型偏好會越強，然而相關文獻卻無同時結合投資人關注度、投資人情緒與低波動異常現象進行討論。因此，為了探討投資人關注度是否會加強低波動異常現象，同時也加入投資人情緒以檢測在高投資人情緒期間，高投資人關注度的低波動異常現象會更加顯著。
本文使用異常交易量作為投資人關注度的代理變數，探討在不同投資人情緒期間下，投資人關注度對低波動策略的影響。本研究結論如下:
1. 高投資人情緒期間，投資人樂觀程度越高，越會增強投資人樂透彩型股票(高投機性股票)的偏好，並同時提高搜尋樂透彩型股票的積極度，驅使偏好樂透彩型股票的投資人加入賭博遊戲，因此在高投資人情緒期間，持有高投資關注度的波動度投資組合策略，其風險調整後報酬會高於低投資人情緒期間，兩種狀態之間的差異為0.7%。
2. 投資人對樂透彩型股票的需求容易受到景氣循環的影響而有所改變(Chung, Hung and Yeh, 2012)，因此我們進一步檢測景氣擴張及景氣衰退期間，其投資人情緒指標的預測能力，在景氣衰退時，投資人情緒指標對高投資人關注度之波動度操作策略報酬具有正向顯著的預測能力，表示投資人在景氣衰退期間，短期間內會提高他們持有樂透彩型股票慾望，驅使樂透彩型偏好的投資人更加積極的尋找高投資人關注度的股票來進場投資，低波動異常現象更強。

The “low volatility anomaly” is one of popular topics in Behavioral Finance recently. One of potential explanations for the low volatility anomaly is investors have a preference for lottery-type payoffs. Fong and Toh (2014) indicated investor optimism increases preferences for lottery-type stocks when sentiment is high. However, pertinent literatures don’t take investor attention into consideration with investor sentiment and low volatility anomaly simultaneously. Therefore, my study examines whether investor attention could affect low volatility anomaly. I also test the phenomenon that low volatility anomaly on high investor attention stocks should be more significant following high sentiment than low sentiment.
This article adopts abnormal volume as the proxy variable of investor attention and then discusses the influence of investor attention on low-volatility strategy in different investor sentiments. The results are as follows:
1. Investors are more optimistic about the future payoffs of lottery-type stocks (speculative stocks) when sentiment is high. The propensity to gamble may also be reinforced by the tendency for investors to seek lottery-type stocks.The highest investor attention quintiles portfolios on low volatility strategies in high sentiment would gain 0.7% risk-adjusted returns higher than those in low sentiment.
2.Chung, Hung and Yeh (2012) examine the asymmetry in the predictive power of investor sentiment in low volatility anomaly across economic expansion and recession states. The result of this article is that investor sentiment displays positive significant predictive power for the highest investor attention quintiles portfolios on low volatility strategies in economic recession. It means that investor demand for lottery-type stocks increases in the short term during bad economic times. Investors who have a preference for lottery-type payoffs seek actively high investor attention stocks, and low volatility anomaly become strong.

[論文審定書 i]
[摘要 ii]
[Abstract iv]
[目錄 vi]
[圖次 viii]
[表次 ix]
[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 低波動異常現象 5]
[第二節 低波動異常現象成因 7]
[第三節 投資人關注度 9]
[第四節 投資人情緒 10]
[第三章 假說建立 13]
[第四章 研究方法 16]
[第一節 投資組合的建構 16]
[第二節 資料來源及變數說明 18]
[第三節 模型建立 21]
[第五章 實證結果與分析 24]
[第一節 敘述統計 24]
[第二節 迴歸結果分析 32]
[第三節 投資人情緒之迴歸結果分析 34]
[第四節 不同景氣狀態下投資人情緒影響低波動異常現象 39]
[第六章 結論與貢獻 41]
[第一節 結論 41]
[第二節 研究貢獻 42]
[第三節 未來研究方向 43]
[參考文獻 44]

一、中文部分
許菁旂、黃文聰與黃振聰 (2015) 「投資人情緒對低波動異常現象的預測力:市場狀態的影響」， 管理學報，第三十二卷第四期，399-424。
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