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博碩士論文 etd-0516115-211956 詳細資訊
Title page for etd-0516115-211956
論文名稱
Title
投資者注意力與獨特風險關係之探討
The relationship between investor attention and idiosyncratic volatility
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
45
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
2015-06-16
關鍵字
Keywords
SVI、搜尋量指數、總風險、獨特風險、投資者注意力
SVI, Search Volume Index, volatility, idiosyncratic volatility, investor attention
統計
Statistics
本論文已被瀏覽 5745 次,被下載 92
The thesis/dissertation has been browsed 5745 times, has been downloaded 92 times.
中文摘要
隨著網際網路的普及與便利,網路成為投資人獲取資訊的主要管道之一。自Da et al. (2011)提出搜尋量指數(SVI, Search Volume Index)作為投資人注意力之直接代理變數後,掀起探討SVI對資本市場影響的風潮;其中,關於SVI與資本定價、流動性、報酬波動等等的議題受到許多財務學者的熱烈討論,然而,以往文獻卻忽略了一個重要的主題—獨特風險。傳統財務理論假設投資人可以透過多角化投資消弭獨特風險,因此僅有系統風險須納入資本定價中。然而,近年來許多研究顯示投資人無法充分多角化投資,投資人必須承擔獨特風險,故獨特風險逐漸受到眾人重視。因此,本研究連結投資人注意力與獨特風險這兩個重要的議題,以SVI作為投資人注意力的代理變數,使用美國S&P 100指數歷年成分股為樣本,透過單變數分析與多變數分析,探討注意力與獨特風險之關係。
本研究結論如下:(1)當投資人對個股資訊之注意力增加時,其所獲得的資訊會使得資訊不對稱或不確定性降低,誘發投資人進入股市交易,導致獨特風險上升,因此,當投資人對個股資訊的注意力增加,個股獨特風險亦隨之增加;(2)當投資人對市場資訊之注意力增加時,其所獲得的資訊亦會使得資訊不對稱或不確定性降低,誘發投資人交易,導致獨特風險上升,因此,當投資人對市場資訊的注意力增加,個股獨特風險亦隨之增加;(3)在個股資訊與市場資訊同時存在之下,投資人由於注意力有限,會傾向於關注市場資訊,因此,「投資人對市場資訊之注意力與獨特風險的關係」強於「投資人對個股資訊之注意力與獨特風險的關係」。
本研究期望透過確認SVI與獨特風險的關係,藉由Google Trends所提供的公開資訊—SVI,提供投資人、公司經營者或是管理當局一個容易取得且具即時性的方法來觀察獨特風險的狀態。
Abstract
With the popularity and convenience of the Internet, the Internet has become the main means for investors to get access to information. Since Da et al. (2011) proposed Search Volume Index (SVI) as a direct proxy for investor attention, many scholars in finance field have discussed the issues of SVI and stock market activities such as asset pricing and stock liquidity. However, previous studies have ignored an important topic—idiosyncratic volatility. Traditional financial theories assume that investors are well-diversified to avoid idiosyncratic volatility; therefore, only systematic volatility should be priced. Nevertheless, recent studies have shown that investors are under-diversified, and they must bear idiosyncratic volatility. These findings led to a further growing awareness of idiosyncratic volatility. Consequently, in this study, we link two important issues in finance: investor attention and idiosyncratic volatility, investigate their relationship through univariate analysis and multivariate analysis, and use SVI as the measure of investor attention and the components of S&P 100 index in sample period as sample.
Our results are as followed: (1) Investor attention has a significant positive relationship at the firm level in terms of idiosyncratic volatility. When investors pay more attention on a stock, they acquire relevant information, which reduces information asymmetry or uncertainty, and they may finally invest that stock, making idiosyncratic volatility increase. (2) Investor attention has a significant positive relationship at overall market level in terms of idiosyncratic volatility. When investors pay more attention to market information, they acquire relevant information, and it reduces information asymmetry or uncertainty. This may cause investors to trade in the stock market. Therefore, idiosyncratic volatility increases. (3) Due to investors’ limited attention, they tend to be aware of market information. Thus, the relationship is much more significant between investor attention and idiosyncratic volatility at the market level than the firm level.
This study confirms the relationship between investor attention and idiosyncratic volatility, and we expect to provide an easily obtained and prompt tool — SVI — for investors, company managers and the authorities to observe idiosyncratic volatility.
目次 Table of Contents
論文審定書 i
摘 要 ii
Abstract iii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究流程 3
第二章 文獻探討與假設 5
第一節 投資人注意力與股市活動之關係 5
第二節 獨特風險之涵義與重要性 7
第三節 投資人注意力與獨特風險之關係 9
第三章 研究方法 12
第一節 資料與樣本選取 12
第二節 研究方法 15
第四章 實證結果 18
第一節 敘述統計與單根檢定分析 18
第二節 單變數分析 20
第三節 多變數分析 21
第四節 穩健性測試 25
第五節 投資人注意力對獨特風險的預測性 26
第五章 結論與建議 30
第一節 結論與貢獻 30
第二節 未來研究建議 31
參考文獻 32
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