Baker, Bradley, and Wurgler (2011)發現高波動度的股票報酬低於低波動度的股票報酬，將風險與報酬之間的負相關稱為“低波動異常現象(low-volatility anomaly) ”，行為財務學者指出現象產生的原因之一為投資人的彩券型偏好。理性投資人透過買進低波動度股票並且賣出高波動度股票，形成低波動策略。在相關領域中尚未有文獻探討廣告與投資人情緒對低波動異常現象的影響。
本研究探討廣告對低波動策略報酬的影響，以及樂觀與悲觀對低波動策略報酬的影響。本研究結論如下：
1. 高廣告投資組合的低波動策略報酬顯著高於低廣告投資組合，表示廣告曝光度越高的股票確實捕捉到投資人的注意力，高廣告高波動度的股票比低廣告高波動度的股票更吸引彩券型偏好投資人的注意，投資人對高廣告股票需求大幅增加使得股票價格過度反應，加上市場上存在放空限制，無法即時修正價格，因而增強低波動異常現象，導致低波動策略報酬越高。
2. 高廣告投資組合的低波動策略報酬在樂觀情緒期間高於悲觀期間，樂觀的投資人情緒使得好消息快速傳遞，造成彩券型偏好投資人大量購買高波動度股票，使得股票價格過度反應，下期價格回落，低波動策略報酬越高。
3. 投資人情緒對高廣告投資組合的低波動策略報酬具有顯著的正向預測能力，投資人情緒樂觀便增加賭博的動機，積極投資彩券型股票，造成股票價格過度反應。總體而言，投資人越樂觀，低波動策略報酬就越高。

Baker et al. (2011) show the stocks with high volatility have lower return than the stocks with low volatility, and the negative correlation between risk and return is called “low-volatility anomaly”. Behavioral finance scholars point out that one of the reasons for the low-volatility anomaly is investors prefer lottery-type stock. Rational investors form low-volatility strategies by buying lower-volatility stocks and selling higher-volatility stocks. However, there is no related literatures to discuss the relationship between advertising and low-volatility strategies.
This research indicates the influence of advertising on the low-volatility strategies, and the influence of optimism/pessimism on the low-volatility strategies. The results of this study are as follows:
1. Return on low-volatility strategies with high advertising exposure portfolios are significantly higher than return on low advertising exposure portfolios. The stocks with high advertising exposure capture the attention from individual investors. In high-volatility portfolios, compared with the stocks which are low advertising exposure, the stocks with high advertising exposure can make investors who prefer stocks with lottery-type pay more attention on it. Investor's demand for high-advertising stocks has increased greatly, making stock prices overreact. In addition, there is a short-sale constraint in the market and it is not possible to correct the price immediately. Consequently, it makes the low-volatility anomaly stronger, and the low-volatility strategy profitable.
2. Return on low-volatility strategy with high advertising exposure portfolio is higher in optimistic sentiment than in pessimism sentiment. In optimistic sentiment of high advertising portfolio, for the high-volatility portfolio, investors with high sentiment make good news transfer quickly. Investors purchase many high-volatility stocks and price of stocks with high-volatility will fall in the next period.
3. Investor sentiment has a significant positive predictive ability for low-volatility strategies profit from high advertising portfolios. The more optimistic the sentiment of investor is, the more incentive for them to gamble. Investors buy a lot of lottery-type stocks and lead to overreaction of price with lottery-type stocks. In general, investors with optimistic sentiment make more profitable in low-volatility strategy.

論文審定書 i
摘要 ii
Abstract iii
目錄 v
圖次 vii
表次 viii
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 文獻回顧 4
第一節 低波動異常現象 4
第二節 投資人關注度-廣告 6
第三節 投資人情緒 8
第三章 假說建立 10
第四章 研究方法 12
第一節 投資組合的建構 12
第二節 變數說明 14
第三節 研究模型建立 15
第五章 實證結果與分析 18
第一節 樣本資料 18
第二節 廣告投資組合家數統計 19
第三節 敘述統計 21
第四節 迴歸結果分析 24
第五節 投資人情緒的迴歸結果分析 27
第六章 結論與貢獻 36
第一節 結論 36
第二節 研究貢獻 38
第三節 未來研究方向 39
參考文獻 40

Ang, A., Hodrick, R., Xing, Y., and Zhang, X. (2006). The Cross-Section of Volatility and Expected Returns. Journal of Finance, 61(1), 259-299.
Ang, A., Hodrick, R. J., Xing, Y., and Zhang, X. (2009). High idiosyncratic volatility and low returns: International and further U.S. evidence. Journal of Financial Economics, 91(1), 1-23.
Baker, M., Bradley, B., and Wurgler, J. (2011). Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly. Financial Analysts Journal, 67(1), 40-54.
Baker, M., and Wurgler, J. (2006). Investor Sentiment and the Cross-Section of Stock Returns. The Journal of Finance, 61(4), 1645-1680.
Bali, T. G., Cakici, N., and Whitelaw, R. F. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, 99(2), 427-446.
Barber, B. M., and Odean, T. (2008). All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors. The Review of Financial Studies, 21(2), 785-818.
Barberis, N., and Huang, M. (2008). Stocks as Lotteries: The Implications of Probability Weighting for Security Prices. The American Economic Review, 98(5), 2066-2100.
Berrada, T., and Hugonnier, J. (2013). Incomplete information, idiosyncratic volatility and stock returns. Journal of Banking & Finance, 37(2), 448-462.
Blitz, D. C., and van Vliet, P. (2007). The Volatility Effect. Journal of Portfolio Management, 34(1), 102-113.
Brown, G., and Cliff, M. (2005). Investor Sentiment and Asset Valuation. The Journal of Business, 78(2), 405-440.
Brunnermeier, M. K., Gollier, C., and Parker, J. A. (2007). Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns. American Economic Review, 97(2), 159-165.
Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57-82.
Chang, E. C., Cheng, J. W., and Yu, Y. (2007). Short-Sales Constraints and Price Discovery: Evidence from the Hong Kong Market. The Journal of Finance, 62(5), 2097-2121.
Chemmanur, T., and Yan, A. (2009). Product market advertising and new equity issues. Journal of Financial Economics, 92(1), 40-65.
Chemmanur, T. J., and Yan, A. (2010). Advertising, investor recognition, and stock returns. AFA 2011 Denver Meetings Paper.
Chung, S.-L., Hung, C.-H., and Yeh, C.-Y. (2012). When does investor sentiment predict stock returns? Journal of Empirical Finance, 19(2), 217-240.
Da, Z. H. I., Engelberg, J., and Gao, P. (2011). In Search of Attention. The Journal of Finance, 66(5), 1461-1499.
De Long, J. B., Shleifer, A., Summers, L. H., and Waldmann, R. J. (1990). Noise Trader Risk in Financial Markets. Journal of Political Economy, 98(4), 703-738.
Fama, E. F., and French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
Fong, W. M., and Toh, B. (2014). Investor sentiment and the MAX effect. Journal of Banking & Finance, 46, 190-201.
Frieder, L., and Subrahmanyam, A. (2005). Brand Perceptions and the Market for Common Stock. Journal of Financial & Quantitative Analysis, 40(1), 57-85.
Gervais, S., Heaton, J., and Odean, T. (2002). The positive role of overconfidence and optimism in investment policy. RODNEY L WHITE CENTER FOR FINANCIAL RESEARCH-WORKING PAPERS-.
Grinblatt, M., and Keloharju, M. (2001). How Distance, Language, and Culture Influence Stockholdings and Trades. The Journal of Finance, 56(3), 1053-1073.
Grullon, G., Kanatas, G., and Weston, J. P. (2004). Advertising, Breadth of Ownership, and Liquidity. The Review of Financial Studies, 17(2), 439-461.
Guo, H., and Savickas, R. (2010). Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns. Journal of Banking & Finance, 34(7), 1637-1649.
Han, B., and Kumar, A. (2013). Speculative Retail Trading and Asset Prices. Journal of Financial & Quantitative Analysis, 48(2), 377-404.
Hou, K., Xiong, W., and Peng, L. (2009). A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum.
Jiang, G. J., Xu, D., and Tong, Y. (2009). The Information Content of Idiosyncratic Volatility. Journal of Financial & Quantitative Analysis, 44(1), 1-28.
Kumar, A. (2009). Who Gambles in the Stock Market? The Journal of Finance, 64(4), 1889-1933.
Kumar, A., and Charles, M. C. L. (2006). Retail Investor Sentiment and Return Comovements. The Journal of Finance, 61(5), 2451-2486.
Lou, D. (2014). Attracting Investor Attention through Advertising. The Review of Financial Studies, 27(6), 1797-1829.
Markowitz, H. (1952). The Utility of Wealth. Journal of Political Economy, 60(2), 151-158.
Merton, R. C. (1987). A Simple Model of Capital Market Equilibrium with Incomplete Information. The Journal of Finance, 42(3), 483-510.
Miller, E. M. (1977). Risk, Uncertainty, and Divergence of Opinion. The Journal of Finance, 32(4), 1151-1168.
Mitton, T., and Vorkink, K. (2007). Equilibrium Underdiversification and the Preference for Skewness. The Review of Financial Studies, 20(4), 1255-1288.
Odean, T. (1999). Do Investors Trade Too Much? American Economic Review, 89(5), 1279-1298.
Ofek, E., Richardson, M., and Whitelaw, R. F. (2004). Limited arbitrage and short sales restrictions: evidence from the options markets. Journal of Financial Economics, 74(2), 305-342.
Palfrey, T. R., and Wang, S. W. (2012). Speculative Overpricing in Asset Markets With Information Flows. Econometrica, 80(5), 1937-1976.
Peng, C. L., Wei, A. P., Chen, M. L., and Huang, W. T. (2016). Synergy between R&D and advertising on shareholder value: Does firm size matter? Canadian Journal of Administrative Sciences/Revue Canadienne des Sciences de l'Administration.
Peterson, D. R., and Smedema, A. R. (2011). The return impact of realized and expected idiosyncratic volatility. Journal of Banking & Finance, 35(10), 2547-2558.
Shleifer, A., and Vishny, R. W. (1997). The Limits of Arbitrage. The Journal of Finance, 52(1), 35-55.
Stambaugh, R. F., Yu, J., and Yuan, Y. (2012). The short of it: Investor sentiment and anomalies. Journal of Financial Economics, 104(2), 288-302.
Yu, J., and Yuan, Y. (2011). Investor sentiment and the mean–variance relation. Journal of Financial Economics, 100(2), 367-381.