隨著股票市場不理性的行為不斷出現，效率市場假說的有效性越來越受到質疑，尤其台灣股票市場投資人結構以分析能力較弱、資訊亦較不足的散戶為主，因此雜訊交易非常普遍，也影響了股票的報酬。因此如何衡量雜訊交易者所形成之投資人心理的不理性程度，也變成了研究者在探討台灣股市報酬率時不得不討論的課題。
本研究試圖找出能夠代表投資人心理的代理變數，並形成對股價報酬有顯著解釋力的因子。本文採用總體經濟因素的套利定價模式，以台灣上市公司民國83年至91年資料為樣本，並以與雜訊投資人認知偏誤有關的公司特徵，包括公司上市年限、市值、流通在外股數、股價、盈餘與價格比及淨銷貨成長率等作為投資組合分組基礎，在模型中加入受投資人心理影響之封閉型基金折溢價、首次公開發行股票的初期報酬率及發行公司數量等變數，以驗證整體模型及個別投資人心理代理變數在模型中的顯著性及解釋能力。分析結果顯示封閉型基金折溢價、首次公開發行股票的初期報酬率較為適用於投資人心理代理變數，而首次公開發行公司數量則較無顯著及一致性的結果。

More and more events and anomalies that have happened in recent years cannot be explained by traditional models, which leads to a pervasive doubt of the effectiveness of the efficient market hypothesis. In particular, over ninety percent of Taiwan’s stock market investors are individuals, and the noise trading phenomenon is very common and has a great effect upon the return of stock. Hence, the measure of investor sentiment formed by noise traders becomes a task for the researcher studying the factors which effect the stock return in Taiwan.
The objective of this paper is to find the investor sentiment proxy variables which can be a significant factor in explaining stock return. This analysis adopts the arbitrage pricing model of the macroeconomic factors. The sample contains data for most listed stocks on the Taiwan Stock Exchange from 1984 to 2002. By combining the stock or company characteristic related to the noise traders’ perception, including market value, stock and etc., and phenomenons effect by investor sentiment, including closed-end fund discount, initial returns on IPOs, and number of IPOs to the arbitrage pricing model , we found that closed-end fund discount and initial returns on IPOs are significant and appropriate to investor sentiment proxy variables. However, the number of IPOs is not significant enough

第一章 緒論4
第一節 研究動機與目的4
第二節 研究範圍與研究限制8
第二章 文獻探討與研究架構9
第一節 雜訊投資人之投資人心理9
第二節 封閉型基金折溢價12
第三節 首次公開發行股票發行初期報酬率18
第四節 首次公開發行股票之公司數量26
第五節 研究架構29
第三章 研究方法31
第一節 研究設計與假設分析31
第二節 資料來源與抽樣限制35
第三節 變數的定義與衡量36
第四章 實證結果38
第一節 投資人心理代理變數彼此間的關係38
第二節 在不同投資人心理狀態下股票報酬率之研究41
第三節 投資人心理代理變數與總體因素關係之研究48
第四節 投資人心理代理變數在套利訂價模式之有效性研究49
第五節 投資人心理代理變數在套利訂價模式之有效性研究（考慮變數共線性）57
第五章 結論與建議63
第一節 研究結論63
第二節 後續研究建議64
參考文獻65

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