本研究利用直接的散戶投資者情緒指數將市場分為樂觀、中立與悲觀狀態，探討不同的投資者情緒狀態是否能夠以及如何影響股票市場對美國消費者滿意度(ACSI)訊息的反應。本研究實證發現，由消費者滿意度表現較佳的公司所組成的投資組合，以及利用ACSI訊息所建構形成的套利投資組合都具有優於市場大盤之報酬表現。本研究進一步加入投資者情緒後，發現消費者滿意度較佳之投資組合，以及ACSI套利投資組合在投資者具有悲觀情緒期間都能創造出顯著的正向超額報酬。其中，以市值加權法形成的消費者滿意度投資組合在市場悲觀期間具有0.71%的月平均報酬，或者是8.52%的年平均報酬；而ACSI套利投資組合在市場悲觀期間則可以創造出0.26%的月平均報酬，或者是3.12%的年平均報酬。本研究利用其他準則建構形成不同的投資組合，更進一步確認了ACSI的錯誤訂價現象確實存在於悲觀市場狀態期間。本研究實證結果顯示，根據消費者滿意度所形成的股票投資策略，具有優於市場大盤報酬之表現、能夠創造顯著的正向超額報酬，而此超額報酬在投資者對於市場抱持悲觀信念的期間更為顯著。本研究主要貢獻在於發現消費者滿意度在市場悲觀期間具有類似保險性質的功能，亦即擁有較佳的消費者滿意度能幫助公司對抗市場悲觀情緒對股價帶來的負面影響。

Motivated by a lack of understanding for how investors’ emotional states affect their perceptions and valuations of customer satisfaction, this study separates investor sentiment into optimistic, neutral, and pessimistic states following a direct retail investor sentiment index and examines whether and how sentiment influences the stock market’s reaction to ACSI (American Customer Satisfaction Index) information. The empirical results show that the Strong-ACSI Portfolio, i.e., the portfolio consisting of firms with strong ACSI performance, and the long-short portfolio strategy based on the ACSI information all generate positive abnormal returns. By considering investor sentiment, the Strong-ACSI Portfolio and the long-short ACSI portfolios all achieve significant abnormal returns in the pessimistic periods. From 1996 to 2011, a value-weighted Strong-ACSI Portfolio creates Carhart’s abnormal returns of 0.71% per month, or 8.52% per year when investors have pessimistic sentiment. The value-weighted long-short portfolio also generates Carhart’s abnormal returns of 0.26% per month, or 3.12% per year in the pessimistic state. Further adoption of alternative methods and various portfolio criteria confirms that the mispricing of ACSI exists in pessimistic states. The evidence suggests that it is possible to beat the market with investment strategies based on customer satisfaction, especially when investors hold their pessimistic beliefs about the market. The main contribution of this study is that higher intangible assets such as having highly satisfied customers provide firms an insurance-like protection against market pessimism.

Contents
論文審定書.i
中文摘要 .ii
英文摘要 .iii
Contents iv
Tables v
1. Introduction 1
2. Literature Review and Hypotheses Development 7
2.1. Customer Satisfaction and Stock Returns 7
2.1.1. Investors’ Rational Expectations of Future Cash Flows 7
2.1.2. Investors’ Affect-based Motivations to Invest in Stocks 10
2.2. Effect of Sentiment on Stock Market Reaction to Customer Satisfaction 12
3. Data 17
3.1. Customer Satisfaction: American Customer Satisfaction Index (ACSI) 17
3.2. Investor Sentiment: Index of Relative Retail Sentiment 18
4. Methodology 21
4.1. Portfolio Formation 21
4.2. Portfolio Returns: Risk Adjustment Procedures 23
4.3. Rolling Data Window: Time-varying Risk Factor Loadings 25
4.4. Abnormal Portfolio Returns in Different Investor Sentiment States 27
5. Empirical Results 28
5.1. Stock Market Reaction to Customer Satisfaction 28
5.2. Effect of Investor Sentiment on Stock Market Reaction to Customer Satisfaction 32
5.3. Further Robustness Tests: Alternative Methods to Test the Sentiment Effect on Stock Market Reaction to Customer Satisfaction 36
6. Discussion 40
7. Conclusion and Implications 42
8. Directions for Future Research 45
References 46
Resume 56

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