本研究利用美國股票型基金流量建構一個基金投資者情緒指標，藉以探討散戶投資者情緒對股市報酬是否存在正向影響，並參考Stambaugh, Yu and Yuan (2012)區分投資者情緒期間的準則，以基金投資者情緒指標的中位數區分樂觀情緒期間與悲觀情緒期間，探討不同基金投資者情緒期間對股市報酬的影響是否具不對稱性。
研究結果顯示基金投資者情緒指標對同期股市報酬有正向關係，並進一步觀察該效果會隨不同的基金投資者情緒期間而有所不同，在樂觀情緒期間強於悲觀情緒期間。經濟意涵為:相較於在悲觀情緒期間，散戶投資者在樂觀情緒期間的從眾申購較容易推升同期股市報酬。再者，實證結果顯示基金投資者情緒指標對下一期的股市報酬不具影響力，表示基金投資者情緒指標只能短暫地影響股市報酬。

We use U.S. equity fund flows as a measure of fund investor sentiment to investigate whether the individual investor sentiment is positively correlated with stock market returns. Moreover, we refer to the rule of Stambaugh, Yu and Yuan (2012) to distinguish between optimistic sentiment periods and pessimistic sentiment periods by the median of the measure of fund investor sentiment, and investigate whether this effect is asymmetric in optimistic/pessimistic sentiment periods.
First, the result indicates that a significant and positive contemporaneous correlation between fund investor sentiment and stock market returns. Secondly, this effect is asymmetric in optimistic/pessimistic sentiment periods, and it is stronger in optimistic sentiment periods than in pessimistic sentiment periods. The economic implications of our study are that the herding purchase of individual investors in optimistic sentiment periods pushes stock market returns arising much easier than in pessimistic sentiment periods. Thirdly, there is no evidence to prove that the measure of fund investor sentiment can predict subsequent stock market returns, which means the measure of fund investor sentiment only affects stock market returns temporarily.

學位論文審定書..................................................... i
摘要....................................................................... ii
Abstract................................................................. iii
目錄....................................................................... iv
圖次....................................................................... v
表次....................................................................... vi
第一章 緒論............................................................ 1
第一節 研究背景與動機.......................................... 1
第二節 研究目的與問題.......................................... 4
第三節 研究架構..................................................... 5
第二章 文獻探討與假說發展....................................7
第一節 投資者情緒對股市報酬的影響......................7
第二節 從眾效果如何影響基金流量........................ 10
第三節 聰明錢與愚笨錢效果................................... 11
第三章 研究方法..................................................... 14
第一節 建立研究模型.............................................. 14
第二節 研究樣本..................................................... 17
第三節 基金現金流量計算....................................... 19
第四節 建立基金投資者情緒指標............................ 20
第四章 實證結果..................................................... 24
第一節 敘述性統計分析.......................................... 24
第二節 基金投資者情緒指標對股市報酬的影響...... 25
第五章 結論............................................................ 29
參考文獻................................................................. 32

圖次
圖1-2 研究架構圖....................................................6
圖3-1 Baker and Wurgler投資者情緒指標..............18
圖3-2 基金投資者情緒指標.....................................21
圖3-3 基金投資者情緒指標分佈圖..........................23
圖3-4 Baker and Wurgler投資者情緒指標分佈圖...23

表次
表3-1 實證迴歸模型變數的描述.....................................19
表3-2 基金現金流量自我相關檢定................................. 22
表4-1 敘述性統計...........................................................25
表4-2 基金投資者情緒指標對同期股市報酬的影響.........26
表4-3 基金投資者情緒指標對下一期股市報酬的影響...... 27
表4-4 不同基金投資者情緒期間對同期股市報酬的影響...28

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