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論文名稱 Title |
低波動異常現象與投資人情緒 Low Volatility Anomaly and Investor Sentiment |
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系所名稱 Department |
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畢業學年期 Year, semester |
語文別 Language |
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學位類別 Degree |
頁數 Number of pages |
106 |
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研究生 Author |
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指導教授 Advisor |
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召集委員 Convenor |
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口試委員 Advisory Committee |
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口試日期 Date of Exam |
2015-12-28 |
繳交日期 Date of Submission |
2015-12-31 |
關鍵字 Keywords |
多空操作策略、彩劵型股票、投資人情緒、低波動異常現象、彩券型偏好、移動平均交易策略 preferences for lottery-type stocks, moving average strategy, long-short strategy, low volatility anomaly, lottery-like stocks, investor sentiment |
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統計 Statistics |
本論文已被瀏覽 5881 次,被下載 38 次 The thesis/dissertation has been browsed 5881 times, has been downloaded 38 times. |
中文摘要 |
高風險低報酬的低波動異常現象(low volatility anomaly)違反了傳統資產定價模型高風險高報酬的基本假設。行為財務學者們指出,投資人錯估未來預期報酬的機率,使得他們更加沉溺於賭博遊戲裡,進而提升高波動度股票(彩劵型股票)的需求,導致下一期高波動度股票報酬反轉,低波動異常現象更加明顯。 本研究使用Baker and Wurgler (2006)建構的投資人情緒指標(investor sentiment)並採用多空操作策略(long-short strategy)以探究在投資人情緒期間,高波動度股票(彩劵型股票)風險調整後報酬(risk-adjusted returns)顯著低於低投資人情緒期間,進一步檢測投資人情緒是否可預測低波動異常現象。 研究結果發現,存在低波動異常現象,且隨著投資人情緒越高,低波動異常現象越強,並發現投資人情緒可預測低波動異常現象。本研究進一步採用移動平均交易策略(moving average strategy)進行穩健性測試,其研究結果相當穩健。上述研究結果說明,投資人的樂觀情緒能加強彩劵型偏好,使得投資人對彩劵型股票的需求提高,進而增強低波動異常現象。因此,此研究結果對於長期投資的投資人而言,建議投資人可投資於價格較高且低波動的股票,可避免偏好彩劵型股票投資人的影響,使得投資風險提高。 |
Abstract |
A “low volatility anomaly” counters to the implications in the classical portfolio theory and the capital asset pricing model. Behavioral studies document that investors falsely perceive the probability of winning in the gamble higher, leading to a high demand for stocks with lottery-like payoff at the aggregate level, consequently strengthen low volatility anomaly, which a high-risk stock with a low return. In this study, we examine whether investors of propensity to speculate could explain low volatility anomaly. Long-short strategy that exploits the low volatility anomaly exhibits profit of low volatility investing, and test that the risk-adjusted returns of higher-volatility stocks (lottery-like stocks) should be more profitable following high sentiment than following low sentiment, and investigate whether investor sentiment predicts profit in low volatility strategy. Empirical results show that highest total (idiosyncratic) volatility stocks are more profitable following high investor sentiment levels. Furthermore, we display predictive power of investor sentiment does perform the return of long-short strategy. For robustness, we apply moving average strategy to reexamine predictive power of investor sentiment. Those results are consistent with results of long-short strategy. In sum, these results provide that investor optimism increases preferences for lottery-type stocks, as a result, individual investors demand higher volatility stocks more frequently following high level of investor sentiment. Therefore, our empirical results suggest that long-term investors can invest relatively high price and low volatility stocks which could decrease disturbed by investors of preferences for lottery-type stocks, consequently increasing risk. |
目次 Table of Contents |
論文審定書............................................................i 摘要 ....................................................................ii LIST OF TABLES...................................................vi LIST OF FIGURES.................................................ix CHAPTER 1. INTRODUCTION...............................1 CHAPTER 2. LITTERTURE REVIEWS......................7 1. Low Volatility Anomaly...................................7 2. Explanation for The Volatility Anomaly ...........10 3. Investor Sentiment........................................12 CHAPTER 3. SAMPLE CONSTRUCTION..............16 1. Data ...........................................................16 2. Volatility Method...........................................19 3. Trading Strategy ...........................................20 CHAPTER 4. EMPIRICAL RESULTS.....................30 1. Long-Short Strategy......................................31 1.1. Low volatility anomaly ...................................31 1.2. Predictive Regressions..................................36 2. Technical Analysis Strategy...........................48 CHATER 5. CONCLUSION ...................................62 APPENDIX A........................................................73 A.1 Long-Short Strategy for controlling stock prices.73 A.2 Technical Analysis Strategy for controlling stock prices...85 |
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