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題名：隔夜與日內報酬互動之意涵
作者：張光泰
作者(外文)：Truong, Quang Thai
校院名稱：國立交通大學
系所名稱：財務金融研究所
指導教授：黃宜侯
梁婉麗
學位類別：博士
出版日期：2021
主題關鍵詞：隔夜報酬；日內報酬；投資者異質性；市場摩擦；錯誤定價；Overnight return；Intraday return；Investor heterogeneity；Market friction；Mispricing
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在過去的十年中，許多研究探討隔夜報酬和日內報酬間的相互作用，以及對投資者異質性在資產定價中的重要性。 本研究通過引入新的方法來捕捉隔夜報酬和日內報酬相互作用下所產生的資訊內涵，為這些問題提供了新的見解。 通過觀察隔夜與日內報酬的每日振盪，我們發現這種現象與市場摩擦有關，且阻礙投資者交易股票，例如套利限制和訊息衝擊。 此外，利用隔夜報酬和日內報酬相互作用的訊息，在將來能獲得顯著的異常報酬。 本文中採取多種的研究設計來驗證隔夜報酬和日內報酬相互作用對於股票價個之影響，包括單一股票和投資組合方法。 最後，將隔夜和日內報酬的訊息加入在當前資產定價模型中，可以為特質波動和最大日收益（MaxRet）難題提供更好的解釋。
Over the past decade, many studies have shown a constant struggle between overnight and intraday returns and the importance of investor heterogeneity in asset pricing. This study provides new insights into these issues by introducing a novel way to capture this struggle's information content. By examining the daily oscillation of overnight and intraday returns, we find that the struggle is associated with market frictions which hinder investors from trading stocks like the limits of arbitrage and information shocks. In addition, using the information content of this struggle can earn a significant abnormal return in the future. The results are robust across alternative tests, including single stock and portfolio approaches. Finally, including the information content of overnight and intraday returns into current asset pricing models provides a better explanation for the idiosyncratic volatility and maximum daily return (MaxRet) puzzles.
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