臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：基本面與非基本面從眾行為與其對股票報酬影響之研究
作者：羅進水 引用關係
作者(外文)：Chin-Shui Lo
校院名稱：國立雲林科技大學
系所名稱：管理研究所博士班
指導教授：李春安
學位類別：博士
出版日期：2007
主題關鍵詞：正向(反向)回饋交易；從眾行為；橫斷面離散程度；Kalman filter；cross-section dispersion；herding behavior
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:38
投資人或許為了心理與實際安全感，選擇採取與他人相同的投資行為，在證券市場中，此一從眾行為可能引起資產價格出現齊漲或齊跌的異常現象，因此從眾行為常讓人有不理性的負面觀感。本研究採用Hwang and Salmon(2004)從眾指標衡量模型，將從眾行為進一步區分成依據基本面資訊執行交易的基本面從眾與刻意模仿他人行為的非基本面從眾行為，觀察此兩種從眾行為對股票報酬與波動的影響。
本研究的實證顯示，於市場上漲期間，與投資人心理情緒攸關的非基本面從眾交易雖會驅使資產偏離基本面價值，但顯著性較低。依據基本面資訊的從眾交易是一股反向的交易力量，可拉回偏離基本面的資產價值，且其影響力大於非基本面的從眾交易。在市場下跌期間，投資人心理情緒面的非基本面從眾行為對市場報酬有負面影響，基本面從眾行為對市場報酬有正向影響。但是非基本面從眾行為對於市場報酬的影響力亦不若基本面從眾行為的影響力。證券市場存在兩股相反的交易力量，因此不致於使資產價值過度偏離基本面應有的真實價值。此外，本研究實證也顯示非基本面從眾行為會增加市場的波動，基本面的從眾行為會降低市場的波動。
資產價格除部份反應基本面資訊的價值之外，也受到投資人心理因素的影響。本研究先以Daniel and Titman(2006)的基本面市值比分解模型與Clubb and Naffi(2007)的基本面評價模型的基本面變數，檢定基本面因子對台灣個股報酬的解釋能力，實證結果顯示基本面因素解釋報酬的能力普遍偏低。進一歩檢定投資人的從眾行為與非基本報酬關係，實證顯示機構投資人從眾行為對於非基本面報酬的影響力高於非機構投資人的從眾力量。再進一歩實證發現，非機構投資人是追漲殺跌的正向回饋交易策略，但非機構投資人的正向回饋交易行為並不具有資訊性，則此一追求趨勢的從眾行為可能會增加股市的波動，是證券市場一股潛在的不穩定力量。機構投資人漸漸成為逢高賣出，逢低買進的反向回饋交易者，而此機構投資人的反向回饋交易行為亦不具有資訊。此兩股相反的交易行為交互影響著市場的報酬與波動，因此應不致於使證券市場產生劇列的擾動。此外，本研究也證實非基本面的從眾交易正向的影響到非基本面的報酬。
Appling the herding measure of Hwang and Salmon (2004), this study decomposes investor’s herding behavior into fundamental-driven herding behavior and non-fundamental herding behavior induced by investor’s psychology. This study investigates both types of behaviors within Taiwan stock market over the period from January 1987 to March 2007. The empirical results indicate that the non-fundamental herding behavior may have less effect on market returns than the fundamental herding. Furthermore, the fundamental herding may have helped stabilize the stock market, whereas the non-fundamental herding may have increased market volatilities.
In addition to decomposing investor’s herding behavior into fundamental-driven and non-fundamental-driven herding behavior, this study also decomposes stock return into fundamental and non-fundamental returns. Our empirical results suggest that the fundamental variables of the models of Daniel and Titman (2006) and Clubb and Naffi (2007) do not efficiently explain stock returns. Furthermore, we find that institutional investors act as behavior-based contrarian investors and non-institutional investors are uninformed feedback traders. There are two groups of contrary traders on the same market, so extreme price movement seldom occurs. We also find that non-fundamental herding may notably affect market returns during bullish and bearish markets.
1.李志宏、周冠男、林秋發與謝育慈，2006，「亞洲金融風暴前後外資交易行為與台灣股市互動關係之研究」，證券市場發展季刊，第十八卷第三期，頁47-72。new window
2.李春安、陳炳宇，2002，「聲譽、訊息模糊與從眾行為之研究」，2002年財務金融學術研討會。
3.李春安、賴藝文，2005，「股市劇烈變動區間台灣股票市場與本國機構投資人從眾行為之研究」，台灣管理學刊，第五卷第二期，頁231-268。new window
4.周賓凰、池祥萱、周冠男與龔怡霖，2002，「行為財務學：文獻回顧與展望」，證券市場發展季刊，第十四卷第二期，頁1-48。new window
5.金成隆、林修葳，2004，「領導型/從眾型分析師過度自信現象之研究」，國科會專題研究計畫，NSC 92-2416-H-004-056-EF。
6.許培基、陳軒基、黃淑貞，2005，「基金經理人為何出現群集行為」，管理評論，第二十四卷第四期，頁57-81。new window
7.郭敏華、蔡世烈、2003，「從行為財務學的觀點探討台灣股市之從眾傾向」，東海管理評論，第六卷第一期，頁51-71。new window
8.陳明祥，2005，「台灣股市資產定價的基本與時尚之探討」，風險管學報，第七卷第二期，頁111-134。
9.陳振遠、張智堯、王蘭芬與李文智，2005，「應用Ohlson會計評價模型探究公司治理之價值攸關性-以台灣上市公司電子業為例」，台大管理論叢，第十五卷第二期，頁99-122。new window
10.黃玉娟、江宏儒，2003，「股票市場從眾行為之探討：新興市場與已開發國家之比較」，交大管理評論，第二十三卷第二期，頁119-146。new window
11.劉憶如，2004，「外資在台灣證券交易市場角色之研究」，台灣證券交易所委託研究報告。
12.蔡文賢、林建煌與蔡佳靜，2001，「現金流量、帳面價值、市場價值、帳面價值對市場價值比率與股票報酬之關係-台灣股票市場規模效果之研究」，輔仁管理評論，第八卷第二期，頁141-164。new window
13.薛求知，黃佩燕，魯直，張曉蓉原著，郭敏華審定，2005，「行為經濟學－理論與應用」，智勝文化事業有限公司，台北，初版。
14.Amir, E. and B. Lev, 1996, “Value-relevance of nonfinancial information: the wireless communications industry,” Journal of Accounting and Economics, Vol. 22, 3-30.
15.Avery, C. N., and J. A. Chevalier, 1999, “Herding over the career,” Economics Letters, Vol. 63, 327-333.
16.Avramov, D., T. Chordia and A. Goyal, 2004, “The impact of trades on daily volatility,” AFMA 2005 Philadelphia Neetings.
17.Barbee, W. C., S. Mukherji, and G. A. Raines, 1996, “Do sales-price and debt-equity explain stock returns better than book-market and firm size?” Financial Analysts journal, Vol. 52, 56-60.
18.Barberis, N. and A. Shleifer, 2003, “Style investing,” Journal of Financial Economics, Vol. 68, 161-199.
19.Bikhchandani, S. and S. Sharma, 2000, “Herd behavior in financial markets: A review,” IMF working paper.
20.Bikhchandani, S., D. Hirshleifer, and I. Welch, 1992, “A theory of fads, fashion, custom, and culture change as information cascades,” Journal of Polotical Economy, Vol. 100, 992-1026.
21.Bloomfield, R., R. Libby and M. W. Nelson, 2000, “Underreactions, overreactions and moderated confidence,” Journal of Financial Markets, Vol. 3, 113-317.
22.Bollerslev, T., 1987, “A conditional heteroskedastic time series model for speculative price and rates of return,” Review of Economics and Statistics, Vol. 69, 542–547.
23.Burnkrant, R. E. and A. Cousineau, 1975, “Informational and normative social influence in buyer,” Journal of Consumer Research, Vol. 2, 206-215
24.Campbell, J. Y., 1991, “A variance decomposition for stock returns,” Economic Journal, Vol. 101, 155–173.
25.Campbell, J. Y. and T. Vuolteenaho, 2004, “Bad beta, good beta,” American Economic Review, Vol. 94, 1249-1275.
26.Caparrelli, F., A. M. D’Arcangelis and A. Cassuto, 2004, “Herding in the Italian stock market: a case of behavioral finance,” Journal of Behavioral Finance, Vol. 5, 222-230.
27.Chan, L. K. C., Y. Hamao and J. Lakonishok, 1991, “Fundamentals and stock returns in Japan,” Journal of Finance, Vol. 46, 1739-1764.
28.Chang, E. C., J. W. Cheng and A. Khorana, 2000, “An examination of herding behavior in equity markets: An international perspective,” Journal of Banking & Finance, Vol. 24, 1651-1679.
29.Chen, G., O. M. Rui and Y. Xu, 2003, “When will investors herd?--Evidence from the Chinese stock markets,” Hong Kong Polytechnic University working paper.
30.Chen, J. J., X. Xiao and P. Cheng, 2007, “Herd behaviour of Chinese mutual funds,” AFMA working paper.
31.Choe, H., B. C. Kho and R. M. Stulz, 1999, “Do foreign investors destabilize stock markets? The Korean experience in 1997,” Journal of Financial Economics, Vol. 54, 227-264.
32.Christie, W. G. and R. D. Huang, 1995, “Following the pied piper: do individual returns herd around the market?” Financial Analysts Journal, Vol. 51, 31-37.
33.Clement, M. B. and S. Y. Tse, 2005, “Financial analyst characteristics and herding behavior in forecasting,” Journal of Finance, Vol. 60, 307-41.
34.Clubb, C. and M. Naffi, 2007, “The usefulness of book-to-market and ROE expectations for explaining UK stock returns,” Journal of Business Finance & Accounting, Vol. 34, 1-32.
35.Cont, R. and J. P. Bouchaud, 2000, “Herd behavior and aggregate fluctuations in financial markets,” Macroeconomic Dynamics, Vol. 4, 170-196.
36.Cutler, D. M., J. M. Poterba and L. H. Summers, 1989, “What moves stock prices?” Journal of Portfolio Management, Vol. 15, 4-12.
37.Cutler, D.M., J. M. Poterba, and L. H. Summers, 1990, “Speculative dynamics and the role of feedback traders,” American Economic Review, Vol. 80, 63-68.
38.Daniel, K. and S. Titman, 1999, “Market efficiency in an irrational world,” Financial Analysts Journal, Vol. 55, 28-40.
39.Daniel, K. and S. Titman, 2006, “Market reactions to tangible and intangible information,” Journal of Finance, Vol. 61, 1605–1643.
40.Daniel, K. D., D. Hirshleifer and A. Subrahmanyam, 1998, “Investor psychology and security market under- and over-reactions,” Journal of Finance, Vol. 53, 1839-1886.
41.De Bondt, W. and R, Thaler, 1985, “Does the stock market overreact?” Journal of Finance, Vol. 40, 793-805.
42.De Long, B. J., A. Shleifer, L. H. Summers, and R. J. Waldmann, 1990, “Positive feedback investment strategies and destabilizing rational speculation,” Journal of Finance, Vol. 45, 379-395.
43.Del Guercio, D., 1996, “The distorting effect of the prudent-man laws on institutional equity investments,” Journal of Financial Economics, Vol. 40, 31-62.
44.Devenow, A. and I. Welch, 1996, “Rational herding in financial economics,” European Economic Review, Vol. 40, 603-615.
45.Effinger, M. R., and M. K. Polborn, 2001, “Herding and anti-herding: a model of reputational differentiation,” European Economic Review, Vol. 45, 385-403.
46.Engle, R. 2000, “Dynamic conditional correlation-a simple class of multivariate garch models,” Journal of Business and Economic Statistics, Vol. 20, 339-350.
47.Falkenstein, E. G., 1996, “Preferences for stock characteristics as revealed by mutual fund portfolio holdings,” Journal of Finance, Vol. 51, 111-135.
48.Fama, E. F. and K. R. French, 1993, “Common risk factors in the returns on stocks and bonds,” Journal of Financial Economics, Vol. 33, 3-56.
49.Fama, E. F. and K. R. French, 1995, “Size and book-to-market factors in earnings and returns,” Journal of Finance, Vol. 50, 131-156.
50.Fama, E. F. and K. R. French, 1996, “Multifactor explanations of asset pricing anomalies,” Journal of Finance, Vol. 51, 55-84.
51.Fama, E. F. and K. R. French, 1998, “Value versus growth: international evidence,” Journal of Finance, Vol. 53, 1975-1999.
52.Feltham, G. A., and J. A. Ohlson, 1995, “Valuation and clean surplus accounting for operating and financial activities,” Contemporary Accounting Research, Vol. 11, 689-731.
53.Flanegin, F. R. and D. P. Rudd, 2005, “Should investments professors join the “Crowd”,” Managerial Finance, Vol. 31, 28-37.
54.Fong, K., D. R. Gallagher, P. Gardner, and P. L. Swan, 2004, “A closer examination of investment manager herding behavior,” The University of New South Wales working paper.
55.Frankle, J. A. and K. A. Froot, 1990, “Chartists, fundamentalists, and trading in the foreign exchange market,” American Economic Review, Vol. 80, 181-185.
56.French, K. R. and R. Roll, 1986, “Stock return variances: the arrival of information and the volatility,” Journal of Financial Economics, Vol. 19, 3-29.
57.Froot, K. A., D. S. Scharfstein, and J. C. Stein, 1992, “Herd on the street: informational inefficiencies in a market with short-term speculation,” Journal of Finance, Vol. 47, 1461-1484.
58.Garman, M. and M. Klass, 1980, “On the estimation of security price volatilities from historical data,” Journal of Business, Vol. 53, 67-78.
59.Graham, J., 1999, “Herding among investment newsletters: theory and evidence,” Journal of Finance, Vol. 54, 237-268.
60.Griffin, J. M., J. H. Harris, and S. Topaloglu, 2003, “The dynamics of institutional and individual trading,” Journal of Finance, Vol. 58, 2285-2320.
61.Grinblatt, M., S. Titman, and R. Wermers, 1995, “Momentum investment strategies, portfolio performance, and herding: a study of mutual fund behavior,” American Economic Review, Vol. 85, 1088-1105.
62.Hirshleifer, D., A. Subrahmanyam, and S. Titman, 1994, “Security analysis and trading patterns when some investor receiver information before others,” Review of Financial Studies, Vol. 6, 1665-1698.
63.Hwang, S. and M. Salmon, 2004, “Market stress and herding,” Journal of Empirical Finance, Vol. 11, 585-616.
64.Iihara, Y., H. K. Kato and T. Tokunaga, 2001, “Investors’ herding on the Tokyo Stock Exchange,” International Review of Finance, Vol. 2, 71-98.
65.Jagadeesh, N., J. Kim, S. D. Krische and C. M. C. Lee, 2004, “Analyzing the analysts: when do the recommendations add value,” Journal of Finance, Vol. 59, 1083-1124.
66.Jiang, H., 2007, “Institutional investors, intangible information and the book-to-market effect,” National University of Singapore working paper.
67.Kamesaka, A., J. R. Nofsinger and H. Kawakita, 2003, “Investment patterns and performance of investor groups in Japan,” Pacific-Basin Finance Journal, Vol. 11, 1-22.
68.Keynes, J. M., 1936, The general theory of employment, interest and money, London, Macmillan.
69.Kim, W., and S. Wei, 2002, “Foreign portfolio investors before and during a crisis,” Journal of International Economics, Vol. 56, 77-96.
70.Lakonishok, J., A. Shleifer, and R. W. Vishny, 1992, “The impact of institutional trading on stock prices,” Journal of Financial Economics, Vol. 32, 23-43.
71.Lakonishok, J., A. Shleifer and R. W. Vishny, 1994, “Contrarian investment, extrapolation and risk,” Journal of Finance, Vol. 49, 1541-1578.
72.Lee, B. S., 1998, “Permanent, temporary, and non-fundamental components of stock prices,” Journal of Financial and Quantitative Analysis, Vol. 33, 1-32.
73.McCrae, M. and H. Nilsson, 2001, “The explanatory and predictive power of different specifications of the Ohlson (1995) valuation models,” The European Accounting Review, Vol. 10, 315-341.
74.Mukherji, S., M. S. Dhatt and Y. H. Kim, 1997, “A fundamental analysis of Korean stock returns,” Journal of Financial Analysts, Vol. 53, 75-80.
75.Najand, M. and K. Yung, 1994, “A GARCH examination of the relationship between volume and price volatility in futures markets,” Journal of Future Markets, Vol. 11, 613–621.
76.Nelson, J. M., 2006, “Intangible assets, book-to-market, and common stock returns,” Journal of Financial Research, Vol. 29, 21-41.
77.Nofsinger, J., and R. Sias, 1999, “Herding and feedback trading by institutional and individual investors,” Journal of Finance, Vol. 54, 2263-2295.
78.Ohlson, J. A., 1995, “Earning, book value and dividends in equity valuation,” Contemporary Accounting Research, Vol. 11, 661-687.
79.Olsen R. A., 1996, “Implications of herding behavior for earnings estimation, risk assessment, and stock return,” Financial Analysts Journal, Vol. 52, 37-41.
80.Olsen, R. A., 1998, “Behavioral finance and its implications for stock-price volatility,” Financial Analysts Journal, Vol. 54, 10-18.
81.Palomino, F., 1996, “Noise trading in small markets,” Journal of Finance, Vol. 51, 1537-1550.
82.Porras-Gonzalez, E. R., 2004, “Fundamentals versus contagion proxies to explain financial assets price changes,” IE working paper, WP04-17.
83.Scharfstein, D., and J. Stein, 1990, “Herd behavior and investment,” American Economic Review, Vol. 80, 465-479.
84.Sentana, E. and S. Wadhwani, 1992, “Feedback traders and stock return autocorrelations: evidence from a century of daily data,” The Economic Journal, Vol. 102, 415-425.
85.Sharma, V., 2004, “Two essays on herding in financial markets,” Virginia polytechnic Institute and State University Phd. working pape.
86.Sharma, V., J. C. Easterwood, and R. Kumar, 2005, “International herding and internet bubble,” The University of Michigan-Dearborn working paper.
87.Shiller, R., 1981, “Do stock prices move too much to be justified by subsequent dividends?” American Economic Review, Vol. 71, 421-436.
88.Shleifer, A. and L. H. Summers, 1990, “The noise trader approach to finance,” Journal of Economic Perspectives, Vol. 4, 19-33.
89.Sias,R.W.,2004, “Institutional herding,” Review of Financial Studies,Vol.17, 165-206.
90.Sims, C., 1980, “Macroeconomics and reality,” Economtrica, Vol. 48, 1-49.
91.Swaminathan B. and C. M. C Lee, 2000, “Do stock prices overreaction to earnings news?” Journal of Finance, Vol. 55, 2017-2069.
92.Verma, R., H. Baklaci, and G. Soydemir, 2005, “The impact of rational and irrational sentiments of individual and institutional investors on DJIA and S&P500 index returns,” 2005 FMA Annual Meeting.
93.Vuolteenaho, T., 2002, “What drives firm level stock returns?” Journal of Finance, Vol. 57, 233-264.
94.Walter, A., and M. F. Weber, 2006, “Herding in the German mutual fund industry,” European Financial Management, Vol. 12, 375-406.
95.Wermers, R., 1999, “Mutual fund herding and the impact on stock prices,” Journal of Finance, Vol. 54, 581-622.
96.Wylie, S., 2005, “Fund manager herding: a test of the accuracy of empirical results using U.K. data,” Journal of Business, Vol. 78, 381-403.new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關書籍
 
無相關著作
 
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：580（臺灣：572，外國：8） ／ 本年度總使用人次：1695817 ／ 訪客人次（自102年09月）：67489628
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上