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標題: 焦點效應與長期股價報酬
Attention Effect and Long-term Stock Return
作者: Pei-Min Hsu
關鍵字: 焦點效應;股價報酬;attention effect;stock return
引用: 中文文獻 池祥萱、林煜恩、陳韋如、周賓凰,2009,公司執行長的媒體曝光度會影響公司績效嗎?交大管理學報 29,139-173。 蕭君泰,2012,注意股票與焦點交易之市場檢視,中興大學財務金融學系碩士學位論文。 朱皓雍,2013,焦點效應與投資人行為,中興大學財務金融學系碩士學位論文。 邱淑婷,2013,焦點事件與交易人行為,中興大學財務金融學系碩士學位論文。 英文文獻 Ang, A., Hodrick, R.J., Xing, Y., and Zhang, X., 2009, High idiosyncratic volatility and low returns: International and further U.S. evidence, Journal of Financial Economics 91, 1-23. Baker, Malcolm, and Jeffrey Wurgler, 2006, Investor sentiment and the cross-section of stock returns, Journal of Finance 61, 1645-1680. Barber, Brad M., and Terrance Odean, 2008, All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors, Review of Financial Studies 21, 785-818. Black, Fischer, 1986, Noise, Journal of Finance 41, 529-543. Da, Zhi, Joseph Engelberg, and Pengjie Gao, 2011, In search of attention, Journal of Finance 66, 1461-1499. Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465. Fang, Lily, and Joel Peress, 2009, Media coverage and the cross-section of stock returns, Journal of Finance 64, 2023-2052. Grullon, Gustavo, George Kanatas, and James P. Weston, 2004, Advertising, breadth of ownership, and liquidity, Review of Financial Studies 17, 439-461. Huberman, Gur, and Tomer Regev, 2001, Contagious speculation and a cure for cancer: A nonevent that made stock prices soar, Journal of Finance 56, 387-396. Kahneman, Daniel., 1973, Attention and Effort (Prentice-Hall, Englewood Cliffs, NJ). Kim, Y.H.A., and Meschke, F., 2012, CEO interviews on CNBC, Working paper, Nanyang Business School and University of Kansas. Seasholes, Mark S., and Guojun Wu, 2007, Predictable behavior, profits, and attention, Journal of Empirical Finance 14, 590-610. Tetlock, Paul C., 2007, Giving content to investor sentiment: The role of media in the stock market, Journal of Finance 62, 1139-1168. Tetlock, Paul C., 2010, Does public financial news resolve asymmetric information? Review of Financial Studies 23, 3520-3557. Tetlock, Paul C., Maytal Saar-Tsechansky, and Sofus Macskassy, 2008, More than words: Quantifying language to measure firms' fundamentals, Journal of Finance 63, 1437-1467.

This paper studies how attention effect affects long-term stock return in Taiwan's listed stock market. This paper hypothesizes that stock price will correct and reverse to fundamentals as a result of short-term attention-driven mispricing. In my methodology, we calculate attention effect indices to provide a quantitative indicator of the strength of attention effect. In empirical results, firstly, we find that attention effect index has significant negative impact on long-term stock return and the portfolio of high-index has negative mean return. we also find that long-term stock return is more sensitive to atten-tion effect during the financial crisis of 2007-2009 due to the behavior of investors' flight-to-quality. Furthermore, long-term stock return of certain firms—small size, low B/M, young, high idiosyncratic risk—is also more sensitive to attention effect. Finally, we use some attention-based investment strategies and find that we can get good long-term stock return. Consistent with hypotheses, empirical results support that atten-tion-driven stock price will experience the process of mispricing to correction.
其他識別: U0005-2306201410115500
Rights: 同意授權瀏覽/列印電子全文服務,2017-06-24起公開。
Appears in Collections:財務金融學系所

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