The Research of Investor Sentiment Indicators and the Stock Returns

• Main Authors: Wang, Weihao, 王瑋豪
• Other Authors: Chang, Chungyueh
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/14755890408950585192

碩士 === 國立臺北大學 === 會計學系 === 99 === There have been many studies focusing on the investor sentiment, using different specifications or definitions of investor sentiment indicators. However, the proxies used to describe investor sentiment in past studies could not explain “contemporary investor sentiment”. Therefore, we intend to construct more appropriate investor sentiment indicators by considering the structure of the stock market in Taiwan to examine whether investor sentiment is positively related with the stock returns. In addition, this study further examines whether investor can be used to predict subsequent momentum profitability. In this study TURN 、 △MARGIN 、 △SHORTIR 、 ADVDEC 、 TTT 、RIPO and WARRANT are used by applying Principal Component Analysis(PCA) to construct an aggregate indicators of investor sentiment. The explanatory power of the aggregate indicators is 97.46%, meaning the effectiveness of these indicators. This study uses multiple regression analysis. The empirical results indicate that (1) the sentiment effect is positively associated with stock returns significant. and(2) The sentiment effect is insignificantly positively associated with both of the momentum profitability by holding securities in 3 or 6 months. In general, we find that investor sentiment indicators can be used to explain stock return in the current, but can not be used to predict momentum profitability in the future. Therefore, using investor sentiment indicators can not help to make an abnormal profit.