Investor Sentiment,Time and Firm-Varying Risk Premiums and Stock Return: An Application of Nonlinear Four-Factor Model

• Main Authors: Chia-Hsien Li, 李佳憲
• Other Authors: Po-Chin Wu
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/dt5a94

碩士 === 中原大學 === 國際經營與貿易研究所 === 104 === This thesis rewrite the four-factor model, developed by Carhart(1997), as a panel smooth transition regression(PSTR) framework, and uses margin balance/ financing balance ratio as the transition variable in the framework, to evaluate the nonlinear path of stock returns and four time-varying risk premiums. Sample period span from 2008:Q1 to 2015:Q2. Sample objects are 34 companies listed on FTSE TWSE Taiwan 50 Index. The empirical results can be summarized as follows: 1.Holding growth stocks can lead to higher returns than the value; holding small size stocks can lead to excess returns than big size. 2.In the PSTR model, four risk premiums vary with time and across stocks, depending margin balance/ financing balance ratio in different regimes, not constant obtained from the traditional three-factor model and four-factor model. 3.When the company stock’s margin balance/ financing balance ratio is at a high level, owned small size and growth stocks can lead to excess returns; when the ratio is at a medium level, owned value stocks and corporate ownership ratio isn’t high can lead to excess returns.