本研究根據Baker and Stein (2004)的論點，利用不同的流動性指標作為投資人情緒的代理變數，探討投資人情緒對股票報酬之影響。由於Baker and Wurgler (2006) 認為難以評價或套利的股票較容易受到投資人情緒的影響，因此本研究以評價和套利的難易程度，作為投資組合的分類標準，形成各種不同的投資組合，探討投資人情緒指標是否會對不同投資組合造成不同的影響。在多空投資組合迴歸分析中，發現當前一期投資人情緒為負時，上市期間較短、小型股、高報酬波動率、高公司特有風險、高成長機會及低成長機會的投資組合報酬率顯著較高；反之，當前一期投資人情緒為正時，這些投資組合報酬率會相對較低。在投資人情緒對個別投資組合之迴歸分析中，則是發現前一期投資人情緒對上市期間較短、小型股、高報酬波動率、高公司特有風險、無獲利及無發放股利的投資組合影響程度較大且顯著，而這種投資人情緒與投資組合報酬的關係並非傳統財務理論中的系統風險溢酬所能解釋。

Based on Baker and Stein’s (2004) argument, we use different liquidity measures to proxy for investor sentiment and investigate the effect of investor sentiment on stock returns. Baker and Wurgler (2006) argue that investor sentiment has larger effects on securities which are hard to value or arbitrage. Following their argument, we form various portfolios based on the degree of difficulty of valuation and arbitrage of stocks. Then we study how investor sentiment affects the cross-section of stock returns. In the predictive regressions for the various long-short portfolios, we find that when beginning-of-period sentiment is low, subsequent returns are relatively high for young stocks, small stocks, high volatility stocks, high idiosyncratic risk stocks, extreme growth stocks, and distressed stocks. When sentiment is high, on the other hand, subsequent returns are relatively low for these stocks. In the predictive regressions for individual portfolios, we find that prior investor sentiment has lager and more significant effects on young stocks, small stocks, high volatility stocks, high idiosyncratic risk stocks, unprofitable stocks, and non-dividend-paying stocks. However, these results cannot be explained by systematic risks, as predicted by the classical finance theory.

一、中文部份
周賓凰、張宇志、林美珍，2007，「投資人情緒與股票報酬互動關係」，證券市場發展季刊(TSSCI) 19 第二期，153-190
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洪培元，2003，「市場情緒指標與股價報酬關係之研究」， 雲林科技大學/財務金融系碩士論文
徐銘澤，2006，「投資人情緒與股價報酬關係」，國立嘉義大學管理研究所碩士論文
陳達勳，2000，「市場情緒與股票報酬之研究」，國立政治大學國際貿易學系碩士論文。
許銘傑，2002，「市場情緒與基本面對短期股價影響之比較」，國立政治大學國際貿易學系碩士論文。
許溪南、郭玟秀、鄭乃誠，2005，「投資人情緒與股價報酬波動之互動關係：台灣股市之實證」，台灣金融財務季刊 第六輯第三期，107-121。
廖國翔，2001，「注意力、情緒對投資決策之影響」，國立政治大學國際貿易學系碩士論文。
鄭明遠，2006，「投資人情緒與股價波動關係之研究」，國立台北大學企業管理學系碩士論文
賴莉玉，2004，「市場情緒指標對台灣股票報酬率影響之研究」，朝陽科技大學財務金融學系碩士論文

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