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研究生: 王宇軒
Wang, Yu-Hsuan
論文名稱: 模糊性對相對高低估之影響-不同投資者關注程度之情境分析
The Influence of Ambiguity on Relative Overvaluation and Undervaluation: A Scenario Analysis Across Different Levels of Investor Attention
指導教授: 蔡蒔銓
Tsai, Shih-Chuant
口試委員: 蔡蒔銓
Tsai, Shih-Chuant
何耕宇
Ho, Keng-Yu
江彌修
Chiang, Mi-Hsiu
口試日期: 2024/06/18
學位類別: 碩士
Master
系所名稱: 管理研究所
Graduate Institute of Management
論文出版年: 2024
畢業學年度: 112
語文別: 中文
論文頁數: 48
中文關鍵詞: 模糊性投資人關注度相對估值程度錯誤定價
英文關鍵詞: Ambiguity, Investor Attention, Relative Valuation, Mispricing
研究方法: 實驗設計法
DOI URL: http://doi.org/10.6345/NTNU202400714
論文種類: 學術論文
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  • 本研究旨在探討個股模糊性對於相對高估與相對低估程度的作用,為理解投資人關注度是否為其中影響之途徑,設定高模糊性與高投資人關注度之情境進行分析.本研究以2009年1月至2019年12月作為樣本期間,並選用台灣證券交易所定義之台灣上市公司作為樣本進行實證分析,實證結果顯示(1)個股模糊性對相對高估與相對低估的負向關係(2)高模糊性與高投資人關注度之情境分析對於相對高估程度具有正向關係;對於相對低估程度則沒有關係,顯現出套利不對稱性對此現象的影響(3)個股模糊性對相對高估與相對低估程度具有預測效果,且此效果可以維持到至少三個月.本研究證實了個股模糊性與相對估值程度的作用,並闡釋了投資人關注度在其中的影響.

    The purpose of this study is to investigate the role of individual stock ambiguity on the degree of relative overvaluation and undervaluation. To understand whether investor attention operates as a mediating factor, scenarios of high ambiguity and high investor attention are analyzed. The sample period for this study is from January 2009 to December 2019, using Taiwan-listed companies as defined by the Taiwan Stock Exchange for empirical analysis. The empirical results show that:
    1. Negative Relationship between Ambiguity and Valuation: Individual stock ambiguity has a negative relationship with the degree of both relative overvaluation and undervaluation.
    2. High Ambiguity and High Investor Attention Context: In contexts of high ambiguity and high investor attention, there is a positive relationship with the degree of relative overvaluation. For relative undervaluation, there is no significant relationship between high ambiguity and high investor attention, indicating the phenomenon of arbitrage asymmetry.
    3. Predictive Power of Ambiguity: Individual stock ambiguity can predict relative overvaluation and undervaluation, and this effect can be maintained for at least three months.
    This study confirms the role of stock ambiguity in relative valuation and explains the effect of investor attention within this context.

    致謝辭 i 摘要 ii Abstract iii 第一章 緒論 1 第一節 研究背景及動機 1 第二節 研究目的 3 第三節 研究流程 4 第二章 文獻探討 5 第一節 相對估值 5 第二節 模糊性 7 第三節 投資人關注度 9 第三章 研究方法 11 第一節 資料來源及樣本選取 11 第二節 研究假說 11 第三節 變數定義及說明 13 第四節 模型設定 26 第四章 實證結果及分析 28 第一節 敘述統計 28 第二節 迴歸結果分析 32 第三節 穩健性測試 39 第五章 結論 42 第一節 研究結論 42 參考文獻 43

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