A Study of the Correlation between Stock Returns and Information Uncertainty

[[abstract]]過去許多對於短期股價持續反應的研究均指出此種股價異常現象是由於投資人的行為偏誤所造成的，且認為其生成原因可能是由於市場資訊供應缺乏效率抑或是投資大眾對於新資訊反應不足等等。而本篇研究除了去檢視資訊不確定性（Information Uncertainty）與橫斷面股票報酬間的關係外，更進一步去探討資訊不確定性對短期股價持續性現象的影響。 本研究參照Zhang（2006）的方法，預期報酬以下一期的報酬表示之，另外再選用四個變數來做為衡量公司資訊不確定程度的指標：公司時間、公司規模、股票週轉率及報酬波動性。而市場消息則以分析師盈餘預測修正值及過去六個月累積報酬來代表。依照各資訊不確定性指標進行分類排序，以檢視資訊不確定程度高低與預期報酬之間的關係；並依據市場消息正負面進行分類形成投資組合，以驗證在高度資訊不確定性下，當市場上好(壞)消息產生時，會產生相對較高(低）的預期報酬。 若短期股價持續性反應乃是因投資人行為偏誤所導致，投資人對於市場資訊具有反應不足的現象，那麼又由於資訊不確定性的影響使其現象更為明顯。也因而實證結果顯示在高度資訊不確定的情況之下，隨著市場上正面訊息的產生，將會帶來相對較高的預期報酬；當市場上負面訊息發生時，會有相對較低的預期報酬產生。[[abstract]]Most of the past studies on short term stock price continuation response suggested that stock price reactions resulted from the behavioral biases of investors It is believed that lack of efficiency in supplying market information and investors’ under-reaction to the new market information This paper not only examined the correlation between Information Uncertainty and cross-sectional variations in stock returns but also further explores the influence of information uncertainty on short term price continuation This research has referred to Zhang’s (2006) approach the stock return of the next quarter will be used as expected returns In addition the author chose four variables as the index to evaluate the information uncertainty level of the firm These variables include firm age firm size turnover ratio and stock volatility However market information will be represented by analyst forecast revisions and the past 6 month stock returns they will then be categorized and sorted according to each information uncertainty indexes to examine the correlation between the level of information uncertainty and expected return Investment portfolios will be made according to the good/bad news this can help to testify the performance of expected return under high information uncertainty If short term price continuation is resulted from the investors’ behavioral biases and the investors’ under-reaction to the market information the situation will seemingly be more significant under the influence of information uncertainty Thus the results indicated that under the situation of high information uncertainty when good news occurred it will bring a higher expected return whereas when bad news occurred there will be a lower expected retur