Divergence of Opinion and Stock Returns--- Evidence from the Taiwan Stock Exchange

[[abstract]]投資人間的意見分岐在許多資訊模型和價格形成過程中扮演重要角色，但意見分岐如何影響資產報酬在文獻上看法不一，主要分為風險因子假說及Miller(1977) 所提出的放空限制假說。本計畫修正Næs and Skjeltorp(2006)的方法，重建並觀察委託登記簿(LOB)的委託單分配來估計不同投資人的意見分岐，藉著觀察意見分岐程度日內變化及公開資訊宣告前後的變化，可檢驗資訊如何被反映到價格以及反應至價格的速度。此外，由於台灣證交所在2005 年5 月16 日取消台灣50 指數成分股平盤底下不得放空的限制，本計畫將以台灣50 指數成分股為樣本，觀察在放空限制放寬前後，意見分岐對股價報酬的影響如何變化，藉以重新檢驗 Miller 的放空假說，並釐清意見分岐、放空限制與資產報酬三者間的關係。[[abstract]]While divergence of opinion among investors plays an important role in information model and price formation process, the impact of differences of opinion on stock returns is still an ongoing debate. Some argue that differences of opinion reflect information asymmetry and works as a risk factor. On the other hands, Miller (1977) claims that divergent opinions should lead to overvaluation due to short sales constraints. In this project, we modify the measure of divergent opinion from Næs and Skjeltorp(2006) and use it to examine the role of divergent opinion among investors played in price formation process. Additionally, we use stocks which experienced the release of short sales constraints to reexamine the relations among investors’ divergent opinions, stock return and short sales constraints.[[note]]NSC99-2410-H327-01