Behavioral Finance Factors Deviate from the Study of the Impact on Stock Returns

[[abstract]]本文利用資本資產定價模型(CAPM)將股票的報酬率分成兩部分，第一部分為模型可以解釋的部分，另一部分是模型無法解釋的殘差項。我們利用行為財務學的觀點來解釋這些市場無法解釋的變異，以價格動能、價格反轉與情緒指標因子來對台灣大型權值股與中型成長股內的樣本做迴歸，分析各因子對報酬殘差項的顯著性，迴歸結果顯示三年累積報酬在各樣本公司中都與本期的殘差項呈負相關，也就是過去報酬越好的股票本期的報酬率會有向下修正的趨勢，顯示價值投資策略長期能夠獲取正報酬。此外，股票週轉率越高，報酬率修正的幅度越大，代表樣本中存在著正向量價關係。而高券資比與本期殘差項雖呈現著正相關，但較不顯著，可能是某些股票存在著軋空的行情。短期的價格動能與消費者信心因子在樣本內的公司皆不顯著。又實證發現迴歸模型對中型股的解釋能力優於對大型股的解釋能力，推測可能是中型股很容易受到投資人心理或過去股票績效而偏離理論價格，反觀大型權值股則較不容易因為市場雜訊而偏離理論價格。[[abstract]]In this thesis CAPM is applied to divide stock ROI into 2 categories; one can be explained by models and the other is Residuals which can not be explained by models Viewpoints of financial behaviors will be adopted to explain the variants that can not be interpreted in the market Price motive price downturn and investors’ complex factor will regression Large weights stocks and Mid-cap growth stocks in Taiwan stock market to analyze all kinds of factors’ significances against Compensation residuals The regression results reveals that all sample companies’ accumulated returns within 3 years are all negatively relevant tolssue residuals ; that is the ROI of stocks with better past performance tend to adjust downward This trend means that value investing strategies can bring plus return on a long term basis Moreover higher securities’ turnover rates will lead to sharper fluctuation of investment return’s adjustment which means positive vector of the price relationship exist in the samples Gaoquanzibi and Current lssue residuals are positively relevant but not obvious; this phenomenon may imply that some stocks are blessed with rolling empty market Neither short-term price motive nor consumers’ confidence can be regarded as dominant factors when applied to sample companies Besides practical evidence indicates regression model offers better explanation to medium-size stocks than to their giant counterparts Such result may come from the speculation that investors’ complex and stock past performance tend to cause medium-size stocks to deviate from their theoretical prices while Large weights stocks won’t be easily swayed by market noise and thus are less likely to deviate from their theoretical price