Bali et al. (2011)指出由於投資人的彩券型偏好，使得前一期高極端日報酬的投資組合績效顯著劣於低極端日報酬投資組合，稱之樂透股異常現象(MAX effect)。本研究探討廣告所驅動的散戶關注度是否影響樂透股異常現象，參考Focke et al. (2015)利用維基百科頁面瀏覽量指數(Wikipedia pageviews, WIKI)作為散戶關注度的代理變數，並加入廣告效果與樂透股異常現象來解釋股票市場所存在的異常現象。有別於過去多以Google Trends進行研究，WIKI是根據使用者瀏覽公司頁面的次數，因此能更明確地捕捉散戶關注度。實證結果顯示，廣告費用變動率正向影響散戶關注度，尤其高廣告投資組合的散戶關注度顯著高於低廣告投資組合，且廣告效果所驅動的散戶關注度對股票報酬具正向預測力，代表公司管理者可以透過增加廣告支出的方式，來影響股票報酬。此外，高廣告關注度投資組合的樂透股異常現象顯著高於低廣告關注度投資組合，說明廣告所推升的股票報酬更容易吸引彩券型偏好的投資人，進一步推升短期內的股票價格，加強樂透股異常現象。

Bali et al. (2011) document that due to investors’ preferences for lottery-type stocks, the portfolio with high maximum daily returns over the past one month significantly underperforms than the portfolio with low maximum daily return, which is called “MAX effect’’. In this study, we investigate whether retail attention driven by advertising affects MAX Effect. According to Focke et al. (2015), we use the Wikipedia pageviews (WIKI) as a proxy for retail attention with advertising and MAX effect to interpret the stock market anomalies. Different from those researches on Google Trends, WIKI is based on the frequency when users browse through firm’s Wikipedia page, so it can capture retail attention more clearly. Our results show that the change in advertising has a positive impact on retail attention. In particular, the portfolio with higher advertising spending is significantly higher than the portfolio with lower advertising spending, and the retail attention driven by the advertising effect has positive predictive power on stock returns. It implies that firm managers can influence stock return by increasing advertising spending. On the other hand, the MAX effect in the high advertising attention portfolio is more pronounced than in the lower advertising attention portfolio. Our findings suggest that the advertising’s spillover effect on stock returns is more likely to attract investors who prefers to lottery-type stocks, increase the stock prices in short-term, and subsequently strengthen MAX effect.

論文審定書 i
摘要 ii
Abstract iii
目錄 v
圖次 vii
表次 viii
第一章 緒論 1
第一節 研究動機 1
第二節 研究架構 4
第二章 文獻探討 5
第一節 廣告對股票報酬的影響 5
第二節 投資人關注度 7
第三節 網路搜尋對股票報酬的影響 9
第四節 投資人的彩券型偏好 11
第三章 假說建立 13
第四章 研究方法 15
第一節 投資組合建構 15
第二節 變數說明 18
第三節 模型建立 20
第五章 實證結果 23
第一節 廣告對散戶關注度的影響 23
第二節 散戶關注度對股票報酬的影響 27
第三節 不同廣告關注度投資組合的樂透股異常現象 31
第六章 結論與貢獻 35
第一節 結論 35
第二節 研究貢獻 37
第三節 未來研究方向 37
參考文獻 38

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