先前研究結果證實股票市場存在高風險低報酬的異常現象稱之為波動效果，此實證結果開啟後續相關研究的持續探討，其中行為財務學者們指出投資人的非理性行為如彩券型偏好可能會產生低波動異常現象，而吸引這類投資人的關注成為波動效果重要影響因素之一。本研究參考Lou(2014)使用廣告費用變動作為投資人關注代理變數，並以顧客滿意度(ASCI)作為投資人情緒的代理變數，探討投資人關注度增加是否加強投資人情緒後使得彩券型股票間共動性上升，進而導致波動效果。實證結果指出，投資者關注度越高且投資人情緒越樂觀，當期股票報酬會越高，然而次一期會發生報酬反轉的現象。進一步觀察是否投資人關注度越高，可以加強投資人的彩券型偏好。透過彩券型共動性估計後實證結果顯示投資人關注度越高，彩券型共動性越強，說明投資人關注度可加強投資人的彩券型偏好。隨後探究投資人關注度和彩券型共動性的聯合效果實證結果對波動效果的影響，結果證實高廣告及高投資人情緒的投資組合，會產生較強的彩券型股票共動性。利用投資人關注度與投資人情緒之交乘項和獨特性波動雙排序分組，研究結果證實投資人關注度與彩券型共動性的聯合效果上升，波動效果越強。

This study provides evidences that investors' irrational behaviors such as lottery preferences may bring out the volatility effect which is defined as high-risk but low-return. According to Lou(2014), we use change in advertising spending and customer satisfaction(ASCI) as proxies for investor attention and sentiment, respectively. Our findings document that increased investor attention and optimistic sentiment can lead to abnormal stock returns contemporaneously, but follow by a decrease in the next period. By estimating return comovement among lottery stocks, our evidences show that increased investor attention can raise return comovement, indicating that investor attention can enhance investors’ lottery preferences. Additional empirical results suggest that high investor attention and optimistic sentiment portfolio will generate stronger return comovement, and the effect of investor attention and the return comovement can lead to stronger volatility effect.

論文審定書…………………………………………………………….…………….…..i
摘要…………………………………………………………………….…………….….ii
Abstract………………………………………………………………….……………...iii
目錄……………………………………………………………………….………….....iv
圖次……………………………………………………………………….…………….vi
表次……………………………………………………………………….……………vii
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 文獻回顧…………………………………………………….………......5
第一節 投資人關注度……………………………………………….…….….....5
第二節 廣告效果對股票報酬影響………………………………….……..…....6
第三節 投資人情緒對股票報酬影響……………………………….….….…....8
第四節 低波動異常現象的成因……………………………………..…….…....9
第三章 建立假說……………………………………….………….….………..12
第四章 研究方法……………………………………….………….….………..15
第一節 建構投資組合………………………………….………….….………..15
第二節 變數說明……………………………………….…................................16
第三節 建立模型……………………………………….....................................17
第五章 實證結果與分析………………………………….………….….……..19
第一節 廣告及投資人情緒效果對當期股票報酬的影響....……….…….…...19
第二節 彩券型股票的共動性……………………………….………….….…..24
第三節 廣告變動與投資人情緒對彩券型共動性的影響….………….….…..28
第四節 廣告變動投資人情緒交乘與彩券型共動性對報酬影響的持續性.....30
第五節 廣告不對稱性及彩券型共動性對波動效果的影響……………….....35
第六章 結論與貢獻………………………………………………………….....38
第一節 結論……..…………………………………………………….…..........38
第二節 研究貢獻…………………………………….…..…..............................39
第三節 未來研究方向………………………………….….…...........................40
參考文獻……………………………………………………………………………….41

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