臺灣博碩士論文加值系統

Fang and Peress (2009: 2050) 提到大眾媒體新聞報導具有降低資訊不對稱問題之作用。立基於此，本文將公司股票媒體覆蓋率 (亦即報導次數) 連結至移動平均線技術分析績效之研究分析。本文以台灣股市為研究樣本，研究期間涵蓋2002年至2017年，主要研究發現有以下兩點。第一，本文發現台灣股市中，媒體覆蓋率愈高的股票，其下一年度的報酬率較高。此結果與Fang and Peress (2009)研究發現相左。第二，本文發現，將移動平均線交易策略應用在媒體覆蓋率愈低 (高) 的股票，其報酬績效愈高 (低)。具體言之，10日線移動平均線交易策略在低媒體覆蓋率的股票 (樣本前五分之一)，約能夠創造出年報酬率18.5% (經過Fama-French的五因子調整後的異常報酬率)，顯著高於在高媒體覆蓋率的股票 (樣本前五分之一)。本文主要結論支持資訊不確定假說，較低的媒體覆蓋率會減少投資者的關注，並減慢信息傳播的速度，此現象將強化投資者對於資訊反應不足之偏差，進而造成更強烈的價格連續性，從而促使移動平均交易策略能夠創造較高的獲利能力。

Motivated by the idea that “coverage by mass media can play a role in alleviating information asymmetric problems even if it does not break genuine news” (Fang and Peress, 2009: 2050), this study is first to relate media coverage to the performance of moving average (MA) technical trading in the cross-section. Testing a sample of Taiwanese listed stocks over the period 2002 to 2017, we find that in contrast to Fang and Peress (2009), the level of media coverage positively predicts stock returns in the Taiwan stock market. More interestingly, the MA strategy’s profitability is high (low) for portfolios grouped by stocks with low (high) media coverage. For the “low-media-coverage” quintile, the MA strategy earns about 18.5% per annum, adjusting for the Fama–French five risk factors. The MA’s superior performance on the “low-media-coverage” quintile remains after controlling for market liquidity and market volatility. Our overall results are supported by the hypothesis that a low level of media coverage induces investor inattention and slows information diffusion, which amplifies the investors’ underreaction bias and stronger price continuation, thereby being associated with a higher MA strategy’s profitability.

中文摘要 ............................................................ i
ABSTRACT ........................................................... ii
誌謝 .............................................................. iii
目錄 ............................................................... iv
表目錄 .............................................................. v
1. Introduction ..................................................... 1
1.1 Motivation ................................................... 1
1.2 Main Purposes ................................................ 1
1.3 Main Hypothesis .............................................. 2
1.4 Main Results ................................................. 4
1.5 Main Contributions ........................................... 5
1.6 Framework .................................................... 6
2. Literature Review ................................................ 7
2.1 Media Coverage and Stock Returns ............................. 7
2.2 Media Coverage and the Performance of Trend-Following Technical
Analysis: Information Uncertainty Hypothesis ..................... 8
3. Data and Methodology ............................................ 11
3.1 Sample Illustrations ........................................ 11
3.2 Summary Statistics and Investor Attention Characteristics ... 11
3.3 Moving Average Timing Strategies ............................ 13
4. Empirical Analysis .............................................. 16
4.1 The MA Strategy’s Performance for Media Coverage-based Portfolios
................................................................ 16
4.2 MA Strategy’s Risk-Adjusted Alphas Using Fama–French Factor
Models .......................................................... 18
4.3 Considering Additional Risk Factors ......................... 21
4.4 Controlling for Other Market States ......................... 23
5. Conclusion ...................................................... 27
References ......................................................... 29

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