投資人對股票報酬與風險的關心程度之探討

Investors' Attention on the Return and Risk of Stock

10.6295/TAMJ.2008.0802.09

李顯儀(Hsien-Yi Lee)；吳幸姬(Hsing-Chi Wu)；李亮君(Lian-Chun Lee)

訊息傳遞速度 ； VAR檢定 ； 行為財務學 ； Speed of information transmission ； VAR test ； behavioral finance

台灣管理學刊

8卷2期（2008 / 08 / 01）

71 - 74

繁體中文

本研究旨在探討投資人對股票報酬與風險高低的關心程度是否造成訊息傳遞速度上的差異？首先將股票樣本分別依規模與週轉率各分成三個集群，隨後再依其報酬（α值）與系統風險（β值）大小平均各分成三組集群。最後吾人使用向量自我迴歸模型進行不同投資組合對訊息傳遞速度的動態關係之分析。實證發現在多頭市場，高報酬（α值大）的投資組合對訊息傳遞速度是領先低報酬（α值小）的；但在空頭市場，結果卻相反；同時，亦發現不論在多頭或空頭市場，高系統風險（β值大）與低系統風險（β值小）的投資組合間對訊息傳遞速度並無明顯差異。此結果隱含投資人在不同時期對股票報酬高低的關切程度，較會影響訊息的傳遞速度，而對股票風險高低則較爲漠視。

This paper is to explore whether investors' attention on the return and risk of stock might affect the speed of information transmission among different portfolios. To begin with, we divide the samples into three groups according to the size and turnover rate. And moreover, we divide each group into three subgroups based on the level of returns (α) and that of risks (β). The samples in each subgroup are rebalanced annually based on the recalculated value of α and β. Finally, we apply VAR model to examine the dynamic relationship of information transmission speed of different portfolios with varied levels of returns and risks. The empirical findings indicate that the information transmission speed of portfolios with high returns (large α) beats those with low returns (small α) in bull market. The result is contrary in bear market. In addition, we also find that there is no difference either in bull or bear markets in the information transmission speed of portfolios with high systematic risk (large β) and low systematic risk (small β). These results imply that investors pay more attention to the return of stock in different periods, which affects the speed of information transmission, but little attention is paid to the risk of stock.

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