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異質信念與臺灣上市證券交易的價量實證分析 / Heterogeneous Beliefs in Price-Volume Relationship of Taiwan Stock Market劉龍鵬, Liu, Lung Peng Unknown Date (has links)
異質信念(Heterogeneous beliefs)修正傳統資產定價理論中同質信念(Homogeneous beliefs)的基本假設,探討投資者間所持有的不同資訊,以及對於資訊的不同參考程度,如何影響資產定價。
本文試圖以Banerjee(2008)的模型,估計出臺灣投資者對於台灣各家公司股票的價格參考密度;並且透過外部研究者的預測作為市場不同信念的代理變數,探討異質信念對於臺灣股市交易的價量影響。
經由實證結果發現,在台灣的股市交易市場上,當市場的資訊流通速度愈快,投資者對公開資訊的參考密度愈低,投資者愈易依賴自己所持有的私人資訊。當投資者的行為決策將愈顯紛歧時,對交易量和報酬率的影響皆為正。 / Heterogeneous beliefs, which revise the basic assumption of traditional asset pricing theory- Homogeneous beliefs,
study the impact on asset pricing by different information owned and referred by investors.
I use the model derived from Banerjee(2008)to estimate the degree how Taiwan investors will take into account stock prices when they make investment decisions. Also, I study how heterogeneous beliefs of investors influence stock prices and trading volume in Taiwan stock market, using predictions of external researchers as a proxy variable of dispersion in beliefs.
The empirical results show that the degree which investors take into account prices will be lower when a faster information flowing speed exists in Taiwan stock market.
When investors rely more on their private information,
their investment decision will become much diversified. Dispersion in beliefs has a positive influence on stock trading volume and return.
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