本研究主要目的是在檢視短期市場情緒與常用股權評價因子間的關聯性，利用分量迴歸法觀察兩變數間存在的非線性關係。研究對象為台灣上市櫃企業，因財務特性排除金融業樣本，計1,450家企業，研究期間自2010年第一季至2013年第二季之季度資料，整理為追蹤資料(Panel Data)合計20,300筆樣本。短期市場情緒的被解釋變數有四項，分別為個股股價相對大盤報酬率、三大法人買賣超、波動度和週轉率，而主要解釋變數有剩餘盈餘資產報酬變動率（∆RIOA）及自由現金流量資產報酬變動率（∆FOA），其他為控制規模性、成長性、總體性等因子，本文設計六項控制變數，分別為總資產、股價淨值比、上市櫃年齡、台股選擇權隱含波動度變動率、美元兌台幣變動率及∆M1B。實證結果發現，∆RIOA具有報酬溢價效果、週轉率鼓舞效果，但對三大法人買賣效果和波動度效果不具解釋能力；∆FOA僅在波動度的中高分量具有波動度增溫效果，餘皆不顯著。整體而言，∆RIOA解釋短期股價報酬與週轉率的顯著程度皆優於∆FOA。∆RIOA與股價報酬及週轉率間存在｢非線性關係」，OLS低估∆RIOA在價與量的係數效果。觀察極端值，在最左尾端(<10%)和最右尾端(>10%)統計結果發現，在個股多頭時，市場反應較能理性依基本面的軌跡移動，但當個股報酬轉向空頭時，短期市場反應考慮的因素就不僅僅是基本面的評價因子，其他影響因素包含交易規則，可能左右短期的股價走勢。

The primary purpose of this study is to investigate the relation between equity valuation and short-term market sentiment. This study performs a quantile regression analysis to explore the nonlinear relationship between variables. Our sample covers 1,450 publicly traded firms in Taiwan excluding banking and insurance companies across the period from 2010 Q1 to 2012 Q2, for a total sample of 20,300 panel data. Dependent variables show short-term investor sentiment. Return over the benchmark index, three major institutional investors, sigma, and turnover are first differenced. Main independent variables show residual income return on assets (∆RIOA) and free cash flow return on assets (∆FOA) which all are first differenced. For controlling the size, growth and system characteristics, this study sets up six control variables. Size is log of assets. Growth is log of the duration since first publicly traded and the ratio of price to book value. System characteristics are ∆VIX of TAIEX options, the exchange rate of US dollar to New Taiwan Dollar and ∆M1B. Empirical results show that ∆RIOA has the effect of return-premium and turnover-inspiration. However, it poorly explains the relation between sentiments and institutional investors or sigma. ∆FOA only makes significance on median to high sigma, others are all insignificant. In conclusion, the relation between return, turnover rate and ∆RIOA is more significant than that of ∆FOA. Empirical results also find that the non-linear relation between return on ∆RIOA and turnover rate on ∆RIOA results in underestimation of the OLS coefficient. The results of extreme quantiles ( the left and right tail 10%) find that the market goes more consistent with fundamental valuation in the bull market. In contrast, when the stock turns down, fundamental valuation and other factors such as trading rules would affect the short-term stock price.

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