如何解釋股票報酬變動，一直以來是學術圈與投資人持續研究的議題。因台灣股票市場組成中，自然人投資比例高達60%，顯示台灣股票價格尤其可能受到市場參與者的情緒感染，因此本文選取台灣上市公司(排除金融業)，研究期間為2001年1月~2018年12月，共計216個月，採用直接情緒變數-台灣投資人信心指數(CCI)，透過樂觀或悲觀信念產生的情緒(sentiment)，來探究市場出現噪音交易(noise trading)時，投資人情緒會如何影響資產定價。
本研究將實證步驟分為兩階段進行，在第一階段投資組合測試(portfolio test)中，實證結果顯示當處於悲觀(Pess)情緒區間，投資組合報酬率會隨 eta值上升而上升，此時CAPM模型成立；然而處於樂觀(Opt)情緒區間時， eta值與報酬率呈現負向關係並且具有1%的顯著水準，證實台灣股票市場確實會因散戶投資人產生的噪音交易而致使CAPM模型失效，因此於樂觀時期時，CAPM模型不適用於台灣市場。
在第二階段Fama and Macbeth迴歸測試(regression analysis)中，實證結果雖不顯著，但 eta值相對於報酬率之預期方向在悲觀時期與樂觀時期均符合假說推論，並且透過迴歸中之控制變數發現，台灣股票市場不管於何種情緒區間均具有顯著的短期動能效應(Momentum Effect)，但不具有規模效應(Size Effect)與價值效果(Value Effect)且在樂觀時期具有顯著的「逆帳面市價比效應」。

How to explain the changes in stock returns has been the subject of research by experts and investors for a long time. And because there are about 60% of composition of Taiwan ’s stock market are individual investors, indicating that the price of stock may be particularly affected by the emotion of market participants.

We argue that noise trading will be more prevalent and impactful in optimistic periods, the expected return difference between high- and low-beta stocks is negative; While during pessimistic periods, a standard CAPM obtains, beta is positively priced. In this paper, we used listed companies of Taiwan as research data and the samples covers the period 2001-2018.

In portfolio test we sorted portfolio by beta and then separate the periods by optimistic, neutral and pessimistic. The results show that in pessimistic periods, the average monthly return of portfolios increase with beta, as predicted by the CAPM. In optimistic periods, the expected return difference between high- and low-beta stocks is negative and produces a p-value smaller than 1%.

In Fama and Macbeth regression analysis, the results are in line with previous research. Beta is positively priced in pessimistic periods and is negatively priced in optimistic periods. Through the regression results, we also find that Taiwan stock market have significant momentum effect no matter in any emotion periods but didn’t have size effect and value effect.

Amromin, Gene and Sharpe, Steven A. (2009), “Expectations of Risk and Return Among Household Investors: Are Their Sharpe Ratios Countercyclical?”, SSRN

Antoniou, C., Doukas, J., & Subrahmanyam, A. (2012), “Cognitive Dissonance, Sentiment, and Momentum”, Journal of Financial and Quantitative Analysis, 48(1), 245-275.

Antoniou, Constantinos and Doukas, John A. and Subrahmanyam, Avanidhar (2014), “Investor Sentiment, Beta, and the Cost of Equity Capital”, Management Science, 62:2, 347-367

Baker, M. and Wurgler, J. (2006), “Investor Sentiment and the Cross‐Section of Stock Returns”, The Journal of Finance, 61: 1645-1680.

Barber, Brad M. and Odean, Terrance (2000), “Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors”, The Journal of Finance, lv, no. 2, 773-806

Brad M. Barber, Terrance Odean (2001), “Boys will be Boys: Gender, Overconfidence, and Common Stock Investment”, The Quarterly Journal of Economics, 116, Issue 1, 261–292

Brad M. Barber, Terrance Odean (2008), “All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors”, The Review of Financial Studies, 21, Issue 2, 785–818

Barberis, Nicholas, Andrei, Shleifer, and Robert, Vishny. (1998), “A Model of Investor Sentiment”, Journal of Financial Economics, 49(3), 307-343

Bhandari, L.C. (1988), “Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence”, The Journal of Finance, 43, 507-528.

Brown, G. W., Cliff, M. T. (2004), “ Investor Sentiment and the Near-Term Stock Market”, Journal of Empirical Finance, 11, 1-27

Chan, K., & Chen, N. (1988), “An Unconditional Asset-Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk”, The Journal of Finance, 43(2), 309-325

Chan, L.K.C., Hamao, Y. and Lakonishok, J. (1991), “Fundamentals and Stock Returns in Japan”, The Journal of Finance, 46, 1739-1764

Chen, N., & Zhang, F. (1998), “Risk and Return of Value Stocks”, The Journal of Business, 71(4), 501-535

Conrad, J.S., Hameed, A. and Niden, C. (1994), “Volume and Autocovariances in Short‐Horizon Individual Security Returns”, The Journal of Finance, 49, 1305-1329

De Long, J., Shleifer, A., Summers, L., & Waldmann, R. (1990), “ Noise Trader Risk in Financial Markets”, Journal of Political Economy, 98(4), 703-738

Fama, E.F. and French, K.R. (1992), “The Cross‐Section of Expected Stock Returns”, The Journal of Finance, 47, 427-465

Fama, E., & MacBeth, J. (1973), “Risk, Return, and Equilibrium: Empirical Tests”, Journal of Political Economy, 81(3), 607-636.

Grinblatt, M. and Keloharju, M. (2001), “What Makes Investors Trade?”, The Journal of Finance, 56, 589-616

Hirshleifer, D. and Shumway, T. (2003), “Good Day Sunshine: Stock Returns and the Weather”, The Journal of Finance, 58, 1009-1032

Jegadeesh, N. and Titman, S. (1993), “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency”, The Journal of Finance, 48, 65-91

Jegadeesh, N. (1990), “Evidence of Predictable Behavior of Security Returns”, The Journal of Finance, 45, 881-898

Jones, C. and Asensio, M. (2001), “Experiences of assessment: using phenomenography for evaluation”, Journal of Computer Assisted Learning, 17, 314-321

Kahneman, Daniel and Tversky, Amos (1979), “Prospect Theory: An Analysis of Decision Under Risk”, Econometrica, 47, Issue 2, p. 263 1979

Kamara, A., Miller, T.W., Jr. and Siegel, A.F. (1992), “The effect of futures trading on the stability of standard and poor 500 returns”, J. Fut. Mark., 12, 645-658

Kamstra, Mark, J., Lisa A. Kramer, and Maurice D. Levi. (2000), “Losing Sleep at the Market: The Daylight Saving Anomaly”, American Economic Review, 90(4), 1005-1011

Kim, TaeHyuk and Ha, Aejin (2010), “Investor Sentiment and Market Anomalies”, Australasian Finance and Banking Conference 2010 Paper

Lamont, Owen, A., and Richard H. Thaler. (2003), “Anomalies: The Law of One Price in Financial Markets”, Journal of Economic Perspectives, 17(4), 191-202

Lee, C.M. and Swaminathan, B. (2000), “Price Momentum and Trading Volume”, The Journal of Finance, 55, 2017-2069

Rolf W. Banz (1981), “The relationship between return and market value of common stocks”, Journal of Financial Economics, 9, issue 1, 3-18

Robert, Novy-Marx (2012), “Is momentum really momentum?”, Journal of Financial Economics, 103, Issue 3, 429-453

Rosenberg, B., Reid, K. and Lanstein, R. (1985), “Persuasive Evidence of Market Inefficiency”, The Journal of Portfolio Management, 11, 9-16

Saunders, E. (1993), “Stock Prices and Wall Street Weather”, The American Economic Review, 83(5), 1337-1345

Shleifer, Andrei, and Lawrence H. Summers. (1990), “The Noise Trader Approach to Finance”, Journal of Economic Perspectives, 4(2), 19-33

Statman, D. (1980), “Book values and stock returns”, The Chicago MBA: A Journal of Selected Papers 4, 25-45.

Zhou, R., Yang, Z., Yu, M. et al (2015), “A portfolio optimization model based on information entropy and fuzzy time series”, Fuzzy Optim Decis Making 14, 381-397

王裕仁 (2005)，「台灣股市的「淨值市價比」效應」，東華大學國際經濟研究所碩士論文

宋東威 (2008)，「再檢視台灣股市之規模效應」，逢甲大學企業管理研究所碩士論文

林美鳳、金成隆、張淑慧 (2011)，「投資人情緒與分析師行為之關聯性研究」，管理學報，第28卷第5期：447-474

周賓凰、張宇志、林美珍 (2007)，「投資人情緒與股票報酬互動關係」，證券市場發展季刊，第19卷，第2期，頁153-190

洪培元 (2004)，「市場情緒指標與股價報酬關係之研究」，國立雲林科技大學財務金融研究所碩士論文

姚畯 (2005)，「臺灣股票市場為何不存在淨值市價比效果：成份拆解分析」，東華大學國際經濟研究所碩士論文

郭迺鋒,徐苑玲,林建廷 (2013)，「消費者信心指數與經濟活動臨近預測」，兩岸金融季 刊 1卷2期 ( 2013/12) , 61-82

陳宗成 (2007)，「規模效應之探討-考量存活偏誤與破產風險」，國立成功大學會計學系學位論文

張偉諒 (2006)，「消費者信心指數與台灣股票市場相關性之研究」，國立中央大學財務金融學系碩士在職專班碩士論文

黃伊苓 (2009)，「散戶與投資機構之投資情緒探討」，國立台北科技大學商業自動化與管理研究所碩士論文

黃國彰 (2007)，「各項選股指標於台灣股票市場的實用性探討─應用對象與應用時機之研究」，國立台灣大學國際企業學研究所碩士論文

鄭高輯與林泉源 (2010)，「投資人情緒對投機型股票報酬之影響」，商略學報, 2(1)

蔡佩蓉、王元章、張眾卓 (2009)，「投資人情緒、公司特徵與台灣股票報酬之研究」，經濟研究，第四十五卷第二期，頁273-322