投資人情緒、公司治理與股票報酬之研究

Investor Sentiment, Corporate Governance and the Cross Section of Stock Returns

本研究探討投資人情緒與公司治理對於橫斷面股票報酬的影響，參考Baker and Wurgler（2006）考慮市場週轉率、股利溢酬、IPO家數與IPO首日報酬率等四項個別指標，採用主成分分析法建立投資人情緒的替代變數，透過追蹤資料（panel data）迴歸模型進行分析，並加入交乘項來檢驗投資人情緒和橫斷面股票報酬之間的關係，是否會受到該公司之公司治理良窳所影響。本研究實證結果發現，投資人情緒確實是未來報酬的反向指標，當期投資人情緒越高，則未來報酬愈低，公司治理變數中，經理人持股比率與大股東持股比率對於股票報酬有顯著正向影響，而且大股東持股比率愈高的公司，投資人情緒對於股票報酬的反向效果愈小，因此公司治理較佳者受投資人情緒之衝擊比較小。最後，發現公司規模和股票報酬有顯著正向關係，帳面價值市值比和股票報酬有顯著負向關係，且當公司規模愈大、帳面價值市值比愈高，投資人情緒的反轉效果降低，故大規模與價值型公司比較不易受到投資人情緒的影響。

This article examines the impact of investor sentiment and corporate governance on the cross-section of stock returns. The proxy for investor sentiment is constructed by using the Principal Component Analysis with four underlying variables: market turnover, dividend premium, number of IPO, and the IPO first day return proposed by Baker and Wurgler (2006). The empirical results are as follows. First, investor sentiment is a contrarian indicator for future stock returns. The stock return is significantly negatively related to the lagged investor sentiment. Second, the managerial stockholdings ratio and the big shareholders’ stockholdings ratio have significantly positive influences on stock returns. Moreover, the higher the big shareholders’ stockholdings ratio, the lower the negative effect investor sentiment has on future stock returns. This implies that those firms with better corporate governance will be less prone to the investor sentiment. At last, it is found that large and growth firms have higher stock returns. Large and value firms are less sensitive to investor sentiment.