投資人情緒對低波動異常現象的預測力：市場狀態的影響

Predictability of Investor Sentiment of “Low- volatility Anomaly” in Distinct Market States

高風險股票具有低報酬的低波動異常現象(low volatility anomaly)與標準財務學的風險－－報酬正向抵換(trade-off)關係背道而馳。由於行為財務學認為低波動異常現象可能來自於投資人的彩券型偏好(lottery preference)，本文觀察高波動度投資組合的風險調整後報酬(risk-adjusted return)在高投資人情緒(investor sentiment)期間是否低於低投資人情緒期間，並檢測投資人情緒因子是否可預測低波動異常現象及探討投資人情緒因子對低波動異常現象的預測力在不同景氣期間是否具有不對稱性。研究結果證實存在低波動異常現象，且高波動度投資組合的風險調整後報酬在高投資人情緒期間顯著低於低投資人情緒期間；前述結果顯示投資人情緒因子能預測低波動異常現象。此外，我們發現只有在景氣擴張期間，投資人情緒因子可預測低波動策略(low-volatility strategy)的獲利(profit)；亦即表示由於投資人的樂觀情緒能加強彩券型偏好，因此在景氣擴張期間，散戶對高波動度股票的需求提高。

A “low volatility anomaly”, namely, a high-risk stock with a low return, runs counter to fundamental principles in which risk is compensated by a higher expected return. Behavioral theory explains that individual investors prefer stocks with lottery-like payoffs, leading to increases in demand for higher-volatility stocks. We hypothesized that the risk-adjusted returns of higher-volatility stocks (lottery-like stocks) should be more profitable in periods of high sentiment than in periods of low sentiment. Furthermore, this paper investigated whether investor sentiment predicts profit in low-volatility strategy and whether investor sentiment is more predictable in an expansion state. Specifically, we show that the lowvolatility anomaly exists, and stocks with greater volatility are more profitable following high investor sentiment levels. Moreover, we demonstrate that investor sentiment can predict profit in the low-volatility strategy and show that investor sentiment only has predictive power for low-volatility anomaly in the expansion state. Consequently, these results provide further evidence that investor optimism increases preferences for lottery-type stocks; as a result, individual investors demand higher volatility stocks more frequently in the expansion state.