投資人關注度對台灣50指數成分股之股票報酬與公司績效的影響

The Impact of Investor Intention on Stock Returns and Performance of Constitute Companies in Taiwan 50 Index

本研究使用Google搜尋量指標（SVI）以及媒體曝光度作為投資人關注度的代理變數，探討投資人關注度對於台灣50指數成分股的報酬以及公司績效之影響。首先分析SVI對於股票報酬的影響，研究期間自2014年1月1日至2018年12月31日，資料頻率為日資料。接下來探討SVI與媒體曝光度對樣本公司之股票報酬、資產報酬率（ROA）以及股東權益報酬率（ROE）的影響，採用2009年1月至2018年12月之月資料。研究方法使用Panel Data迴歸模型進行探討，實證結果發現：（1）日資料SVI對股票報酬有顯著正向影響，表示投資人搜尋活動愈高，對該股票的關注度愈高，愈有可能進場投資，使得股票報酬率提高。（2）月資料SVI對於資產報酬率（ROA）與股東權益報酬率（ROE）有顯著正向影響，但對股票報酬則無顯著影響，可能是因為SVI月資料無法即時反映投資人關注度。（3）媒體曝光度對於股票報酬率與ROA皆有顯著正向影響，表示媒體曝光度增加能引起管理階層之重視，使得公司績效提高；不過，媒體曝光對於股東權益報酬率（ROE）沒有顯著影響。整體而言，投資人關注度愈高，股票報酬與公司績效表現愈高。

This study uses Google Search Volume Index (SVI) and media coverage as proxy variables for investor attention. This paper aims to explore the impact of investor attention on returns and performance of constitute companies in Taiwan 50 Index. When discussing the impact of SVI on the stock returns, the sample period is from January 1, 2014 to December 31, 2018 on daily basis. Then we discuss the impact of SVI and media coverage on stock returns and company performance. The sample period is from January, 2009 to December, 2018 on monthly basis. This study uses Panel Data regression model to do the empirical analysis. The results show that: (1)The daily SVI has a significantly positive impact on daily stock returns. (2)There are significantly positive impacts of monthly SVI on ROA and ROE, but the monthly SVI does not have significant impact on monthly stock returns. Perhaps the monthly SVI is unable to timely respond investor attention. (3) The media coverage of company names has significantly positive correlation with monthly stock returns and the ROA, but no significant impact on ROE. The higher investor attention is, the more likely investors entering the stock market, which makes stock returns and company performance higher.