Fama-French三因子模型的應用-投資人情緒指標及股票週轉率對超額報酬率影響之實證研究-以台灣新上市公司、電子產業與非電子產業新上市公司為例

Abstract

In this study, we adopt initial public offerings onTaiwan Stock Exchange from January 2003 to December 2009 as our research samples. Firstk, using Fama-French (1993) three-factor model (market risk factor, size factor and the book-to-market factor) to verify whether newly listed companies (including electronic and non-electronic industry) has excess returns in the short term. Second, we extended three-factor with investor sentiment indicators - Cloud or emotional proxy indicators－ stock turnover as the second or third model to test this extensive four-factor model whether IPOs still exist the excess returns? The market risk premium factor (MRP) has significantly positive imact on IPOs excess return under Fama-French three-factor model and Fama-French four-factor model(after adding investor’s sentiment indicator or stock turnover) in electronic industry and non- electronic industry. Book-to-market (HML) has significantly positive imact on IPOs excess return under Fama-French three-factor model and Fama-French four-factor model (after adding stock turnover) in electronic industry and non- electronic industry, too. Under Fama-French three-factor model and Fama-French four-factor model- consider investor sentiment indicator, IPOs investment portfolio still exist significantly positive short-term excess return (α0> 0). Only in Fama-French four-factor model- consider stock turnover, IPOs does not exist significantly positive short-term excess return. Investor sentiment indicators (GMB) - the portfolio return of low cloud less return jof high cloud that has significantly negative impact on IPOs excess return. It seem there does not exist sunshine effect, but “haze effect in Taiwan capital market. The stock turnover has significantly positive impact on IPOs excess return. Therefore, the appropriate indicators of investor sentiment in Taiwan, should be IPOs stock turnover rather GMB.