過去文獻指出投資者錯誤地將過去52週最高價作為投資時的參考點，引發投資者當期對新資訊的反應不足進而產生動能報酬，稱之為錨定效果。此現象引發行為財務學者們的興趣進而開始相關的研究，有學者指出投資者風險趨避程度會影響動能策略的獲利能力。當投資人面臨到持有的股票獲利(損失)，其風險趨避程度上升(下降)會驅使他們傾向賣出(持有)股票，以實現(未實現)獲利(損失)，亦為處置效應。Hur and Singh (2019)進一步發現投資人的處置效應和錨定效果之間會產生交互作用進而提升動能策略的獲利能力。根據此論點，當投資人的關注度提高時，此交互作用的效果對動能獲利能力的影響應該更高。為了探討投資人關注度是否加強交互作用對動能策略的獲利能力，本研究使用維基百科頁面瀏覽量(Wikipedia Pageviews, WIKI)作為散戶關注度的代理變數。實證結果指出雖然短期內散戶關注度提供買壓導致壞消息無法即時反應，但越接近過去52週高價的股票在高散戶關注度下會產生較強的動能效果。隨後研究中觀察在高散戶關注度下是否存在處置效應及錨定效果之間更強的交互作用。透過三排序投資組合分析，結果顯示在高散戶關注度下，處置效應與錨定效果的交互作用報酬顯著高於低散戶關注度下的交互作用報酬。證實了散戶關注度會加強投資人的行為偏誤，導致處置效應與錨定效果之間產生更強的交互效果，使得52週高價動能策略的投資方式可能獲取更高的報酬。

The strategy that longing stocks with nearness high price and shorting stocks with farness high price earns significant excess returns, called 52-week high momentum. Since George and Hwang (2004) unwind this profitable strategy, there are growing studies devoted to exploring this phenomenon. George and Hwang (2004) suggest that individual investors tend to sell (buy) a stock whose price is near (far from) its 52-week high due to anchoring effect. Recently, Hur and Singh (2019) indicate that individual investors prefer to selling (buying) stocks with capital gains (losses) when their risk aversion increases (decreases), which is the disposition effect. These biases behavior by individual investors result in outperformance of momentum strategy. In particular, the momentum strategy is more profitable when the anchoring effect interacts with the disposition effect (Hur and Singh, 2019). Following this notion, the interaction effect between disposition and anchoring effects impact on momentum returns is stronger when retail investors’ attention increases. To show this, we investigate whether the retail investor attention can strengthen the interaction effect and leads to higher momentum profits. For our purpose, we use Wikipedia pageviews (WIKI) as a proxy for retail investor attention proposed by Focke et al. (2015). By using portfolio analysis, our results show that high retail investor attention portfolios yield high momentum returns and the increased retail investor attention is associated with stronger interaction effect between disposition and anchoring effects. Based on the argument of behavioral theory, our findings demonstrate that increased retail investor attention will strengthen their risk aversion, and thus result in a stronger anchoring effect. As a result, the growing interaction effect generates higher momentum profits.

論文審定書 i
摘要 ii
Abstract iii
圖次 v
表次 vi
第一章 緒論 1
第一節 研究動機 1
第二節 研究架構 4
第二章 文獻回顧 5
第一節 關注度對股票報酬的影響 5
第二節 動能策略 7
第三節　散戶的投資行為 9
第三章 假說建立 13
第四章 研究方法 16
第一節 資料說明 16
第二節 變數說明 16
第三節 建立投資組合 18
第五章 實證結果與分析 20
第一節 投資者關注度對於股票報酬的影響 20
第二節 投資者關注度對於動能策略獲利的影響 24
第三節 不同散戶關注度的樣本特性 33
第四節 散戶關注度對處置效應與錨定交互作用的影響 35
第六章 結論與貢獻 47
第一節 結論 47
第二節 研究貢獻 48
第三節 未來研究方向 49
參考文獻 50

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