本論文整合了兩種以選擇權市場交易資料所編製之描述投資意見分歧程度的變數：Disagreement（Golez and Goyenko, 2022）與IDISP（Andreous et al., 2018），基於Miller（1977）提出的假說理論，以VIX指數之選擇權交易資料與多元迴歸模型進行實證分析。研究結果發現以IDISP衡量投資意見分歧程度與未來預期報酬呈現負相關，Disagreement則沒有足夠證據能證實與未來預期報酬負向的關係。而為觀察特殊時期是否影響未來預期報酬以及是否會改變投資意見分歧與未來預期報酬的關係，選擇了全球金融海嘯期間與聯邦公開市場委員會宣布調整基準利率的開會日期進行分析，結果發現全球金融海嘯期間與聯邦公開市場委員會宣布調整基準利率的開會日期在本研究中沒有足夠證據顯示會影響未來預期報酬、投資意見分歧程度與未來預期報酬的關係。

This research combines two different proxies that measure investors’ disagree-ment in the option market, Disagreement (Golez and Goyenko, 2022) and IDISP (Andreous et al., 2018) . Based on Miller’s theory, this research uses the trading data of VIX options to conduct the empirical study. The result turns out that IDISP has negative relation to future returns, while Disagreement shows no sign of any rela-tions to future returns. Global Financial Crisis and the date of FOMC meetings also have no relation to future returns due to the regression analysis, and have no impact on the relation of investors’ disagreement and future returns.

論文審定書…………………………………………………………………i
中文摘要…………………………………………………………………...ii
英文摘要…………………………………………………………………...iii
第一章、緒論 .........................................................................................1
第二章、文獻探討 ............................................................................4
2.1 投資意見分歧與資產定價 ...............................................................4
2.2 不同交易市場中的投資意見分歧 ..................................................5
2.2.1 股票市場 ........................................................................................5
2.2.2 公司債債券市場.............................................................................6
2.2.3 選擇權市場 ..................................................................................6
2.2.4 加密貨幣市場 ...........................................................................7
第三章、研究方法 ...........................................................................8
3.1 研究假說 ........................................................................................8
3.2資料來源 ........................................................................................9
3.3 委託單之買單、賣單辨別 ..............................................................9
3.4主要變數 ......................................................................................10
3.4.1 Disagreement .........................................................................11
3.4.2 IDISP .............................................................................................12
3.5 虛擬變數 .......................................................................................13
3.6迴歸模型 .......................................................................................14
第四章、研究結果 ..........................................................................16
4.1敘述統計 .......................................................................................16
4.2 相關性檢定 .................................................................................18
4.3迴歸實證 .......................................................................................19
4.4穩健性分析 .......................................................................................24
第五章、結論與建議 ..........................................................................27
參考文獻 .............................................................................................28

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