模糊性對相對高低估之影響-不同投資者關注程度之情境分析

Abstract

本研究旨在探討個股模糊性對於相對高估與相對低估程度的作用，為理解投資人關注度是否為其中影響之途徑，設定高模糊性與高投資人關注度之情境進行分析．本研究以2009年1月至2019年12月作為樣本期間，並選用台灣證券交易所定義之台灣上市公司作為樣本進行實證分析，實證結果顯示（1）個股模糊性對相對高估與相對低估的負向關係（2）高模糊性與高投資人關注度之情境分析對於相對高估程度具有正向關係；對於相對低估程度則沒有關係，顯現出套利不對稱性對此現象的影響（3）個股模糊性對相對高估與相對低估程度具有預測效果，且此效果可以維持到至少三個月．本研究證實了個股模糊性與相對估值程度的作用，並闡釋了投資人關注度在其中的影響．

The purpose of this study is to investigate the role of individual stock ambiguity on the degree of relative overvaluation and undervaluation. To understand whether investor attention operates as a mediating factor, scenarios of high ambiguity and high investor attention are analyzed. The sample period for this study is from January 2009 to December 2019, using Taiwan-listed companies as defined by the Taiwan Stock Exchange for empirical analysis. The empirical results show that:1. Negative Relationship between Ambiguity and Valuation: Individual stock ambiguity has a negative relationship with the degree of both relative overvaluation and undervaluation.2. High Ambiguity and High Investor Attention Context: In contexts of high ambiguity and high investor attention, there is a positive relationship with the degree of relative overvaluation. For relative undervaluation, there is no significant relationship between high ambiguity and high investor attention, indicating the phenomenon of arbitrage asymmetry.3. Predictive Power of Ambiguity: Individual stock ambiguity can predict relative overvaluation and undervaluation, and this effect can be maintained for at least three months.This study confirms the role of stock ambiguity in relative valuation and explains the effect of investor attention within this context.