投資人意見分歧對股票獨特性風險之影響: 不同市場風險之情境分析

Abstract

早期學者著墨於投資人意見分歧與個股預期報酬、資產價格泡沫化、崩盤風險、獨特性風險負溢酬等領域，而本研究則是著重探討投資人意見分歧對個股獨特性風險之關係來彌補兩者關係為何，並進一步探討在牛熊時且市場風險較高情況下，投資人意見分歧對個股獨特性風險之影響，因此本研究以2012年1月1日至2022年12月31日為樣本期間，主要以多元迴歸探討投資人意見分歧對個股獨特性風險之關係，並以牛熊時且市場風險較高的情境下，投資人意見分歧對個股獨特性風險之關係為何，實證結果發現，(1)投資人意見分歧對個股獨特性風險存在正向顯著影響，(2)投資人意見分歧對於下一期之個股獨特性風險仍存在正向顯著影響，投資人意見分歧具有預測效果，與過往文獻結果相符，(3)在當期與前一期牛時且市場風險較高的情況下，投資人意見分歧會減緩個股獨特性風險之正向效果，(4)在當期與前一期熊市且市場風險較高的情況下，投資人意見分歧對個股獨特性風險則無顯著影響。

Early scholars focused on issues such as investor disagreement, stock returns, asset price bubbles, crash risks, and the negative risk premium of idiosyncratic risk. However, this study explores the relationship between investor disagreement and the idiosyncratic risk of stocks to bridge the gap between these factors. It further examines the impact of investor disagreement on idiosyncratic risk during periods of high market risk in both bull and bear markets. The sample period spans from January 1, 2012, to December 31, 2022. This study primarily employs multiple regression analysis to investigate the relationship between investor disagreement and the idiosyncratic risk of stocks, examining the dynamics under scenarios of high market risk during bull and bear markets. The empirical results indicate that: (1) investor disagreement has a significant positive impact on the idiosyncratic risk of stocks; (2) investor disagreement continues to significantly influence the idiosyncratic risk of stocks in subsequent periods, demonstrating predictive power and consistency with previous literature; (3) during both current and previous periods of bull markets with high market risk, investor disagreement mitigates the positive effect on idiosyncratic risk; (4) during both current and previous periods of bear markets with high market risk, investor disagreement has no significant effect on idiosyncratic risk.