相對估值對於投資人關注度之影響及其於獨特性風險與報酬關係之作用

Abstract

本研究旨在探討相對估值於獨特性風險與預期報酬之間的作用，為理解投資人關注度是否為其中影響之途徑，因此進一步以兩階段迴歸探討相對估值透過投資人關注度如何影響獨特性風險與預期報酬之關係。本研究以2007年1月至2022年10月當作樣本期間，並選用台灣證券交易所之定義台灣上市公司作為樣本進行實證，實證結果顯示：（1）再次證實台灣股票上市公司市場存在獨特性風險負溢酬現象。（2）相對高估比起其他估值程度下，其獨特性風險負溢酬現象較為嚴重。（3）相對估值對於投資人關注度有顯著之負向影響。（4）相對估值透過投資人關注度之負向影響下，低投資人關注度其獨特性風險負溢酬現象較為嚴重。本研究證實了相對估值於獨特性風險與預期報酬關係之作用，並且奠定了投資人關注度為影響途徑之一。

The purpose of this research is to explore the role of relative valuation in the interplay between idiosyncratic risk and expected returns, with the intention of discerning whether investor attention operates as a mediating factor. To delve deeper into this matter, a two-stage regression analysis was used to understand how relative valuation influences the relationship between idiosyncratic risk and expected returns, mediated by the level of investor attention. This research takes the period from January 2007 to October 2022 as the sample period and selects Taiwanese listed companies based on the definition provided by the Taiwan Stock Exchange as the sample. The empirical results yield four key insights: (1) There is a reaffirmation of the presence of negative idiosyncratic risk premium in Taiwan's publicly traded companies. (2) This negative idiosyncratic risk premium phenomenon appears to be more pronounced when the relative valuation is high, as opposed to other levels of valuation. (3) Relative valuation has a significant negative impact on investor attention. (4) Under the adverse influence of relative valuation on investor attention, the negative idiosyncratic risk premium phenomenon is seen to be more severe when investor attention is low. This research provides evidence of the role of relative valuation in the relationship between idiosyncratic risk and expected returns and establishes investor attention as one of the influencing pathways.