政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/145919
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 110442/141355 (78%)
Visitors : 46985392      Online Users : 812
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大典藏 > College of Commerce > Department of Finance > Theses >  Item 140.119/145919
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/145919


    Title: 產業領導企業非系統性漲跌是否影響同業
    If a leader sneezes, does everyone catch a cold? What if a leader wins a lottery?
    Authors: 商復一
    Shang, Fuh-Yi
    Contributors: 周冠男
    Chou, Robin K.
    商復一
    Shang, Fuh-Yi
    Keywords: 有限注意力
    非系統性事件
    異常報酬
    搜尋量指數
    產業聯動
    Limited attention
    Non-systematic event
    Abnormal return
    Search volume index
    Industry co-movement
    Date: 2023
    Issue Date: 2023-07-06 16:59:55 (UTC+8)
    Abstract: 本文探討同產業內領導公司的非系統事件對於同業的影響。以美國的電腦程式設計、資料處理、其他電腦相關服務產業以及藥物產業為例,運用Google的搜尋量指數以及單日漲跌幅作為篩選過濾出可能的領導公司非系統性事件日期,並藉此建立虛擬變數、對產業內公司做日頻率縱橫資料分析。本文發現領導公司正面非系統性事件對於同業會造成顯著較高的異常報酬;反之,負面非系統性事件對於同業會造成顯著較低的異常報酬。上述單日報酬的影響幅度可達10基點。主要的異常報酬波動集中在非系統性事件當日至兩天後;其中市值將影響異常報酬波動發生以及回穩的時間點,大市值公司最快出現異常報酬波動,同時亦較快回穩。後續透過產業指數進一步篩選非系統性事件,並發現投資人較容易辨識正面事件的非系統性;對於負面事件較容易解讀為系統性事件,且反應甚至較系統性事件持久。
    This paper aims to explore the effects of the non-systematic events from industry-leading companies have on the companies in the same industry. By utilizing Google Search Volume Index (SVI) and single-day return, I created a filter that can list out the possible days on which non-systematic events of industry-leading company might happen. Based on the filter, I built dummy variables for all the possible events in order to conduct a daily panel data analysis. The Computer Programming, Data Processing, and other Computer Related Services industry and the Drug industry are included in this paper as examples. This paper found that positive non-systematic events of industry-leading company induce higher abnormal returns in companies from the same industry. On the contrary, negative ones induce lower abnormal returns. The fluctuation of abnormal return can be up to 10 bps, and appears on the event days or around two days of it. It is worth noting that capitalization is related to the time point of the occurrence of abnormal return fluctuations and the subsequent stabilization. Companies with larger capitalization face the fluctuation first and stabilize faster. I also conduct a stricter screening on systematic events and found that investors tend to correctly identify positive non-systematic events, but for negative ones, investors act as if they are systematic.
    Reference: Andrei, D., Hasler, M. (2015). Investor attention and stock market volatility. The Review of Financial Studies, 28, 33-72.
    Badrinath, S. G., Kale, J. R., Noe, T. H. (1995). Of shepherds, sheep, and the cross-autocorrelations in equity returns. The Review of Financial Studies, 8, 401-430.
    Barber, B. M., Odean, T. (2008). All that glitters: the effect of attention and news on the buying behavior of individual and institutional investors, The Review of Financial Studies, 21, 785-818.
    Barberis, N., Shleifer, A. (2003). Style investing. Journal of Financial Economics, 68, 161-199.
    Brennan, M. J., Jegadeesh, N., Swaminathan, B. (1993). Investment analysis and the adjustment of stock prices to common information. The Review of Financial Studies, 6, 799-824.
    Chordia, T., Huh, S. W., Subrahmanyam, A. (2007). The cross-section of expected trading activity. The Review of Financial Studies, 20, 709-740.
    Da, Z., Engelberg, J., Gao, P. (2011). In search of attention. Journal of Finance, 66, 1461-1499.
    Gervais, S., Kaniel, R., Mingelgrin, D. H. (2001). The high-volume return premium. Journal of Finance, 56, 877-919.
    Hirshleifer, D., Lim, S. S., Teoh, S. H. (2011). Limited investor attention and stock market misreactions to accounting information. The Review of Asset Pricing Studies, 1, 35-73.
    Hirshleifer, D., Teoh, S. (2003). Limited attention, information disclosure, and financial reporting. Journal of Accounting and Economics, 36, 337-386.
    Hou, K. (2007). Industry information diffusion and the lead-lag effect in stock returns. The Review of Financial Studies, 20, 1113-1138.
    Lo, A. W., MacKinlay, A. C. (1990). When are contrarian profits due to stock market overreaction? The Review of Financial Studies, 3, 175-205.
    Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. Journal of Finance, 42, 483-510.
    Odean, Terrance. (1999). Do investors trade too much? American Economic Review, 89, 1279-1298.
    Peng, L. (2005). Learning with information capacity constraints. The Journal of Financial and Quantitative Analysis, 40, 307-329.
    Peng, L., Xiong, W. (2006). Investor attention, overconfidence and category learning. Journal of Financial Economics, 80, 563-602.
    Sofia B. Ramos, Pedro Latoeiro, Helena Veiga. (2020). Limited attention, salience of information and stock market activity. Economic Modelling, 87, 92-108.
    Simon, H. A. (1955). A behavioral model of rational choice. The Quarterly Journal of Economics, 69, 99-118.
    Sims, C. A. (2003). Implications of rational inattention. Journal of Monetary Economics, 50, 665-690.
    Description: 碩士
    國立政治大學
    財務管理學系
    110357009
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0110357009
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

    Files in This Item:

    File Description SizeFormat
    700901.pdf1421KbAdobe PDF2114View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback