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| Title: | 文字背後的意含-資訊的量化測量公司基本面與股價（以中鋼為例）
Behind the words - quantifying information to measure firms` fundamentals and stock return (taking the China steel corporation as example) |
| Authors: | 傅奇珅
Fu, Chi Shen |
| Contributors: | 吳啟銘
Wu, Chi Ming
傅奇珅
Fu, Chi Shen |
| Keywords: | 內容分析法
文字資訊
資訊內涵
文件資料探勘
關鍵資訊擷取
資訊效果
褒義詞
貶義詞
正面詞彙
負面詞彙
基本面分析
股票報酬分析
Content Analysis
Textual Information
Informative Content
Text Mining
Information Effect
Critical Information Extraction
Commendatory Term
Derogatory Term
Positive words
Negative words
Fundamental Analysis
Stock Return Analysis |
| Date: | 2009 |
| Issue Date: | 2010-12-08 15:46:52 (UTC+8) |
| Abstract: | 本研究蒐集經濟日報、聯合報、與聯合晚報的新聞文章，以中研院的中文斷詞性統進
行結構性的處理，參考並延伸Tetlock、Saar-Tsechansky和Macskassy(2008)的研究方法，檢驗
使用一個簡單的語言量化方式是否能夠用來解釋與預測個別公司的會計營收與股票報酬。有
以下發現：
1. 正面詞彙(褒義詞)在新聞報導中的比例能夠預測高的公司營收。
2. 公司的股價對負面詞彙(貶義詞)有過度反應的現象，對正面詞彙(褒義詞)則有效率地充分
反應。
綜合以上發現，本論文得到，新聞媒體的文字內容能夠捕捉到一些關於公司基本面難
以量化的部份，而投資者迅速地將這些資訊併入股價。
This research collects all of the news stories about China Steel Corporation from
Economic Daily News, United Daily News, and United Evening News. These articles I collect
are segmented by a Chinese Word Segmentation System of Academia Sinica and used by the
methodology of Tetlock, Saar-Tsechansky, and Macskassy(2008). I examine whether a simple
quantitative measure fo language can be used to predict individual firms’ accounting sales and
stock returns. My two main findings are:
1. the fraction of positive words (commendatory term) in firm-specific news stories forecasts
high firm sales;
2. firm’s stock prices briefly overreaction to the information embedded in negative words
(Derogatory term); on the other hand, firm’s stock prices efficiently incorporate the
information embedded in positive words (commendatory term).
All of the above, we conclude this linguistic media content captures otherwise hard-toquantify
aspects of firms’ fundamentals, which investors quickly incorporate into stock prices. |
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1681-1713.
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Management 15(3): 4-12.
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pessimistic language in earnings press releases. Working paper, Federal Reserve Bank of
St. Louis.
Fama, E. F., andKenneth R. French (1992). "The cross-section of expected stock returns." Journal
of Finance 47.
Fama, E. F. and K. R. French (1993). "Common risk factors in the returns on stocks and bonds."
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郭先珍等編 (1996[民85]). 常用褒貶義詞語詳解詞典. 中國語言--修辭--字典,辭典, 北京：商務出
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廖思雯 (2007). 媒體報導會影響股票市場對公司盈餘宣告的反應嗎？以金融業為例, 國立東華
大學國際經濟研究所(未出版碩士論文).
鍾尚倫 (2009). 新聞資訊與股票市場動態之關連性-報紙資訊對法人持股以及個股報酬率的影
響, 臺灣大學商學研究所(未出版碩士論文). |
| Description: | 碩士
國立政治大學
財務管理研究所
97357034
98 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0097357034 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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