| Summary: | 碩士 === 中原大學 === 國際經營與貿易研究所 === 102 === This thesis reconstructs the Fama-French three-factor model as a panel smooth transition regression (PSTR) framework. We use three proxies of investor sentiment as the transition variable to investigate the threshold effects of the proxies on stock returns, and use 58 semiconductor stocks listed on Taiwan Security Exchange Corporation as sample objects. The sample period spans from 2003 through 2013.
There are several interesting findings. (1) The three risk premiums are time-varying. (2) In normal sentiment of investment, holding value stocks can lead to higher returns than growth stocks. Contrarily, when the investors in stock markets show extreme pessimism or extreme optimism, the returns in holding growth stocks dominate holding value stocks. (3) The three proxies of investor sentiment have different impacts on the three risk premiums, derived from the complicated relationships among the CDS, VIX, and TED spread.
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