本研究利用Hofstede (1980, 2010)文化維度理論作為衡量國家文化之指標，探討不同國家的文化差異是否能解釋股票市場低價股與高價股未來股票報酬率之間的差異。本文參考Chui, Titman, and Wei (2010)的研究方法，採用重複期間(overlapping)的方式來建構低價股、高價股投資組合，並且以1985年至2017年之間全球40個國家主要股票交易所中所有的普通股股票為研究對象，檢驗Hofstede個人主義指數與不確定性規避指數對低價股與高價股投資組合溢酬之影響。研究結果發現，在個人主義指數較高的國家或不確定性規避指數較低的國家，低價股與高價股投資組合的（負）溢酬差距較大，溢酬效果較明顯；反之，在個人主義指數較低的國家或在不確定性規避指數較高的國家，低價股與高價股投資組合的（負）溢酬差距較小，溢酬效果較不明顯。整體而言，低價股、高價股溢酬與個人主義指數呈現負向關係；低價股、高價股溢酬與不確定性規避指數呈現正向關係，唯後者在Fama and MacBeth (1973)橫斷面迴歸分析中並不顯著。

This study examines whether the differences in cultural dimensions such as individualism and uncertainty avoidance can explain the premium between low-priced stocks and high-priced stocks across countries. Using two cultural indices constructed by Hofstede (1980, 2010) and common stock returns in 40 countries over the period between 1985 and 2017, we find that the premium between low-priced stocks and high-priced stocks is higher for countries with high individualism index or countries with low uncertainty avoidance index. On the contrary, the premium between low-priced stocks and high-priced stocks is not that high for countries with low individualism index or countries with high uncertainty avoidance index. Overall, the evidence in this paper indicates that low-priced premium can be partially explained by different culture around the world.

目錄
謝辭	I
中文摘要	II
英文摘要	III
表目錄	VI
第一章	緒論	1
第一節	研究動機與背景	1
第二節	研究目的	4
第三節	研究架構	6
第二章	文獻回顧與研究假說	8
第一節	投資人偏好低價股的原因	8
第二節	Hofstede的文化維度理論	11
第三節	文化維度的差異在財務上的應用	13
第四節	Hofstede文化維度理論如何影響低價股效應	16
第三章	研究樣本與研究方法	19
第一節	研究資料	19
第二節	研究方法	20
第四章	實證結果	23
第一節	各國樣本資料期間概況	23
第二節	全球股市低價股與高價股投資組合溢酬	26
第三節	Hofstede國家文化指數與低價股、高價股投資組合溢酬關聯性分析	30
第四節	Fama and MacBeth (1973)橫斷面迴歸分析	37
第五章	結論	40
參考文獻	42


表目錄
表 1樣本資料期間概況	24
表 2低價股與高價股投資組合溢酬	27
表 3 Hofstede個人主義指數與低價股、高價股投資組合溢酬關聯性分析	31
表 4 Hofstede不確定性規避指數與低價股、高價股投資組合溢酬關聯性分析	33
表 5穩健性測試－重新檢驗低價股與高價股投資組合溢酬	35
表 6 Fama-MacBeth橫斷面迴歸分析－Hofstede個人主義指數、不確定性規避指數與低價股、高價股投資組合溢酬之關聯性分析	38
表 7 Fama-MacBeth橫斷面迴歸分析－Hofstede個人主義指數、不確定性規避指數與低價股、高價股投資組合溢酬之關聯性再分析	39

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