投資者心態或看法是否能解釋股價一直是財務學中一個令人感興趣的主題。這篇研究為參考密西根大學消費者看法指數對市場和產業組合的報酬預測能力作法，以台灣消費者信心指數取代消費者看法指數，我們分別對2002年至2006年間的月報酬進行檢驗。消費者信心在研究期間內可以預測佔大盤權値較重的產業股價報酬率。研究指出消費者信心指數的改變對於電子類股及汽車類股指數預測能力較強。至於個股部份則有聯電、台達電、鴻海、台積電、廣達、華碩、友達、華映與消費者信心指數有高度相關性，可見消費者信心指數對於生產消費性產品有關的產業，是很重要的。 Whether investor sentiment has any bearing on asset returns has long been a topic of interest in finance. We use the consumer confident index of Taiwan similar to the consumer sentiment index of University of Michigan to exam the predictability on industries return. We use monthly returns from 2002 to 2006, and we find that change in consumer confident could predict the industries which have maximum weighted on Taiwan stock market. We find that change in consumer confident index has more predictive power on Electronics and Automobile industries. As for individual stock, we find returns of UMC, Delta Electronics, TSMC, Quanta Computer, Asustek, AUO, Chunghwa Picture Tubes, have high relationship with consumer confident index. To sum up, consumer confident index has certain importance on stock returns of firms that produce consumer product.
