本文分別延續以投資人情緒與總經宣告的觀點探討報酬與條件變異數之抵換關係，實證發現高情緒交易日佔多數的樣本期間才能明確分離出情緒的影響，此時低情緒對報酬與變異數之抵換關係影響為正向關係，而情緒較高時則會破壞報酬與變異數之正向抵換關係，因此情緒並不全然能解釋報酬與變異數間的抵換關係。

另一方面，總經宣告在實證中僅產生些微解釋力，但加入與情緒之交乘作用後，影響大幅提升，在同時為低情緒與無宣告之交易日時，報酬與變異數抵換關係的影響為正向且顯著；而高情緒且有總經宣告日的影響為負向顯著，可以說高情緒與宣告日兩者的交乘效果明顯破壞了報酬與變異數間的抵換關係。

This study extends the studies of investor sentiment and macroeconomic announcements on the market’s risk-return trade-off. We find that only the period that is dominated by high-sentiment can be explained by investor sentiment. During that periods, the stock market’s expected excess return is positively related to the market’s conditional variance in low-sentiment while the risk-return trade-off is negative in high-sentiment. Therefore, risk-return trade-off can’t be explained completely by investor sentiment.

In addition, we also found out that there is a little explanatory power of macroeconomic announcement. However, when it has interaction effect with investor sentiment, it has a significant effect on risk-return trade-off. The empirical results demonstrate that there is a positive relationship between the stock market’s expected excess return and the market’s conditional variance at the day which is neither announcement day nor high-sentiment day. Similarly, the risk-return trade-off is negative on the day that is both announcement day and high-sentiment day.

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