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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/59310


    Title: 行為財務學處分效果與過度自信實證分析
    Practical analysis of Disposition effect and Over-confidence of Behavioral Finance
    Authors: 湯承庭
    Contributors: 廖四郎
    湯承庭
    Keywords: 處分效果
    過度自信
    Date: 2012
    Issue Date: 2013-09-02 16:04:32 (UTC+8)
    Abstract: 行為財務學理論近年來研究風氣較為盛行，有許多學者投入了「處分效果」、與「過度自信」的研究。本研究主要目的是希望藉由探討台灣散戶投資人是否具有此行為上的偏誤。並進一步探討當處分效果、過度自信行為非常顯著時，其股票投資組合在未來的報酬是否具有異常報酬。
    本研究期間為2008年5月至2012年12月，資料來源為台灣經濟新報(TEJ)中百大權值股融資買進、融資賣出的資料。本研究的結果發現：
    一、 α係數（處分係數）越高的股票投資組合，未來報酬率平均而言低於大盤；α係數越低的股票投資組合，則擁有較佳報酬表現。
    二、 β係數（過度自信係數）越高的股票投資組合，未來報酬率平均而言低於大盤；β係數越低的股票投資組合，則擁有較佳績效表現。
    三、 利用α係數短周期與長周期之黃金交叉、死亡交叉，有助於判斷股票市場整體風險，進而判斷多頭市場(Bull Market)與空頭市場(Bear Market)，提高交易策略之勝率。
    Reference: 中文部分
    1. 林秋雲，2002，「股票投資人錯置效果之研究」，輔仁大學應用統計學研究所碩士論文。
    2. 林淑芬，2006，「投資人情緒與台灣股市動能效應相關性之研究」，雲林科技大學財務金融所碩士論文。
    3. 徐士泓，2003，「影響基金投資人賣出及持有決策因素之研究：錯置效果 vs. 市場預測」，台灣大學財務金融所碩士論文。
    4. 許祐瑞，2002，「台灣股市散戶與三大法人處分效果之研究」，高雄第一科技大學金融營運所碩士論文。
    5. 陳真真，2004，「散戶投資人是否較機構投資人更加過度自信」，東海大學企業管理所碩士論文。
    6. 黃美滿，2004，「我國機構投資人過度自信交易行為之實證研究－以外資、投信為例」，雲林科技大學財務金融所碩士論文。
    7. 賴麗玲，2003，「錯置效應與過度自信之實證－以高週轉率共同基金經理人之表現為例」，實踐大學企業管理所碩士論文。
    8. 蘇婉如，2004，「投資人錯置效果之研究－以選擇權為例」，雲林科技大學財務金融所碩士論文。
    9. 龔怡霖，2001，「行為財務學－文獻回顧與未來發展」，中央大學財務管理所碩士論文。


    英文部分
    1. Andreassen, Paul, 1988, “ Explaining the price-volume relationship：the difference between price changes and changing prices,” Organizational Behavior and Human Decision Processes, 41 (3), 371-389.
    2. Barber, Brad M. and Terrance Odean, 1999, “ The courage of misguided convictions,” Financial Analysis’ s Journal, 55 (6), 41-55.
    3. Barber, Brad M. and Terrance Odean, 2000, “ Trading in hazardous to your wealth,” Journal of Finance, 55 (2), 773-806.
    4. Barber, Brad M. and Terrance Odean, 2001, “ Boys will be boys：gender, overconfidence and common stock investment,” Quarterly Journal Economics, 116 (1), 261-292.
    5. Barberis, Nicholas, Andrei Shleifer and Robert Vishny, 1998, “ A model of investor sentiment,” Journal of Financial Economics, 49 (3), 307-343.
    6. Chui, Andy, Sheridan Titman and K.C. John Wei, 2000, “ Momentum, ownership structure, and financial crises：an analysis of Asian stock markets,” Working Paper, University of Texas at Austin.
    7. Constantinides, George M. , 1984,“ Optimal stock trading with personal taxes：implications for prices and the abnormal January returns,” Journal of Financial Economics, 13 (1), 65-69.
    8. Daniel, Kent, David Hirshleifer and Avanidhar Subrahmanyam, 1998, “ Investor psychology and security market under- and overreactions,” Journal of Finance, 53 (6), 1839-1886.
    9. Daniel, Kent and Sheridan Titman, 1999, “ Market efficienc y in an irrational world,” Financial Analysis’s Journal, 55 (6), 28-40.
    10. Delong, J. Bradford, Andrei Shleifer, Lawrence H. Summers and Robert J. Waldman, 1990, “ Positive feedback investment strategies and destabilizing rational speculation,” Journal of Finance, 45 (2), 379-395.
    11. Frazzini, Andrea, 2006, “ The disposition effect and underreaction to news,” The Journal of Finance, 61 (4), 2017-2046.
    12. Kahneman, Daniel and Amos Tversky, 1979, “ Prospect theory：an analysis of decision under risk,” Econometrica, 47 (2), 263-291.
    13. Kahneman, Daniel and Mark W. Riepe, 1998, “ Aspect of investor psychology,” Journal of Portfolio Management, 24 (4), 52-65.
    14. Kunda, Ziva, 1987, “ Motivated inference：self-serving generation and evaluation of causal theories,” Journal of Personality and Social Psychology, 53 (4),636-647.
    15. Montier, James, 2002, Behavioural finance：insights into irrational minds and markets, John Wiley & Sons, Ltd.
    16. Odean, Terrance, 1998, “Are investors reluctant to realize their losses？” The Journal of Finance, 53 (5), 1775-1798.
    17. Odean, Terrance, 1999, “ Do investors trade too much ？ ” The American Economic Review, 89 (5), 1279-1298.
    18. Weber, Martin and Colin F. Camerer, 1998, “ The disposition effect in securities trading：an experimental analysis,” Journal of Economic Behavior& Organization, 33 (2), 167-184.
    19. Shefrin, Hersh and Meir Statman, 1985, “ The disposition to sell winners too early and ride losers too long：theory and evidence,” The Journal of Finance, 40 (3), 777-790.
    20. Shefrin, Hersh and Meir Statman, 1994, “ Behavioral capital asset pricing theory,” Journal of Financial and Quantitative Analysis, 29 (3), 323-349.
    Description: 碩士
    國立政治大學
    金融研究所
    100352028
    101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0100352028
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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