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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/34065
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34065


    Title: 投資人風險分散行為研究:理論與實務的差距
    Do Investor Diversivy the Portfolio According to Portfolio Theory?
    Authors: 陳虹君
    Chen, Hung Chum
    Contributors: 周行一
    陳虹君
    Chen, Hung Chum
    Keywords: 風險分散
    Date: 2006
    Issue Date: 2009-09-17 19:19:44 (UTC+8)
    Abstract: 以往有關投資人風險分散行為的研究,較少以時間序列資料,探討投資人投資行為與時間的變化關係,本研究採用台灣證券交易所的每日交易成交資料,從西元1990年1月至西元2005年12月長達16年資料,模擬投資人的投資組合,對台灣股市投資人持股及交易狀況做描述性分析,並且分析投資人持有股數、歷年來曾交易過股票支數、單年進行交易的股票支數、交易次數與交易量,這五個變數與時間的變化關係。
    以投資人持有股票支數作為風險分散程度的指標,發現台灣投資人平均持有股數逐年上升,從1990的5支,逐年成長到2005年的31支,歷年來曾投資過的股票支數更多,2005年時成長到128支,但是每年投資人會進行交易的股票支數卻變化不大,平均是17支,這代表了短期內投資人能夠注意或有能力與資金操作的股票支數有限,但隨著報章雜誌報導、類股輪動,投資人因注意力轉移而買進不同的新股票,長期來看,投資人可能因長期投資策略、零股交易不盛或處分效果,不賣出舊股票,卻持續交易新股票,使得平均持有股數逐年上升。但理論上,在同樣金額下增加持有股數才能算是增加風險分散程度,但是實際投資人增加持有股數往往是因為可用資金增加、受報章雜誌報導等影響,而不是傳統財務理論所說的為了增加風險分散程度。
    本研究進一步探討不同特性的投資人,其投資行為隨時間的變化。發現不論是原先持股少或持股多的投資人,皆傾向逐年增加持股支數,會維持在原先持股水平的比例相當少。並且投資人當下決定投資的行為與經過時間累積後呈現出的投資行為並不相同。本研究對台灣股市投資人真實的投資行為更進一步了解,有助於學者在建構解釋投資行為的理論模型時的參考。
    Reference: 1. 郭敏華、郭迺峰,(2005)“台灣股票投資散戶持股多角化之應用與實然”。
    2. 廖國翔,(2001)“注意力、情緒對投資決策之影響” 國立政治大學財務管理研究所碩士論文。
    3. Barber, B. M. and Odean, T. (2000) “Too many Cooks Spoil Profits: Investment Club Performance.” Financial Analysts Journal 56(1), 17-25.
    4. Blume, M. E., Crockett, J. and Friend, I. (1974)“Stock Ownership in the United States: Characteristics and Trends.” Survey of Current business, 54(4), 16-40.
    5. Blume, M. E. and Friend, I. (1975) “The Asset Structure of Individual Portfolios and Some Implications for Utility Functions.” Journal of finance, 30(1), 585-603.
    6. Blume, M. E. and Friend, I. (1978) “The Changing Role of the Individual Investor: A Twentieth Century Fund Report.” New York: John Wiley & Sons
    7. Dorn, D. and Huberman, G. (2005) “Talk and Action: What Individual Investors Say and What They Do.” Review of Finance 9, 437-481.
    8. Genesove, D. and Mayer, C. (2001) “Loss aversion and seller behavior: Evidence from the housing market.” Quarterly Journal of Economics 116(4), 1233-1260.
    9. Grinblatt M. and Keloharju M. (2001) “How distance, language and culture influence stockholdings and trades.” Journal of finance, 56(3), 1053-1073.
    10. Gunthorpe, D. and Levy, H. (1994) “Portfolio Composition and the Investment Horizon.” Financial Analysts Journal 50(1), 51-56.
    11. Kahneman, D. and Tversky, A. (1973) “On the psychology of prediction.” Psychological Review 80
    12. Karlsson, A. and Norden, L. (2007) “Home sweet home: Home bias and international diversification among individual investors.” Journal of Banking and Finance 31, 317-333.
    13. Kelly, M. (1995) “All their eggs in one basket: Portfolio diversification of US households.” Journal of Economic Behavior and Organization 27, 87-96.
    14. King, M. A. and Leape, J. I. (1984) “Wealth and Portfolio Composition: Theory and Evidence.” NBER Working paper series, Cambridge, MA: National Bureau of Economic Research.
    15. Locke, P. R., Mann, S.C. (2005) “Professional reader discipline and trade disposition.” Journal of Financial Economics 76(2), 401
    16. Markowitz, H. M., “Portfolio Selection.” Journal of Finance, 7(1), 77-91.
    17. Massa, M. and Simonov, A. (2006) “Hedging, Familiarity and Portfolio Choice.” The Review of Financial Studies, 19(2)
    18. Odean, T. (1999) “Do Investors Trade Too Much?” The American Economic Review, 89(5), 1279-1298.
    19. Peng, L., Xiong, W. and Bollerslev, T. (2007) “Investor Attention and Time-varying Comovement.” European Financial Management 13(3), 394-422.
    20. Peress, J. (2004) “Wealth, Information Acquisition, and Portfolio Choice.” The Review of Financial Studies 17(3),879-
    21. Polkovnichenko, V. (2005) “Household Portfolio Diversification: A Case for Rank-Dependent Preferences.” The Review of Financial Studies 18(4), 1467-1502.
    22. Shefrin, H. and Statman, M. (1994) “Behavioural capital asset pricing theory.” Journal of Financial and Quantitative Analysis,29(3), 323-349.
    23. Statman, M. (1987) “How Many Stocks Make a Diversified Portfolio?” Journal of Financial and Quantitative Analysis 22(3), 353-363.
    24. Statman, M. (2004) “The Diversification Puzzle.” Financial Analysts Journal 60(4), 44-52.
    25. Statman, M., Thorley, S. and Vorkink, K. (2006) “Investor Overconfidence and Trading Volume.” The Review of Finance 9(4), 1531-1565.
    Description: 碩士
    國立政治大學
    財務管理研究所
    94357006
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094357006
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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