Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/20727
標題: Overconfidence, Disposition Effect and Their Causality for Individual Investors at Taiwan Stock Market
過度自信、處分效果及其因果關係-以台灣散戶投資人為例
作者: 王文聖
Wang, Wen-Sheng
關鍵字: Overconfidence,
過度自信
Disposition effect
Causality
處分效果
因果關係
出版社: 企業管理學系所
引用: 一、中文部份: 周賓凰、池祥萱、周冠男、鞏怡霖(民90)。行為財務學:文獻回顧與展望。國立中 央大學財務管理研究所碩士論文,未出版,桃園縣。 林秉瑋(民92)。台灣股市散戶投資人處分效果之實證研究。朝陽科技大學財務金融 系碩士論文,未出版,台中縣。 范秉航(民94)。性別與投資行為:以台灣股票市場為例,Journal of Financial Studies Vol.13 No.2. 郭敏華、郭迺鋒、邱耀初和范秉航,性別與台灣股票市場投資人行為之研究,台 灣金融財務季刊,Vol.13, No.2, (2005):1-28. 陳俊諺(民93)。台灣股市散戶投資人過度自信現象之再實證研究。朝陽科技大學財 務金融系碩士論文,未出版,台中縣。 曾瑞弘(民92)。台灣股市投資人處分效果之研究。靜宜大學會計學系碩士論文,未 出版,台中縣。 張元福(民92)。台灣股票市場散戶投資人處分效果之實證研究。國立屏東科技大學 企業管理所碩士論文,未出版,屏東縣。 劉芝伶(民95)。從展望理論探討影響投資人處分效果之實證研究。大葉大學事業經 營研究所,未出版,彰化縣。 蔡坤興(民95)。報酬率、融資交易量與過度自信之相關性研究。國立雲林科技大學 財務金融系碩士論文,未出版,雲林縣。 蕭淑君(民95)。投資心理因素對處分效果之影響。大同大學事業經營研究所 碩士 論文,未出版,台北市。 二、英文部份: Barber, B. M. and Odean, T. (1999), “The Courage of Misguided Convictions,” Financial Analysts Journal, Vol. 55, No.6, 41-55. Barber, B. M. and Odean, T. (2000), “ Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors,” The Journal of Finance, Vol. 55, No. 2, 773-805. Barber B. M., Lee Y. T., Liu Y. J., and Odean T. (2007), “Is the Aggregate Investor Reluctant to Realise Losses? Evidence from Taiwan,” European Financial Management, Vol. 13, No. 3, 423–447 Chui P. M. W. (2001), “An Experimental Study of the Disposition Effect: Evidence from Macau,” The Journal of Psychology and Financial Markets, Vol. 2, No. 4, 216–222. Davis, F. D. and Kottemann, J. E. (1994), “User Perceptions of Decision Support Effectiveness: Two Production Planning Experiments,” Decision Sciences, Vol. 25, No. 1, 57-78. De Bondt, W. F. M. and Thaler, R. H. (1985), “Does the Stock Market Overreact?” The Journal of Finance, Vol. 40, No.3, 793-808. De Bondt, W.F.M., and Thaler, R.H. (1995), “Financial Decision-Making in Markets and Firms: A Behavioral Perspective,” In Handbooks in Operations Research and Management Science: Finance. Edited by R.A. Jarrow, V. Maksimovic, and W.T. Ziemba. Amsterdam: Elsevier: 385–410. Dickey, D., and Fuller, W. (1979), “Distribution of the estimators for autoregressive time series,” Journal of the American Statistical Association, Vol. 74, No.366, 427–431. Dickey, D. A. and Fuller, W. A. (1981), “Likelihood ratio statistics for autoregressive time series with a unit root,” Econometrica, Vol. 49, No. 4, 1057-1072. Fama, E. F., (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work,” The Journal of Finance, Vol. 25, No. 2, 383-417. Fogel, S. O. and Berry, T. (2006), ”The Disposition Effect and Individual Investor Decisions: The Roles of Regret and Counterfactual Alternatives,” The Journal of Behavioral Finance, Vol. 7, No. 2, 107–116. Francis, J.C. (1986), Portfolio Analysis. New Jersey, Prentice-Hill. Gervais, S. and Odean, T. (2001), “Learning to be Overconfident,” Review of Financial Studies, Vol. 14, No. 1, 1-27. Granger, C. W. J. (1969), “Investigating Causal Relations by econometric Models and Cross-Spectral Methods,” Econometrica, Vol. 37, No. 3, 424-438. Granger, C.W.J., and Newbold, P. (1974), ” Spurious Regressions in Econometrics,” Journal of Econometrics, Vol. 2, No. 2, 111-120. Jordan, D., and Diltz, J. D. (2004), “Day Traders and the Disposition Effect,” The Journal of Behavioral Finance, Vol. 5, No. 4, 192–200. Kahneman, D. and Tversky, A. (1979), “Prospect theory: An analysis of decision under risk,” Econometrica, Vol.47, No. 2, 263-291. Kahneman, D. and Tversky, A. (1982), “Judgment under Uncertainty: Heuristics and Biases,” New York; Cambridge University Press. Kahneman, D. and Riepe, M. W. (1998), “Aspects of Investor Psychology,” The Journal of Portfolio Management, Vol. 24, No. 4,52-65. Kottemann, J. E., Davis, F. D., and Remus, W. E. (1994), “Computer-assisted Decision Making : Performance, Beliefs, and the Illusion of Control,” Organizational Behavior and Human Decision Processes, Vol.57, No. 1, 26-37. Lichtenstein, S., Fischhoff, B., and Phillips, L. (1982), “Calibration of Probabilities: The State of the Art to 1980,” In Judgment Under Uncertainty: Heuristics and Bias. Edited by Kahneman, D., Slovic, P., and Tversky, A., Cambridge, U.K., and New York: Cambridge University Press. Olsen, R. A. (1998), “Behavioral finance and its implications for stock-price volatility,” Financial Analysts Journal, Vol. 54, No.2, 10-18. Odean, T. (1998a), “Are investors reluctant to realize their losses?” Journal of Finance, Vol. 53, No. 5, 1775-1798. Odean, T. (1998b), “Volume, Volatility, Price, and Profit When All Traders Are Above Average,” Journal of Finance, Vol.53, No. 6, 1887-1934. Odean, T. (1999), “Do Investors Trade Too Much?” American Economic Review, Vol. 89, No.5, 1279-1298. Pereira, R. E. (1999), “Factors Influencing Consumer Perceptions of Web-based Decision Support Systems,” Logistics Information Management, Vol. 12, No.1, 157-181. Phillips, P.C.B, and Perron, P. (1988), “Testing for a Unit Root in Time Series Regressions,” Biometrika, Vol. 75, No. 2, 335-346. Shefrin, H. and Statman, M. (1985), “The Disposition to Sell Winners Too Early and Ride Losers Too Long:Theory and Evidence,” The Journal of Finance, Vol. 40, No. 3, 777-790. Shefrin, H. (2000), “Beyond greed and fear,” Boston, MA:Harvard Business School Press. Statman, M. (1999), “Behavioral Finance: Past Battles and Future Engagements,” Financial Analysts Journal, Vol. 55, No.6, 18-27. Statman, M., Thorley, S., and Vorkink, K. (2006), “Investor Overconfidence and Trading Volume,” The Review of Financial Studies, Vol. 19, No. 4, 1531-1565. Visaltanachoti, N., Luo, H., and Lu, L. (2007),”Holding periods, illiquidity and disposition effect in the Chinese stock markets,” Applied Financial Economics, Vol. 17, No. 15, 1265–1274. Weber, M. and Camerer, C. F. (1998), “The Disposition Effect in Securities Trading: An Experimental analysis,” Journal Economic Behavior & Organization, Vol. 33, No. 2, 167-184.
摘要: Since Kahneman and Tversky (1979) proposed Prospect Theory, behavioral finance drew more attention and the researchers that started discussing the mental effects on investment decisions. From then on, several studies tried to prove the inter-relationship between mental effects. Due to the rarely work on this issue, we intend to analyze the causality between overconfidence and disposition effect and provide some directions for future research. In this study, the method of the overconfidence coefficient and disposition coefficient to measure the level of overconfidence and disposition effect is based on Tsai (2006) and Lin (2003) who modified the disposition coefficient from Weber and Camerer (1998). We find out that individual investors at Taiwan stock market are overconfident and have the tendency to sell the winners too soon and hold the losers reluctantly. From the test of Granger causality, however, we only support that overconfidence will Granger cause disposition effect. In addition, overconfidence has a significant positive relationship with disposition effect during the whole periods, the bear-market period and the bull-market period. It means that when individual investors are overconfident, it will cause stronger disposition effect. Note that the level of significance of causality decreases with lag periods during the bull-market period, and the causality is the most significant at lag two periods during the bear-market period. The results also show that individual investors are so overconfident that inducing the phenomenon of disposition effect during the whole periods, the bear-market period and the bull-market period. That means individual investors will overestimate their own capabilities and the private information they hold due to previous gains. In order to maintain the confidence, individual investors will choose to sell the profitable stocks as soon as possible to prove the gains coming from their own capabilities. They also hold the losing ones reluctantly to avoid admitting the biased judgements they made.
行為財務學(Behavioral finance)在Kahneman & Tversky(1979)提出展望理論(Prospect Theory)後,開始受到學者的重視,並且深入探討影響投資人決策的心理效果,演變至今已有學者嘗試分析不同心理效果間是否存在交互作用;有鑑於國內對這方面研究較為不足,因此希望藉由探討過度自信(Overconfidence)與處分效果(Disposition Effect)間的因果關係,提供後續研究者一個值得深思的方向。 本研究參考蔡坤興(民95)、林秉瑋(民92)修改Weber & Camarer(1998)所提之處分係數而得的過度自信係數以及處分係數作為衡量過度自信以及處分效果的依據。研究發現台灣散戶投資人不論在整個資料期間、多頭時期甚至空頭時期,都普遍存在過度自信與處分效果,而且由Granger因果關係檢定得知,僅存在過度自信因果影響處分效果,而沒有逆向關係;進一步驗證發現,在多頭時期、空頭時期以及整個資料期間,過度自信與處分效果均呈現顯著的正向關係,表示當投資人增強本身的過度自信時,通常會導致處分效果的行為更加強烈,值得注意的是,由Granger因果關係檢定中發現,多頭時期的過度自信與處分效果的因果關係隨著資料落後的期數增加,此因果關係的顯著程度會下降,而在空頭時期的過度自信與處分效果的因果關係最多僅能勉強維持至落後兩期,當落後期數超過三期,結果便不顯著。 由結果顯示,投資人在整體資料期間、空頭時期以及多頭時期皆存在過度自信會影響處分效果的情形,表示投資人會因為投資上的獲利而對本身的能力乃至於所握有的私有資訊產生高估的現象,進而為了延續這份自信,會選擇將獲利的股票儘早出脫,以證明獲利來自於本身能力,但是對於虧損的部分則不情願實現,以避免承認自己的判斷錯誤。
URI: http://hdl.handle.net/11455/20727
其他識別: U0005-1007200814575500
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-1007200814575500
Appears in Collections:企業管理學系所

文件中的檔案:

取得全文請前往華藝線上圖書館



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.