臺灣博碩士論文加值系統

處置效果 (disposition Effect) 是指投資人相對於損失的情況下，會出現急著實現獲利的頃向。在本篇論文中我們使用2008年1月到10月的台灣期貨市場所有投資者的交易資料並根據Odean (1998) 所提出衡量處置效果的方法來探討台灣不同類型投資人的處置效果現象。本文中我們將投資人分為三大類，國內散戶投資人、國內機構投資人及國外機構投資人。並將國內機構投資人細分為投信及其他機構投資人。進一步探討不同類型投資人的交易經驗對投資人的處置效果的影響。結果顯示，首先，散戶、投信及其他機構投資人在台灣期貨市場存在處置效果。且散戶的處置效果與國內機構投資人及國外投資人相比有較高頃向。
最後，交易經驗越多的投資人顯著會降低處置效果。

In this paper we examines whether the disposition effect, the tendency of investors to ride losses and realize gains. We use the trading records of all market participants from January 1, 2008 to October 31, 2008 and measure the disposition effect (DE) according the Odean (1998). We use the methodology which presents evidence on the existence of the disposition effect in Taiwan future market. Using a unique dataset, we find strong evidence for the disposition and explain this in terms of investor characteristics on three types of investors. We divide traders into three categories which are individual traders, foreign investors, domestic institutional investors. And we separate domestic institutional investors into investment trusts and other institutional investors. There are three main findings, first, individuals investors, other institutional investors and investment trusts investors exhibit disposition effect. Second, individual investors are much more susceptible to the disposition effect than all the domestic institutional and foreign investors. Third, sophisticated and experienced investors show less disposition effect.

Contents
Chinese Abstract i
English Abstract ii
Contents iii
List of Figures v
List of Tables iv
1. Introduction 1
2. Research Review 4
2.1 Disposition effect 4
2.2 Sophistication, Trading experience and Disposition Effect 6
3. Methodology 8
3.1 Measure Disposition Effect 8
3.2 Regression 11
4. Empirical Results and Analysis 13
4.1 Data Description 13
4.2 Evidence of the Disposition Effect 15
4.3 The Trading Characteristics of the Disposition Effect 17
5. Conclusion 21
Reference 23

Reference
1. Barber, B.M., Y.T. Lee, Y.J. Liu and T. Odean, 2007 . “ Is the Aggregate Investor Reluctant to Realize Losses? Evidence from Taiwan. ” European Financial Management 13, 423-447.
2. Coval, J., Tyler, S., 2001. “Do behavioral biases affect prices? ” Working paper, University of Michigan.
3. Choe, H. and Y. Eom,2009. “The Disposition Effect and Investment Performance in the Futures Market. ” Journal of Futures Markets 29, 496-522
4. Cici, G. (2005), “The relation of the disposition effect to mutual fund trades and
performance,” Working paper, University of Pennsylvania.
5. Frazzini, A., 2006, “ The disposition effect and underreaction to news”, Journal of Finance 61,2017-2046.
6. Garvey, R. and A. Murphy , 2004. “Are professional traders too slow to realize their losses ? ” Financial Analysts Journal, Vol. 60, 35-43.
7. Grinblatt, M. and M. Keloharju , 2001. “What makes investors trade? ”, Journal of Finance 56, 589-616.
8. Haigh, Michael S., and John A. List, 2005, “ Do professional traders exhibit myopic loss aversion ? An experimental analysis”, Journal of Finance 60, 523-534.
9. Kahneman, D. and A.Tversky , 1979 . “Prospect theory: An analysis of decision under risk”, Econometrica 47, 263-291.
10. List, J.A., 2003, “Does market experience eliminate market anomalies? ”, Quarterly Journal of Economics 118, 41-71

11. List, J.A., 2004, “Neoclassical theory versus prospect theory: Evidence from the marketplace”, Econometrica 72, 615-625
12. Locke, R., and C. Mann , 2005, “Professional trader discipline and trade disposition”, Journal of Financial Economics 76, 401-444.
13. Loewenstein, G., and D. Prelec , 1992. “Anomalies in intertemporal choice: evidence and an interpretation”, Quarterly Journal of Economics, 107, 573−97.
14. Odean, T. , 1998. “Are investors reluctant to realize their losses ? ” Journal of Finance 53, 1775-1798.
15. Shapira, Z. and I. Venezia , 2001. “Patterns of Behavior of Professionally Managed and Independent Investors. ” Journal of Banking and Finance, 25, No8, pp 1573-87.
16. Shefrin, H. and M. Statman , 1985 . “The disposition to sell winners too early and ride losers too long: theory and evidence. ” Journal of Finance 40, 777-790.
17. Shumway, Tyler and Guojun Wu , 2005, “Does disposition drive momentum? ”, working paper, University of Michigan.
18. Wermers, R. , 2003 , “Is money really “smart”? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence”, working paper, University of Maryland
19. Weber, M. and C.F. Camerer , 1998 . “The Disposition Effect in Securities Trading: An Experimental Analysis.” Journal of Economic Behavior &; Organization 33, 167-184.