臺灣博碩士論文加值系統

本研究主要探討投資人是否受到狹窄框架(narrow framing)效果之影響，導致投資人進行獨立的投資決策，使得投資人的處置效果愈嚴重，傾向急於實現利得，而較不願實現損失。(Kahneman & Lovallo, 1993；Kahneman, 2003；Barberis & Huang, 2004)愈受到狹窄框架效果影響的投資人，較不會更新參考點，也就是較不了解市場價格，才會導致投資人有較高的處置效果。
本研究以國內某家知名銀行提供的8,222位VIP客戶，從1995年10月到2006年6月這段期間的基金交易資料進行驗證，實證結果發現，根據交易集中度分群後，投資人受到狹窄框架效果之影響愈深，則處置效果就愈大，此一關係並不能得到完全驗證。本研究進一步利用投資人交易頻次以及交易集中度進行分群，則發現無論在交易頻次高或低的群組中，受到狹窄框架效果影響愈深，則處置效果就愈大，此與理論假設一致。再者，由個人屬性來看，可以發現年齡愈大、財富水準愈高的投資人，愈不會受到狹窄框架效果的影響。本研究再利用投資人個人屬性進行分群來探討狹窄框架效果與處置效果之間的關係，發現女性、較年輕的投資人以及居住在非台北地區的投資人，狹窄框架效果與處置效果之間不存在正向關係。

The purpose of this study is to investigate whether narrow framing effect, an inclination for ones being unable to make independent decisions, affects individual disposition effect, an inclination of prematurely selling winners but not losers. (Kahneman & Lovallo, 1993; kahneman, 2003; Barberis & Huang, 2004) Individuals who bounded by narrow framing are more likely to hinge on prior decisions without updating the reference points toward current market prices and therefore are associated with an aggravated disposition effect.
The result from a sample that comprises of 8,222 VIP customers from October 1995 to June 2006 and provided by a renowned fund house shows that the narrow framing effect is positively correlated with the deposition effect, but the relation not enough to prove. We further segregate the sample into four categories based on trade frequency and trade concentration. The result shows that the relation is evidenced on high trade frequency categories and low trade frequency categories. However, the positive effect of narrow framing on the disposition effect is evidenced when the sample is equally divided based on trading frequency. Furthermore, we consider personal attribute, the elder or richer investor will not be influence from narrow framing effect. Finally, we will observe personal attribute influence the relation between narrow framing effect and disposition effect. The result shows that the positive relation not exist in younger, female and location on non-Taipei investor.

第 壹 章 緒論 1
第 一 節 研究背景與動機 1
第 二 節 研究目的 2

第 貳 章 文獻探討 3
第 一 節 行為財務理論 3
第 二 節 框架效果影響投資者投資決策相關文獻 8

第 參 章 研究設計 9
第 一 節 研究期間與資料來源 9
第 二 節 研究方法 10
第 三 節 研究架構 14
第 四 節 研究假說 14

第 肆 章 實證結果 15
第 一 節 樣本敘述統計分析 15
第 二 節 狹窄框架效果對處置效果之影響 17
第 三 節 狹窄框架效果對投資人報酬之影響 36

第 伍 章 研究結論與建議 39
第 一 節 樣本敘述統計分析 39
第 二 節 狹窄框架效果對處置效果之影響 40

參考文獻 41
附錄 45

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