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研究生:夏清田
研究生(外文):Ching-Tian Hsia
論文名稱:台灣證券交易所投資人交易行為與股票報酬關係之研究
論文名稱(外文):Investor Trading Behavior and Stock Returns in Taiwan Stock Exchange
指導教授:吳啟銘吳啟銘引用關係
指導教授(外文):Eric Wu
學位類別:碩士
校院名稱:國立政治大學
系所名稱:企業管理學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2001
畢業學年度:89
語文別:英文
論文頁數:68
中文關鍵詞:投資心理交易行為行為財務股票報酬心理指標處分效果期望理論預測指標
外文關鍵詞:Investor SentimentTrading BehaviorBehavioral FinanceStock ReturnsSentiment IndicatorDisposition EffectProspect TheoryPredictive Index
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This paper investigates the investor trading behavior and the relationship between investor sentiment and stock returns. First we explore whether individual investors behave as the Disposition Effect stated ─ hold their losers too long while realize their winners too soon. Second, we apply four sentiment indicators ─ number of recommended stocks, margin purchase value, net fund redemption and odd-lot trade value ─ to examine relationship between investor sentiment and stock returns. We would like to see if past returns have anything to do with current sentiment, and if sentiment provides predictive power to future returns.
First of all, from our analysis to over eight hundreds cash accounts trading records in two research periods, January to March and September to December in 2000, we found the Disposition Effect holds in average but not statistically.
Second, the number of recommended stocks, weighted number of recommended stocks, margin purchase value, change in margin purchase value, net fund redemption and odd-lot trade value as proxies of investor sentiment are good at measuring the effect of past 4-week and 26-week returns on sentiment.
Third, the margin purchase value, net fund redemption and odd-lot trade value provide predictive power to future 26-week returns in our study, which also implies there is likely underlying mean-reversion within half year during the research period.
Finally, exploiting the change in margin purchase value as proxy of investor sentiment, we found the past 4-week returns volatility is inversely related with the indicator. That is, investors are scared on facing with high returns volatility.
ACKNOWLDEGEMENTS VI
TABLE OF CONTENTS VII
ABSTRACT XII
CHAPTER 1 INTRODUCTION 1
1.1 BEHAVIORAL FINANCE 2
1.2 WHAT IS INVESTOR SENTIMENT ? 3
1.3 RESEARCH FLOW CHART 5
CHAPTER 2 LITERATURE REVIEW 6
2.1 INVESTMENT BEHAVIOR RELATED WORKS 6
2.2 DISPOSITION EFFECT 13
2.3 INVESTOR SENTIMENT INDEX 15
CHAPTER 3 RESEARCH METHODOLOGY 17
3.1 THE HYPOTHESES 17
3.2 THE RESEARCH PERIOD, SUBJECTS AND SOURCES OF DATA 18
3.3 THE RESEARCH DESIGN 21
3.4 DATA PROCESSING 25
CHAPTER 4 DATA AND DESCRIPTIVE STATISTICS 27
4.1 THE DATA 27
4.2 DESCRIPTIVE STATISTICS 29
CHAPTER 5 RESULTS AND DISCUSSIONS 33
5.1 RESULTS ON TEST OF DISPOSITION EFFECT 33
5.2 RETURNS AND INVESTOR SENTIMENT INDICATORS 38
5.3 EFFECT OF RETURNS VOLATILITY 44
CHAPTER 6 CONCLUSIONS AND SUGGESTIONS 46
6.1 CONCLUSIONS 46
6.2 SUGGESTIONS 47
REFERENCES 48
APPENDIX 52
*Papers written in English
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Charles M.C. Lee, Andrei Shleifer and Richard H. Thaler. 1991. "Investor sentiment and the closed-end fund puzzle." The Journal of Finance,vol.XLVI, no.1 (March) : 75-109
Daniel Kahneman and Amos Tversky. 1979. "Prospect Theory: An analysis of decision under risk." Econometrica,vol.47, no.2 (March) : 263-291
Edwin J. Elton, Martin J. Gruber and Jeffrey A. Busse. 1998. "Do investors care about sentiment?" Journal of Business, vol 71, no. 4 : 477-500
Eugene F. Fama and Kenneth R. French. 1993. "Common risk factors in the returns on stocks and bonds." Journal of Financial Economics 33 : 3-56 North-Holland
Eugene F. Fama. 1998. "Market efficiency, long-term returns, and behavioral finance." Journal of Financial Economics 49 : 283-306
Greggory A. Brauer. 1988. "Closed-end fund shares'' abnormal returns and the information content of discounts and premiums." The Journal of Finance, vol.XLIII, no.1 (March) : 113-127
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Hersh Shefrin and Meir Statman. 1985. "The disposition to sell winners too early and ride losers too long: theory and evidence." The Journal of Finance, vol.XL, no.3 (July) : 777-792
Hersh Shefrin and Meir Statman. 2000. "Behavioral portfolio theory." Journal of Financial and Quantitative Analysis, vol.35, no.2 (June) : 127-151
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Jeffrey F. Jaffe and James M. Mahoney. 1999. "The performance of investment newsletters." Journal of Financial Economics 53 : 289-307
Kenneth L. Fisher and Meir Statman. 2000. "Investor sentiment and stock returns." Financial Analysts Journal (March/April) : 16-36
Kenneth L. Fisher and Meir Statman. 2000. "Cognitive biases in market forecasts." The Journal of Portfolio Management (Fall) : 72-81
Kenneth L. Fisher and Meir Statman. 1999. "A behavioral framework for time diversification." Financial Analysts Journal (May/June) : 88-97
Martin Weber and Colin F. Camerer. 1998. "The disposition effect in securities trading: an experimental analysis." Journal of Economic Behavior & Organization, vol.33 : 167-184
Meir Statman. 1999. "Behaviorial finance: Past battles and future engagements." Financial Analysts Journal, (November/December) : 18-27
Michael E. Solt, Meir Statman. 1988. "How useful is the sentiment index?" Financial Analysts Journal (September/October) : 45-55
Nai-Fu Chen, Raymond Kan and Merton H. Miller. 1993. "Are the discounts on closed-end funds a sentiment index?" The Journal of Finance ,vol.XLVIII, no.2 (June) : 795-800
Navin Chopra, Charles M.C. Lee, Andrei Shleifer and Richard H. Thaler. 1993. "Yes, discounts on closed-end funds are a sentiment index." The Journal of Finance ,vol.XLVIII, no.2 (Jun) : 801-810
Nicholas Barberis, Andrei Shleifer and Robert Vishny. 1998. "A model of investor sentiment." Journal of Financial Economics, 49 : 307-343
Richard H. Thaler. 1999. "The end of behavioral finance." Financial Analysts Journal (November/December) : 12-17
Robert Neal and Simon M. Wheatley. 1998. "Do measures of investor sentiment predict returns?" Journal of Financial and Quantitative Analysis, vol.33, no.4 (December) : 523-547
Roger G. Clarke and Meir Statman. 1998. "Bullish or bearish?" Financial Analysts Journal, (May/June) : 63-72
Shlomo Benartzi and Richard H. Thaler. 1999. "Risk aversion or myopia? Choices in repeated gambles and retirement investments." Management Science, vol.45, no.3 (March) : 364-381
Shlomo Benartzi and Richard H. Thaler. 1995. "Myopic loss aversion and the equity premium puzzle." The Quarterly Journal of Economics (February) : 73-92
Stephen P. Ferris, Robert A. Haugen and Anil K. Makhija. 1988. "Predicting contemporary volume with historic volume at differential price levels: evidence supporting the disposition effect." The Journal of Finance, vol.XLIII, no.3 (July) : 677-699
Terrance Odean. 1998. "Are investors reluctant to realize their losses?" The Journal of Finance (October) : 1775-1798
Thomas Russell and Richard Thaler. 1985. "The relevance of quasi rationality in competitive markets." The American Economic Review, vol.75, no.5 (December) : 1071-1082
Urbi A. Garay. 2000. "Essays on closed-end country funds and investment trusts." PhD Thesis, Isenberg School of Management (February).
Werner F.M. and De Bondt. 1993. "Betting on trends: intuitive forecasts of financial risk and return." International Journal of Forecasting 9 : 355-371
Xia Zhong-Jian. 1996. "What causes closed-end fund discounts?" PhD Thesis, Rutgers the State University of New Jersey-New Brunswick.
*Papers written in Chinese
Eric, Sha. 2000. "Are They Both Reluctant to Realize Their Losses? - Comparing Individual Investors with QFII in Taiwan Stock Exchange." Master Degree Thesis, Department of International Business, Ming Chuan University.
Huang, Ya-Lan. 1994. "The Relationship between Individual Investor Sentiment and Discounts on Closed-end Funds in Taiwan." Master Degree Thesis, The Department and Graduate Institute of Finance, National Taiwan University.
Lin, Chia-Chang. 1999. "The Study of Affecting Discount (or Premium) Behaviors and Factors for the New Transformation Rule of the Closed-end Funds." Master Degree Thesis, The Department and Graduate Institute of Finance, National Taiwan University.
Su, Chueh-Ling. 2000. "Influence of Individual and Institutional Investors'' Investment Behaviors on Stock Return and Turnover Ratios - An Empirical Research on Electrical Stocks in TSE." Master Degree Thesis, The Department and Graduate Institute of Finance, National Taiwan University.
Yeh, Shun-Chi. 1994. "The Discounts and Premiums of Closed-End Funds in the Taiwan Stock Exchange." Master Degree Thesis, Department of Business Management, National Sun Yat-Sen University.
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