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研究生:李香瑩
研究生(外文):Hsiang-Ying Lee
論文名稱:散戶交易行為與投資績效
論文名稱(外文):Understanding Individual Investors: Trading and Performance in Common Stock Investment
指導教授:陳軒基陳軒基引用關係李宗培李宗培引用關係
指導教授(外文):Hsuan-Chi ChenTsung-Pei Lee
學位類別:碩士
校院名稱:輔仁大學
系所名稱:金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:68
中文關鍵詞:散戶交易行為投資績效行為財務股票報酬
外文關鍵詞:Individual InvestorsTrading BehaviorInvestment PerformanceBehavioral FinanceStock Returms
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本研究以國內某券商提供民國八十七年一月至民國九十年九月共52,649個帳戶交易普通股的記錄為研究對象,探討台灣證券市場散戶的交易行為以及投資績效。資料顯示樣本期間平均家計單位的毛報酬以及淨報酬與大盤的走勢幾乎成一致的脈動,與大盤表現沒有太大的不同。
由資料中我們得知投資人傾向握有高市場風險(市場β值均顯著大於1)以及成長型的股票(HML係數均顯著為負),公司規模大小則非投資人在挑選股票時的主要考量因素(SMB係數均不顯著)。
研究結果顯示,若依投資的交易頻率分成五群,不頻繁交易的投資人表現最好,最頻繁交易的投資人次之。周轉率最低的投資人屬於『Holding Trading』的交易策略,不隨便交易,節省頻繁買賣所必須支出的大量交易成本。而周轉率最高的投資人其優異表現可能是來自於這群投資人相較於其他人掌握了更多有用的資訊而做出正確的交易判斷,或者是即使面對相同雜亂的訊息有較佳的能力或專業去蕪存菁,留下有用的資訊,使得他們在承擔大量的交易成本後,績效表現仍比中間群組為佳。
The thesis investigates trading and performance in common stock investment of individual investors of 52,649 accounts from January 1998 to September 2001. The average household earns a monthly return of —0.740%, tilts its common stock investment toward high-beta, growth stocks. The scale of the company is not the main factor when they select the stocks. We find that low turnover (quintile1) investors perform the best, the next are the high turnover (quintile5) investors. The high turnover investors may result from they hold more useful information and they are able to make a correct judgment. They even have better professional capability to make the best selection.
中文摘要
Abstract
目錄…………………………………………………………………….I
表次……………………………………………………………………II
圖次…………………………………………………………………..III
第壹章、緒論..………………………………………………………..1
第一節、 研究背景…………………………………………………1
第二節、 研究動機與目的………………………………………..2
第三節、 研究範圍與架構………………………………………..3
第貳章、文獻探討…..……………………………………………….5
第一節、 過度自信假說相關文獻……………………………….5
第二節、 錯置效果相關文獻……………………………………13
第三節、 行為財務學相關文獻…………………………………18
第參章、研究方法…………………………………………………..21
第一節、 資料來源……………………………………………….21
第二節、 研究方法……………………………………………….21
第肆章、實証結果………………………………………………….29
第一節、 交易樣本敘述統計量…………………………………29
第二節、 風險調整後之異常報酬績效…………………………31
第伍章、結論與建議…………………………………………….…60
第一節、 結論…………………………………………………….60
第二節、 研究限制……………………………………………….62
第三節、 建議………………………………….…………….….63
參考文獻……………...………………………………………………64
(一)中文文獻
1. 周賓凰、池祥萱、周冠男、鞏怡霖,民國90年,”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。
2. 夏清田,民國90年,” 台灣證券交易所投資人交易行為與股票報酬關係之研究”,國立政治大學企業管理研究所未出版碩士論文。
(二)英文文獻
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