臺灣博碩士論文加值系統

本研究利用證券公司提供在2004年1月到2005年10月間的交易資料，選取了48,000個投資人帳戶，針對投資人屬性及交易行為對其異常報酬的影響作探討。

根據實證研究結果顯示，在投資行為分析上，女性處分效果的投資行為較男性嚴重，散戶傾向持有輸家組合的比例較機構投資人高出釵h，而在經驗效應的投資行為分析中，以散戶較為顯著，而在性別區分上，女性相較於男性較易有經驗效應的投資現象發生。

針對散戶投資人研究時，我們發現：
1. 處分效果的投資行為，對異常報酬有顯著的正相關
2. 經驗效應的投資效果，對異常報酬有明顯的負相關

Using account data for over 48,000 households from a large securities firm, we analyze the common stock investments of men, women, Individual Investors and institutional Investors from February 2004 through October 2005. We investigate that the relationship between abnormal return and investors’ behavior:

As the result, female individuals are tended to have Disposition Effect. The disposition effect for individual investors is more serious than that for institutional Investor. We found that individual investors and female investors are more likely to repurchase a stock that they previously sold for a gain than they are to repurchase a stock that they previously sold at a loss.

When we take individual investors as the research target, the relationship between abnormal return and investors’ behavior:
1. Disposition effect has positive relationship with abnormal return
2. Experience effect has negative relationship with abnormal return.

摘要 I
ABSTRACT II
目錄 III
圖目錄 IV
表目錄 V
第壹章　緒 論 1
1.1研究背景與動機 1
1.2研究目的 3
1.3研究貢獻 4
第貳章　文獻探討 5
2.1展望理論(Prospect theory) 5
2.2投資人行為偏誤種類 8
2.2.1代表性偏誤(Representativeness heuristic) 9
2.2.2易獲得性偏誤 (Availability heuristic) 10
2.2.3經驗效應(Experience effect) 10
2.2.4錨定與調整(Anchoring and adjustment) 11
2.2.5過度自信(Overconfidence) 13
2.2.5.1過度自信與交易頻繁 15
2.2.5.2過度自信與獲利能力 17
2.3文獻之比較 19
第參章　研究方法與設計 23
3.1資料來源 24
3.2研究期間與樣本選取標準 24
3.2資料處理與變數衡量 26
第肆章　實證結果與分析 35
4.1交易樣本敘述統計量 35
4.2各類投資人之處份效果行為 36
4.3各類投資人之經驗效應行為 37
4.4各類投資人屬性對績效之影響 38
4.5各類投資人交易行為對績效之影響 40
第伍章結論與建議 43
5.1研究結論 43
5.2研究限制 44
5.3研究建議 45
參考文獻 46

圖目錄

圖2-1 展望理論 6
圖3-1 觀念架構 23


表目錄

表2-1　文獻比較 19
表3-1資料來源整埋 24
表3-2樣本涵輕褻?24
表4-1投資人資料基本統計量 36
表4-2各類投資人之處份效果行為 37
表4-3各類投資人之經驗效應行為 38
表4-4散戶屬性對績效之影響 39
表4-5機構投資人屬性對績效之影響 40
表4-6投資人屬性對績效之影響 40
表4-7散戶交易行為對績效之影響 41
表4-8機構投資人交易行為對績效之影響 42
表4-9投資人交易行為對績效之影響 42

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