臺灣博碩士論文加值系統

行為財務學（Behavioral finance）在Kahneman & Tversky（1979）提出展望理論（Prospect Theory）後，開始受到學者的重視，並且深入探討影響投資人決策的心理效果，演變至今已有學者嘗試分析不同心理效果間是否存在交互作用；有鑑於國內對這方面研究較為不足，因此希望藉由探討過度自信（Overconfidence）與處分效果（Disposition Effect）間的因果關係，提供後續研究者一個值得深思的方向。

本研究參考蔡坤興（民95）、林秉瑋（民92）修改Weber & Camarer（1998）所提之處分係數而得的過度自信係數以及處分係數作為衡量過度自信以及處分效果的依據。研究發現台灣散戶投資人不論在整個資料期間、多頭時期甚至空頭時期，都普遍存在過度自信與處分效果，而且由Granger因果關係檢定得知，僅存在過度自信因果影響處分效果，而沒有逆向關係；進一步驗證發現，在多頭時期、空頭時期以及整個資料期間，過度自信與處分效果均呈現顯著的正向關係，表示當投資人增強本身的過度自信時，通常會導致處分效果的行為更加強烈，值得注意的是，由Granger因果關係檢定中發現，多頭時期的過度自信與處分效果的因果關係隨著資料落後的期數增加，此因果關係的顯著程度會下降，而在空頭時期的過度自信與處分效果的因果關係最多僅能勉強維持至落後兩期，當落後期數超過三期，結果便不顯著。

　　由結果顯示，投資人在整體資料期間、空頭時期以及多頭時期皆存在過度自信會影響處分效果的情形，表示投資人會因為投資上的獲利而對本身的能力乃至於所握有的私有資訊產生高估的現象，進而為了延續這份自信，會選擇將獲利的股票儘早出脫，以證明獲利來自於本身能力，但是對於虧損的部分則不情願實現，以避免承認自己的判斷錯誤。

Since Kahneman and Tversky (1979) proposed Prospect Theory, behavioral finance drew more attention and the researchers that started discussing the mental effects on investment decisions. From then on, several studies tried to prove the inter-relationship between mental effects. Due to the rarely work on this issue, we intend to analyze the causality between overconfidence and disposition effect and provide some directions for future research.
In this study, the method of the overconfidence coefficient and disposition coefficient to measure the level of overconfidence and disposition effect is based on Tsai (2006) and Lin (2003) who modified the disposition coefficient from Weber and Camerer (1998). We find out that individual investors at Taiwan stock market are overconfident and have the tendency to sell the winners too soon and hold the losers reluctantly. From the test of Granger causality, however, we only support that overconfidence will Granger cause disposition effect. In addition, overconfidence has a significant positive relationship with disposition effect during the whole periods, the bear-market period and the bull-market period. It means that when individual investors are overconfident, it will cause stronger disposition effect. Note that the level of significance of causality decreases with lag periods during the bull-market period, and the causality is the most significant at lag two periods during the bear-market period.
The results also show that individual investors are so overconfident that inducing the phenomenon of disposition effect during the whole periods, the bear-market period and the bull-market period. That means individual investors will overestimate their own capabilities and the private information they hold due to previous gains. In order to maintain the confidence, individual investors will choose to sell the profitable stocks as soon as possible to prove the gains coming from their own capabilities. They also hold the losing ones reluctantly to avoid admitting the biased judgements they made.

第一章 緒論................................................................................................................. 1
第一節 研究背景.................................................................................................1
第二節 研究動機……….....................................................................................1
第三節 研究目的.................................................................................................2
第二章 文獻探討......................................................................................................... 4
第一節 展望理論…………………………………….........................................4
第二節 過度自信……………….........................................................................7
第三節 處分效果………….................................................................................9
第四節 過度自信與處分效果的關聯…………………………………...........13
第三章 研究方法....................................................................................................... 15
第一節 樣本選取與資料來源...........................................................................15
第二節 研究流程...............................................................................................17
第三節 研究方法...............................................................................................18
第四節 研究假說...............................................................................................24
第四章 實證結果與分析............................................................................................26
第一節 整體散戶投資人融資買賣數量敘述性統計.......................................26
第二節 整體散戶投資人過度自信及處分效果之檢定…...............................26
第三節 整體散戶投資人單根檢定及Granger因果關係檢定.........................28
第四節 整體散戶投資人簡單迴歸分析………………………………...........29
第五節 多、空頭時期散戶投資人融資買賣數量敘述性統計.......................30
第六節 多、空頭時期散戶投資人過度自信及處分效果之檢定以及差異性
檢定…………………………………………………….......................31
第七節 多、空頭時期散戶投資人單根檢定及Granger因果關係檢定.........36
第八節 多、空頭時期散戶投資人簡單迴歸分析……………………….......40
第九節 實證結果彙整………………………….……………………….........41
第五章 結論與未來建議........................................................................................... 44
第一節 研究結論...............................................................................................44
第二節 研究限制與未來建議...........................................................................45
參考文獻......................................................................................................................47

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