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研究生:呂雅貞
研究生(外文):Lu, Ya-Chen
論文名稱:個人投資者歷經極端利得/損失對其後續處份效過之影響
論文名稱(外文):The Impact of the Extent and Sequence of Experienced Extreme Gain/Loss on Individual Following Disposition Effect
指導教授:許培基許培基引用關係
指導教授(外文):Shu, Pei-Gi
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:2009
畢業學年度:97
語文別:中文
論文頁數:45
中文關鍵詞:處置效果私房錢效果後悔恐懼極端報酬
外文關鍵詞:disposition effecthouse money effectfear of regretextremeness
相關次數:
  • 被引用被引用:1
  • 點閱點閱:174
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本研究主要探討在台灣股票市場中,投資者歷經極端報酬其後續出售行為之變化。本文藉由Odean(1998)以出售獲利比率與出售損失比率,探討投資者歷經極端報酬的後續出售行為、處置效果變化。本研究藉由處置效果(Disposition Effect)、私房錢效果(House Money Effect)、後悔恐懼(Fear of Regret)來探究投資者歷經極端報酬前後的變化。研究結果顯示:投資者歷經極端實現利得,其後續出售利得傾向降低,符合私房錢效果;歷經極端實現損失,其後續出售損失傾向降低,符合私房錢效果;歷經極端帳上利得,其後續出售利得傾向增加,符合後悔恐懼。
另外,本研究發現投資者的出售行為會受投資者先前發生的極端實現利得(損失)與極端帳上利得(損失)的順序所影響:若先歷經極端實現利得,則後續出售利得傾向下降;若先歷經極端實現損失,則後續出售損失傾向下降。
最後,本研究發現投資者歷經極端實現利得會導致後續出售利得傾向降低,但此現象會隨著正報酬的值越大,出售利得傾向反而有可能會上升;歷經極端實現損失導致後續出售損失傾向降低,此現象並不會隨著負報酬的值越大而對其後續實現損失傾向有不同程度的變化。
This research is to investigate the influence of prior extreme gain (loss) experience on individual investors’ subsequent transactions. This study applies disposition effect, house money effect, and fear of regret to explore what’s effect on individual investors when they face extreme gain (loss). In general, individual investors decrease their proportion of gains realized after they had experienced extreme realized gain on their investment portfolio consistent with house money effect. Individual investors decrease their proportion of losses realized after they had experienced extreme realized loss on their investment portfolio consistent with house money effect. Individual investors increase their proportion of gains realized after they had experienced extreme paper gain on their investment portfolio consistent with fear of regret.
In addition, when examining investors’ selling behavior, our finding indicates that the order of extreme realized gain (loss) and extreme paper gain (loss) affects investors to some extent. If investors experienced extreme realized gain first, then decrease their proportion of gains realized. If investors experienced extreme realized loss first, then decrease their proportion of losses realized.
Finally, the research finds that investors experienced extreme realized gain will decrease their proportion of gains realized. This phenomenon will become smaller when extreme realized gain increase. Investors experienced extreme realized loss will decrease their proportion of losses realized. This phenomenon have no effect when extreme loss increase.
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究流程 4
第貳章 文獻探討 5
第一節 展望理論(prospect theory) 5
第二節 處置效果(disposition effect) 7
第三節 私房錢效應 8
第四節 其他相關文獻 10
第參章 資料與研究方法 11
第一節 研究期間與資料來源 11
第二節 研究方法 11
第三節 研究設計 15
第四節 研究假說 16
第肆章 實證研究 19
第一節 全部樣本基本敘述統計 19
第二節 極端報酬對處置效果的影響 21
第三節 極端實現利得與極端帳上利得之比較 27
第四節 強韌性檢定(robustness test) 30
第五節 加入投資者屬性探討處置效果之變化 31
第五章 研究討論與建議 34
第一節 研究結論 34
第二節 研究建議 35
參考文獻 37
附錄 39
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3. Chuan-Yang, H. & George, T. J. (2004). The 52-week high and momentum investing. Journal of Finance, 59(5), 2145-2176.
4. Dhar, R. and N. Zhu, 2002, Up Close and Personal: An Individual Level Analysis of the Disposition Effect, Yale ICF Working Paper No. 02-20.
5. Feng, L., and M.S. Seasholes, 2005, Do Investor Sophistication and Trading Experience Eliminate Behavioral Biases in Financial Markets? Review of Finance, 2005 9: pp. 305-351.
6. Kahneman, D., and Tversky, A., 1979. Prospect Theory: An Analysis of Decision Under Risk, Econometrica 47, pp. 263-291
7. Karlsson, N. Loewenstein, G. and Seppi, D. (2005). The ostrich effect: Selective attention to information, Journal of Risk and Uncertainty, 31(3), 301–325.
8. Lakonishok, J. & Smit, S. (1986). Volume for winners and losers: Taxation and other motives for stock trading. Journal of Finance, 41(4), 951-974.
9. Lim, S., 2005. Do investors integrate losses and segregate gain? Mental accounting and investor trading decisions. Journal of Business 13, 409-431.
10. Odean, T. (1998). Are investors reluctant to realize their losses? Journal of Finance, 53(5), 1775-1798.
11. Sherfrin, H. & Statman, M. (1985). The disposition to sell winners too early and ride losers too long: Theory and evidence. Journal of Finance, 40(3), 777-790.
12. Seru, A., T. Shumway, and N. Stoffman, Learning by Trading(2007), Working Paper.
13. Shu, P.G., Y.H. Yeh, S.B. Chiu, and H.C. Chen, March (2005), Are Taiwanese Individual Investors Reluctant to Realize Their Losses?, Pacific-Basin Finance Journal(FLI), Vol. 13, No.2, pp. 201-223.
14. Thaler, R. H. (1980). Toward a positive theory of consumer choice, Journal of Economic Behavior and Organization 1.39-60.
15. Thaler, R., and E. J. Johnson (1990).Gambling with the house money and trying to break even: The effects of prior outcomes on risky choice, Management Science 36,643-660.
16. Weber, Martin, and Zuchel, Heiko (2005).How Do Prior Outcomes Affect Risk Attitude? Comparing Escalation of Commitment and the House-Money Effect, Decision Analysis 2(1), pp. 30–43.
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