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研究生:張遲
研究生(外文):Chih Chang
論文名稱:私房錢與後悔效應對個人投資者重購行為之影響
論文名稱(外文):The effect of house money and sense of regret on individual repurchase
指導教授:許培基許培基引用關係
指導教授(外文):Pei-Gi Shu
學位類別:碩士
校院名稱:輔仁大學
系所名稱:管理學研究所
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
畢業學年度:97
語文別:英文
論文頁數:53
中文關鍵詞:私房錢效果虛像無為重購
外文關鍵詞:house money effectcounterfactualinaction inertiarepurchase
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電影「崖上風雲」中,泰瑞(馬龍白蘭度飾)因時運不濟而成了流浪漢,在與哥哥的對話中,一語道盡悔不當初之心情,當初他有機會成為世界拳擊冠軍,如今卻變得一無所有。金融市場的投資人會尋找過去曾讓自己獲利之投資組合或股票,而去避開曾讓自己蒙受損失之股票;Barber, Odean, 與Strahilevitz (2004) 認為人們在決定賣出股票前,心中會設想兩種虛像 (counterfactual),其一為不賣出,其二為賣出之後再用較低之價格買進,若賣出之後價格持續上揚,則投資人心中會產生後悔,因而降低下一次重購該股票之可能性;此外人們在決定重購之前,是否會在意重購發生前幾天之股價走勢? 若股價持續上揚,投資人可能會懊惱為何不早一點買進,進而產生無為(inaction inertia)之行為。
本研究利用來自台灣知名證券商之個人投資者資料,並觀察其賣出利得/損失、賣出股票到重購股票的價格波動,以及重購前數天之股價走勢等因素對台灣個人投資者重購傾向之影響。
本研究結果顯示,個人投資者會重購之前讓自己獲利之股票,且若價格在賣出股票後持續上揚,投資人會更樂意重購該股票,顯示動能效果較可能影響投資人重購;而重購前數天之股價若呈上揚態勢,會降低投資人之重購傾向。
最後本研究亦將投資人屬性納入分析,發現不同之年齡層、開戶期間長短、線上交易與否、融資融券與否等屬性差異也會對重購傾向產生影響。
Using a dataset provided by a brokerage company in Taiwan, we find that individual investors prefer to repurchase stocks that they previously sold for a gain rather than sold for a loss. However, the counterfactual argument proposed by Barber, Odean, & Strahilevitz (2004) received contrary results: investors prefer to repurchase the price-appreciating stock rather than price-depreciating stock. Furthermore, individual investors might keep their eyes on the price pattern before repurchasing. If the pre-repurchasing price pattern has been trending up, they would delay their follow-on action of repurchasing stocks they sold previously so as to avoid an anticipated regret. In addition, we take a close look at individual characteristics on repurchasing inclination. The results show male investors have a higher inclination of repurchasing the stock with the upward ex-post price pattern and with the higher repurchasing price than the price of the prior sale; online traders are more likely to repurchase the stock that has gone up than the traditional traders. Finally, inexperienced investors would repurchase a stock with upward ex-post price pattern. And the experienced investors have a higher inclination to repurchase at a higher price than the prior sale.
List of contents
Chapter 1 Introduction 1
Chapter 2 Hypothesis development 6
Chapter 3 Data and methods 9
3.1 The data 9
3.2 Measuring repurchasing inclination 11
Chapter 4 Empirical Results 16
4.1 House money effect, counterfactual effect, and the inclination of repurchasing 16
4.2 The counterfactual effect, repurchasing return, and the inclination of repurchasing 17
4.3 The inaction inertia, counterfactual effect, and the inclination of repurchasing 19
4.4 The thresholds of realized return, repurchasing return, or pre-repurchase return on the inclination of repurchasing 21
4.5 The joint effect of house money, counterfactual, and inaction inertia on the inclination of repurchasing 22
4.6 House money, counterfactual, inaction inertia, and investor attributes on inclination of repurchasing 26
Chapter 5 Concluding remarks 31
Reference 33
Appendix I 37
Appendix II 40
Appendix III 42
Appendix IV 44
Appendix V 46
Appendix VI 48
Appendix VII 50
Appendix VIII 52
List of tables
Table 3-1-1 Summary statistics 10
Table 4-1-1 House money effect and the inclination of repurchasing 16
Table 4-2-1 Counterfactual effect, repurchasing return, and the inclination
of repurchasing 18
Table 4-3-1 Pre-repurchasing return (2 days before repurchasing) and the inclination of repurchasing 20
Table 4-4-1 The thresholds of realized return, repurchasing return or pre-repurchasing return 22
Table 4-5-1 House money effect, the counterfactual effect, and the inaction inertia(Panel A) 24
Table 4-5-2 House money effect, the counterfactual effect, and the inaction inertia(Panel B) 25
Table 4-6-1 House money, counterfactual, repurchasing return, inaction inertia, and investor attributes 27
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