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研究生:鄭如君
研究生(外文):Ju-Chun Cheng
論文名稱:投資人情緒對於處置行為之影響
論文名稱(外文):The Impacts of Investment Sentiment on Disposition Patterns
指導教授:郭敏華郭敏華引用關係
指導教授(外文):Min-Hua Kuo
學位類別:碩士
校院名稱:世新大學
系所名稱:財務金融學研究所(含碩專班)
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:111
中文關鍵詞:處置效應傾向投資人情緒多項式羅吉斯迴歸
外文關鍵詞:Disposition effectInvstor sentimentMultinomial Logistic
相關次數:
  • 被引用被引用:17
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  • 下載下載:233
  • 收藏至我的研究室書目清單書目收藏:2
本研究旨在探討投資人情緒對於處置行為的影響,探討議題包含1.投資人情緒是否顯著影響處置效應傾向;2.處置行為類型不同的投資人,其樂觀情緒是否存有差異;3.各類型投資人的情緒是否因股市的漲跌而有不同。
經實證發現,投資人情緒對於處置效應傾向有顯著負向影響,即投資人情緒越悲觀處置效應傾向越高,而且在個人面向上的樂觀情緒對於處置傾向的影響程度更大於經濟情景面向的樂觀情緒。若將投資人按處置行為區分為出盈保虧型、汰弱留強型、損益對稱型與鴕鳥型等四類,可發現投資人情緒與處置類型存在高度相關,如以損益對稱型為比較基準,出盈保虧型與鴕鳥型者之樂觀情緒顯得較為悲觀,而汰弱留強型則較為樂觀。此外,股市上漲時各類型投資人的樂觀情緒皆比股市下跌時期更為樂觀,其中汰弱留強型投資人之樂觀情緒與其他類型者有顯著差異,而出盈保虧型與下跌不賣型投資者之樂觀情緒皆無差異,漲跌皆然。
This study discusses impacts of investor sentiment on disposition behavior. According to empirical result, investor’s optimistic sentiment is negatively related with the disposition effect, in other word, if an investor is more optimistic, he/she demonstrates than disposition effect. Based on the inclination of disposition effect, we find four difference disposition behavior patters: the traditional disposition effect, disposition inverse effect, symmetrical disposition and ostrich disposition, investor sentiment and disposition patterns exist high correlation. For example, investors of traditional disposition effect and ostrich disposition investors are more pessimistic than symmetrical disposition investors, and investors of disposition inverse effect are more optimistic than symmetrical dispostition. In additional, investors of difference disposition behavior patterns are more optimistic in bull market than in bear market. Among them, investors of disposition invese effect optimism and other types investors are significant difference, and investors of traditional disposition effect and ostrich disposition investors optimism are no difference alike change.
第一章 緒論 .............................................................................................. 1
第一節 研究動機與目的 .................................................................... 1
第二節 研究架構 ................................................................................ 3
第二章 文獻回顧 ...................................................................................... 5
第一節 處置效應 ................................................................................ 5
第二節 處置效應之衡量 .................................................................... 8
第三節 投資人情緒 .......................................................................... 10
第三章 研究設計與研究方法 ................................................................ 13
第一節 研究假說 .............................................................................. 13
第二節 研究設計與分析方法 .......................................................... 16
第四章 實證分析 .................................................................................... 23
第一節 樣本結構分析 ...................................................................... 23
第二節 情緒問項與處置行為之關係 ............................................... 33
第三節 迴歸分析 .............................................................................. 41
第五章 結論 ............................................................................................ 59
參考文獻 ................................................................................................. 60
附圖 ......................................................................................................... 63
附表 ......................................................................................................... 67
國內文獻
1. 郭敏華,2008,《行為財務學—當財務學遇上心理學》,智勝文化,ISBN 978-957-729-682-5
2. 周賓凰、張�異荂B林美珍,2000,「投資人情緒與股票報酬互動關係」,證券市場發展季刊,19,153-190。
3. 郭敏華、邱耀初、郭迺鋒、周鉦凱,2004,「出盈保虧很普遍嗎?台灣投資人風險傾向之研究」,第八屆財金理論與實務研討會,朝陽大學財務金融學系主辦,2004年12月10日。
4. 郭敏華、李謙,2005,「陽光影響情緒?台灣股票市場為例」,《台灣財務金融季刊》,第六輯第二期。
5. 許光華、林秉瑋,2005, 「散戶投資人處分效果之研究-考量公司市場價值下之實證結果」,《管理評論》,第22卷第1期,85-107。
6. 黃劍鈺,2006,「台灣股市投資人處分效果之探討—考量資訊揭露、股票風險與投資人情緒之實證研究」,國立台灣科技大學財務金融所碩士論文。
7. 黃致倫,2007,「投資人情緒與投資行為偏誤之研究」,國立台北大學企業管理學系博士論文。
國外文獻
1. Baker, Malcolm and Jeremy C. Stein, 2004, ‘Market Liquidity As a Sentiment Indictor’, Journal of Financial Markets, 7(3), 271-299.
2. Brown, Gregory W. and Michael T. Cliff, 2004, ‘Investor Sentiment and the Near-Term Stock Market, Journal of EmPSrical Finance, 11(1), 1-27.
3. Caroline L. Freund and Diana Weinhold, 2004, ‘The Effect of the Internet on International Trade’, Journal of International Economics, 62, 171-189.
61
4. Coval, Joshua D. and Tyler Shumway, 2005, ‘Do Behavior Biases Affect Prices?’, The Journal of Finance, 60(1), 1-34.
5. DeLong, J. Bradford and Andrei Shleifer, 1990, ‘The stock market bubble of 1929:Evidence from closed-end funds’, Journal of Economic History, 52, 675-700.
6. Fisher, Kenneth L. and Meir Statman, 2000, ‘Investor sentiment and stock return’, financial analysts Journal, 56(2), 16-23.
7. Frazzini, Andrea, 2006, ‘The disposition effect and underreaction to news’, Journal of Finance, 61, 2017-2046.
8. HirshlESfer, David and Tyler Shumway, 2003, ‘Good day sunshine: Stock returns and the weather’, The Journal of Finance, 58(3), 1009-1032.
9. Kahneman, Denial, and Amos Tversky, 1973, ‘On the psychology of perdiction’, Psychological Review, 80, 237-51.
10. Lakonishok,Josef, and Seymour Smidt, 1986, ‘Volume for Winners and Losers: Taxation and Other Motive for Stock Trading’, The Journal of Finance, 41, 951-974.
11. Lee, Wayne Y., Christine X. Jiang and Daniel C. Indro, 2002, ‘Stock market volatility, excess returns, and the role of investor sentiment’, Journal of Banking and Finance, 26, 2277-2299.
12. Muermann, Alexander and Volkman, Jacqueline M. Wise, 2006, ‘Regret, Pride, and the Disposition Effect’, Working Paper.
13. Odean, Terrance , 1998, ‘Are Investors Reluctant to Realize Their Losses?’ Journal of Finance, 53, 1775-1798.
14. Ritter Jay R.,1991, ‘The Long- Run Performance of Initial Public Offerings’, Journal of Finance, 46(1), 3-27.
15. Shefrin, Hersh and Meir statman, 1985, ‘The disposition to sell winners too early and ride losers too long: Theory and evidence’, Journal of Finance, 40(3), 777-90.
16. Shiller, Robert J., 1998, ‘Human Behavior and the Efficiency of the Financial System’, Handbook of Macroeconomics.
17. Solt, Michael E. and MESr Statman, 1988, ‘How Useful Is the Sentiment Index?’, Financial Analysis Journal, 44, 45-55.
18. Weber, Martin, and Coline F. Camerer, 1998, ‘The Disposition Effect in Securities Ttrading: An Experiment Analysis’, Journal of Economic Behavior and Organization, 33, 167-184.
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