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研究生:陳威儒
研究生(外文):Wei-Ju Chen
論文名稱:投資人行為研究分析
論文名稱(外文):A Study of the Investors’ Behavior
指導教授:吳斯偉吳斯偉引用關係
指導教授(外文):Shih-Wei Wu
口試委員:郭大維張守為駱武昌
口試委員(外文):Wu-Chang Luo
口試日期:2012-06-11
學位類別:碩士
校院名稱:國立臺北科技大學
系所名稱:經營管理系碩士班
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
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:61
中文關鍵詞:過度自信優於平均自我歸因熟悉效果
外文關鍵詞:Over-confidenceBetter than average effectSelf-attributionFamiliarity
相關次數:
  • 被引用被引用:3
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效率市場假說在過去二、三十年間被眾多學者不斷的挑戰,而行為財務學(Behavioral Finance)用來解釋金融市場中的異常現象,認為投資人在金融市場中不是完全理性。而過度自信(Over-confidence)是行為財務學用於解釋決策過程,及投資行為中最常見的觀念。
台灣股票市場與國外不同,主要交易者為個別投資人,本研究欲探討台灣股票市場投資人的行為,依據相關文獻與理論,本研究問題:台灣股票市場投資人是否存有過度自信。藉由問卷調查收集投資人決策時的相關資料,並運用統計檢定與多元迴歸模式進行實證分析後,來解釋投資人股票類型偏好、如何取得財金訊息,最後,探討投資人是否有優於平均、自我歸因、熟悉效果之過度自信行為。
本研究實證結果顯示,投資人投資在小型股為最多,推論原因為投資人偏好高風險高報酬的小型股。此外,投資人訊息來源,在公開訊息與私人訊息具有明顯差異,投資人對自己獲得的訊息來源有較高信心,普遍認為私人訊息比公開訊息要來的可信。過度自信行為分析,發現男性投資人均顯著比女性有過於自信的程度。年齡越大的投資人熟悉效果越明顯,專業人士、從事融資融券者與受過高等教育的投資人容易有過度自信產生,資產淨額越高者顯著有自我歸因行為。綜合以上結果得知,台灣股票市場投資人,確實存有過度自信傾向。


The empirical and theoretical evidence of the efficient market hypothesis(EMH) has been challenged in the past two decades. Behavioural finance has developed as an approach to try to explain financial market anomalies from the EMH. Behavioural finance starts from the premise that in the real world investors do not follow the rational assumptions which underlie the EMH. Over-confidence explains the decision-making process and investment behavior in the most common concepts from behavioural finance.
This study mainly investigates the behavioral factors of the Taiwan stock market investors. Based on scholar studies and other literature with regard to over-confidence, ask this study question: Taiwan stock market investors is whether there is overconfidence? This study, using a sample of Taiwan, investigates three over-confidence theories: Better than average effect, Self-attribution and the Familiarity. Our results support the previous studies which suggest that investors are overconfident.


摘要 I
ABSTRACT II
目錄 III
表目錄 V
圖目錄 VI
第一章緒論 1
1.1緒論 1
1.2研究動機與目的 3
1.3小結 3
1.4研究架構 5
第二章文獻回顧 6
2.1行為財務學之簡介 6
2.2過度自信(OVERCONFIDENCE) 9
2.3優於平均(BETTER THAN AVERAGE EFFECT) 15
2.4自我歸因偏誤(SELF-ATTRIBUTION BIAS) 15
2.5熟悉效果(FAMILIARITY) 16
2.6公開與私人資訊 17
2.7小結 18
第三章研究方法 19
3.1研究架構與假說 19
3.2問卷設計、變數定義 20
3.2.1 基本資料 21
3.2.2 過度自信 21
3.2.3 優於平均 21
3.2.4 自我歸因偏誤 22
3.2.5 熟悉效果 22
3.3樣本收集 23
3.3.1研究對象 23
3.4資料分析方法與工具 23
3.4.1 前測問卷 23
3.4.2 次數分配 24
3.4.3 問卷信度分析 24
3.4.4 問卷效度分析 25
3.4.5 成對樣本t檢定 27
3.4.6 迴歸分析 27
第四章實證分析與結果 30
第一節樣本分析 30
4.1敘述性統計分析 30
一、 受訪者股票類型偏好之分配 33
二、 公開與私人訊息來源分配 34
4.2公開與私人訊息來源之資料分析 40
4.3相關性統計分析 42
第二節實證結果 43
4.4多元迴歸統計分析 43
第三節實證結果之彙整 46
第五章 結論與建議 48
5.1研究結論 48
5.2後續研究與建議 50
參考文獻 51
一、英文部份 51
二、中文部份 56
三、書籍部份 57
附錄 59



一、英文部份
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Barber,B.M., & Odean, T.( 2001).Boys will be boys: gender, overconfidence, and common stock investment. Quarterly Journal of Economics, 116, 261–292.
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Benos, A.(1998).Aggressiveness and survival of overconfident traders. Journal of Financial Markets, 1, 353–383.
Ben-David,I., Graham,J.R., & Harvey,C.R. (2010).Managerial Miscalibration. Charles A. Dice Center Working Paper,.
Beyer, S. & Bowden, E. M. (1997). Gender Differences in Self-Perceptions: Convergent Evidence from Three Measures of Accuracy and Bias. Personality and Social Psychology Bulletin,23, 157-172.
Bhandari, G., & Deaves, R. (2006).The Demographics of Overconfidence. The Journal of Behavioral Finance, 7(1) , 5-11.
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Cooper, A. C., Woo, C. Y., & Dunkelberg, W. C. (1988).Entrepreneurs’ Perceived Chances for Success. Journal of Business Venturing, 3:2, 97–108.
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Daniel,K., Hirshleifer, D. & Subrahmanyam ,A. (1998).Investor psychology and security market under- and overreactions. Journal of Finance, 53, 1839–1885.
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De Bondt, W. F. M. (1998).A portrait of the individual investor. European Economic Review, 42, 831-844.
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Miller, T., & Ross, M. (1975). Self-serving biases in the attribution of causality: fact or fiction? Psychological Bulletin, 82, 213-225.
Nofsinger, J. R.(2001). The Impact of Public Information on Investors. Journal of Banking and Finance, 25 (7),1339-1366.
Odean, T. (1998a). Volume, volatility, price, and profit when all traders are above average. Journal of Finance, 53, 1887–1934.
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二、中文部份
周賓凰、池祥萱、周冠男、龔怡霖(2002)。行為財務學:文獻回顧與展望。證券市場發展季刊,14(2),1-48。
郭敏華、范秉航(2004)。台灣投資人性別與投資行為之研究,性別、媒體與文化研究學術研討會。
郭敏華、郭迺鋒、邱耀初、范秉航(2005)。性別與投資行為:以台灣股票市場為例。財務金融學刊(TSSCI),13(2), 1-28。
彭兆禎(1993)。過度自信之研究:問題困難度、抽樣方式與線索有效性對過度自信的影響(碩士論文)。國立政治大學心理學研究所,台北市。
陳弼鉉(2009)。 捷思與過度自信之心理特質對過度反應與反應不足之探討(碩士論文)。銘傳大學財務金融研究所,台北市
陳虹霖(2001)。國內共同基金投資人過度自信之行為之研究(碩士論文)。國立台灣大學財務金融所,台北市。
賴麗玲(2003)錯置效應與過度自信之實證-以高週轉率共同基金經理人之表現為例(碩士論文)。實踐大學企業管理研究所,台北市。
翁慈青(2003)。股市過度自信與自信不足之投資行為研究(碩士論文)。中原大學會計研究所,桃園縣。
鄭玉青(2005)。個別投資人過度自信成因之探討(碩士論文)。輔仁大學金融研究所,新北市。
劉佳奇(2005)。投資人的過度自信、從眾行為與交易績效(碩士論文)。國立中山大學財務管理學系研究所,高雄市。
蔡坤興(2006)。報酬率、融資交易量與過度自信之相關性研究(碩士論文)。雲林科技大學財務金融研究所,雲林縣。
甘斐任(2008)。台灣股市投資人過度自信行為之研究(碩士論文)。國立台北大學國際企業,新北市。
許銘展(2010)。人格特質與投資偏誤行為之相關性研究(碩士論文)。銘傳大學財務金融研究所,台北市。

三、書籍部份
Fischhoff, B. Lichteinstein, S. Slovic, P. Derby, S. L., & Keeney, R. (1981). Acceptable Risk. Cambridge:Cambridge University Press .
Lichtenstein, S. Fischhoff, B.,& Phillips, L. D. (1982). Calibration of probabilities: the state of the art to 1980. In D Kahneman, P Slovic and A Tversky (Eds). Judgment under uncertainty: heuristics and biases(pp.306-334) . Cambridge:Cambridge University Press).
Nofsinger, J. R.(2002), The Psychology of Investing. New Jersey: Prentice Hall.
Phillips, L.D. (1973). Bayesian statistics for social sciences. London:Nelson.
Ruane, J. M. (2005).Essential of Research Methods. A Guide to Social Science Research. Malden, MA and Oxford: Blackwell,.
Shefrin, H. (2000). Beyond Greed and Fear. Boston, MA: Harvard Business School Press.
Shleifer, H. (2000). Inefficient Markets: An Introduction to Behavioral Finance. Oxford:Oxford University Press.
Shiller, R. J. (1999). Human behavior and the efficiency of the financial system. In J. Taylor, and M. Woodford, Eds. Handbook of Macroeconomics.
盧育明(2004)。行為財務學(第一版)。臺北市 : 商鼎。
楊慧伶等(2007)。行為財務學(初版)。臺北市 : 五南。
郭敏華(譯)(2004)。行為財務學(原作者:James Montier)。臺北市 : 智勝文化(原著出版年2002)。
郭敏華(2008)。行為財務學:當財務學遇到心理學。臺北市 : 智勝文化。
吳明隆(2008)。SPSS統計應用實務(第二版)。臺北市 : 文魁資訊。
陳寬裕、王正華(2010)。論文統計分析實務 : SPSS與AMOS的運用(初版)。臺北市 : 五南。
李城忠(2008)。應用統計學: SPSS完全攻略。臺北市:新文京開發。
陳正昌、程炳林、陳新豐、劉子鍵(2009)。多變量分析方法-統計軟體應用(第五版),臺北市 : 五南。
四、參考網站
MoneyDJ理財網。(民101年三月二十日)取自http://www.moneydj.com/
台灣證券交易所網站(民101年三月二十日)取自http://www.tse.com.tw

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