臺灣博碩士論文加值系統

臺灣的股票市場一向是個非常活絡的資本市場。投資人時常緊盯著股市的局勢變化，只要一有風吹草動，投資人莫不繃緊神經地進行操作，深怕稍一遲疑就錯失了稍縱即逝的投資良機。

本論文擬從行為財務學理論架構出發，涵蓋展望理論、心理帳戶、處分效果、短期動能與長期反轉等，進而分析股王的價格漲勢動能。

當散戶投資人不再如經濟學中所假設的理性自利，而是根據其心理狀態做出非理性之投資決策，則由於展望理論與心理帳戶同時作用，會使得散戶投資人衍生出「急售獲利、惜售損失」的處分行為，此時股王的股價遭到市場低估，而機構投資人因為認識股王的基本價值而在此時進場投資，將致使股王的股價再產生後續的價格漲勢動能。

The stock market in Taiwan is always in prosperity. Individual investors and institutional investors often keep their eyes on the fluctuations of the stock market so as to seize the opportunity for investment.

The following chapters would be analyzed by behavioral finance framework, including prospect theory, mental accounting, disposition effect, short-term momentum and long-term reversals.

When the individual investors are no longer rational and self-interest as economists had assumed, then it would be probable that they tend to make investment decisions based upon the mental states of their own. Owing to the interaction between prospect theory and mental accounting, individual investors would be inclined to “sell winners too early and ride losers too long”, which was defined as disposition effect. Meanwhile, the stock prices of the stock leaders would therefore be undervalued, leaving room for the institutional investors to invest on these undervalued ones. The phenomenon described above contributes to the following momentum of the stock leaders.

謝辭 I
摘要 II
Abstract III
第一章 緒論
第一節 研究動機 1
第二節 研究架構 4
第二章 理論基礎與文獻回顧
第一節 行為財務學之緣起 5
第二節 行為財務學之相關文獻回顧 6
第三章 模型與研究方法
第一節 理論依據與模型架構 16
第二節 股王特性與假說 18
第三節 研究方法 19
第四章 實際數據分析
第一節 樣本資料之選取與詮釋 20
第二節 臺灣近十年來股王簡介與比較 22
第三節 散戶與機構投資人於股王投資之策略差異 25
第五章 結論與建議
第一節 結論 33
第二節 研究限制 33
第三節 後續研究與建議 34
參考文獻 35

1. De Bondt, Werner, and Richard Thaler (1985), “Does the Stock Market Overreact,” Journal of Finance, 40, pp.793-808.

2. Fama, Eugene F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work,” Journal of Finance, 25, pp. 383-417.

3. Grinblatt, Mark, and Bing Han (2005), “Prospect Theory, Mental Accounting, and Momentum,” Journal of Finance Economics 78, pp. 311-339.

4. Kahneman, Daniel, and Amos Tversky (1979), “Prospect theory: an analysis of Decision under Risk,” Econometrica, Vol. 47, pp.263-291.

5. Shefrin, Hersh, and Meir Statman (1985), “The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence,” The Journal of Finance, Vol. 40, pp. 777-790.

6. Thaler, Richard (1985), “Mental Accounting and Customer Choice,” Marketing Science, Vol. 4, No. 3, pp. 199-214.