臺灣博碩士論文加值系統

過度自信是一個非理性的心理現象之一，本研究藉由檢定下列四個關於過度自信的假說──（一）過度自信的投資人會對私有訊息過度反應，而對公開訊息反應不足；（二）獲利會提高投資人過度自信的程度，且在接下來的期間會交易更多（少）股票；（三）過度自信的投資人在股票市場交易過多會導致股價過度波動；（四）當投資人過度自信，他會低估風險，且交易更多風險較大的資產；用以驗證台灣的股票市場是否有過度自信的現象。
本研究採用民國70年1月至93年12月之月資料進行研究，在假說一的部份，本研究利用拔靴法進行重複抽樣，發現台灣股市的投資人不會對私有訊息過度反應，而對公開訊息反應不足，也就是說沒有過度自信的現象。在假說二的部分，分別採用「CPI–WPI」及中央大學台灣經濟發展研究中心每個月所公佈之「消費者信心指數──未來半年投資信心」作為投資者信心之代理變數，發現獲利不會增加投資人過度自信的程度，投資人的信心增加亦不會使市場上的交易量增加，但是獲利會使投資人的交易量增加。在假說三的部份，發現投資人在股票市場交易過多的確會導致股價過度波動。在假說四的部份，以不同風險大小（公司的 值與規模）的投資組合來看，台灣的股票市場有過度自信的現象，而這過度自信的現象並非是個別股票或投資組合之交易量的總和錯置效果，且過度自信的投資者會較傾向於交易風險較大的股票。

第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 1
第三節 章節架構與研究流程 2
第二章 文獻回顧 4
第一節 行為財務學（Behavioral Finance） 4
一、行為財務學對效率市場假說的挑戰 5
二、展望理論 7
三、行為財務學的範疇 10
第二節 過度自信（Overconfidence） 11
ㄧ、過度自信的意義 11
二、過度自信形成與改變 12
三、過度自信的影響 14
第三章 研究設計 19
第一節 研究期間/資料來源/資料頻率/投資組合的形成/選樣標準 19
第二節 模型與方法 19
第四章 實證結果與分析 34
第五章 結論與建議 54
第一節 結論 54
第二節 建議 55
參考文獻 57

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7.黃嘉慧，2002，台灣股票市場除權行情資訊過度反應現象之行為財務學實證研究，朝陽科技大學財務金融研究所碩士論文。
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