臺灣博碩士論文加值系統

本研究主要探討在訊息不確定性不同程度下對散戶投資人及機構投資人過度自信程度的影響，並在模型中加入了投資人自我歸因的部分，自我歸因的部分由投資人情緒指數及大盤報酬所構成，藉由投資人情緒的變化表達投資人對大盤未來方向的預期，當投資人對未來大盤方向預測正確時，此時投資人應較具過度自信交易的傾向。樣本期間從1981年至2010年，5年為一子樣本期間並切分為26個子樣本期間，在每5年的子樣本期間中會以訊息不確定性及機構投資人持股比做為投資組合分類的變數，將投資組合區分為12組，最後則欲探討在以下3種情況，觀察投資人過度自信交易的程度是否有顯著差異：(1)對未來大盤方向預期正確與錯誤時(2)市場為多頭與空頭時(3)當大盤出現極端報酬時與其餘情況時。

實證的結果顯示：(1)當對大盤未來方向預期正確時，週資料中大多數的投資組合中皆呈現投資人過度自信交易的傾向；(2)在多頭市場時投資人更有過度自信交易的傾向；(3)當大盤出現極端報酬時，投資人過度自信交易的傾向並無特別顯著；(4)在大盤為不同的情況下時，大致上可看出訊息不確定性較高時投資人較容易有過度自信交易的傾向；(5)在大盤為不同的情況下時，散戶投資人與機構投資人過度自信交易的程度並無一致的結論，但在大部分的情況下散戶投資人仍較機構投資人更有過度自信交易的傾向。

This study focus on the investor overconfidence related to individual investors and institutional investors under the different information uncertainty levels and puts the self-attribution into the model. Self-attribution is composed of the investor sentiment index and the market return, and the difference of investor sentiment index is on behalf of the expectation of market’s future direction. When investors make the correct prediction on the future market return, investors should be more likely to have a tendency to be overconfident. During the sample period from 1981 to 2010 which was divided into 26 five-year sub-samples. In each five-year sub-sample period, the information uncertainty and institutional holding are the two variables used to divide the sample into 12 portfolios. Finally, to investigate whether there are significant differences in the investor overconfidence in the following situations, we set up five kinds of situations: (1) The prediction towards the market’s future return is correct or not (2) The market is bull-market or not (3) The market return is extremely high or not.

The empirical results show that: (1) when the prediction of market''s future return is correct, most of the portfolios in the weekly data are showing that investor overconfidence is significant; (2) investors in a bull-market are more likely to have a tendency to be overconfident; (3) The investor overconfidence is not significant when the market return is extremely high of its distribution (4) In the different kinds of market circumstances, most of the investors are more likely to have a tendency to be overconfident in the higher information uncertainty portfolio; (5) In the different kinds of market circumstances, there is no conclusion that what kind of portfolio investors are more likely to have a tendency to be overconfident but in most of the circumstances, individual investors are more likely to have a tendency to be overconfident than institutional investors.

口試委員會審定書 I
摘要 II
Abstract III
第一章 緒論 1
第一節 研究背景與動機: 1
第二節 研究目的 2
第三節 研究架構 4
第二章 文獻探討 5
第一節 主要文獻探討 5
第二節 價量關係-其他相關理論 9
第三章 資料與研究方法 11
第一節 資料來源、頻率及期間 11
第二節 敘述統計量及變數定義 12
第三節 研究方法及模型 14
價量關係-其他相關理論 15
其他相關理論-相關變數處理 19
研究方法 21
模型假說 25
第四章 實證結果 28
第一節 價量關係-其他相關理論之統計 28
月資料 28
週資料 28
小結 29
第二節 子樣本期間之敘述統計量 29
第三節 主要模型實證研究 30
模型一: 30
模型二: 35
模型三: 41
第五章 結論與建議 47
第一節 結論 47
第二節 建議 49
參考文獻 50
附錄 53

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