淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


下載電子全文限經由淡江IP使用) 
系統識別號 U0002-2506201314323300
中文論文名稱 股票市場上投資人交易之學習效果
英文論文名稱 Investor’s Learning Effect from Transactions in Stock Market
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 101
學期 2
出版年 102
研究生中文姓名 楊智軒
研究生英文姓名 Chih-Hsuan Yang
學號 600530520
學位類別 碩士
語文別 中文
口試日期 2013-06-23
論文頁數 68頁
口試委員 指導教授-林蒼祥
委員-謝劍平
委員-林蒼祥
委員-段昌文
中文關鍵字 處分效果  學習效果  存活分析  投資報酬 
英文關鍵字 Disposition Effect  Learning Effect  Survival Analysis  Performance 
學科別分類
中文摘要 處分效果(Disposition Effect)係指投資人具有急售獲利與惜售損失的傾向,交易也是行為財務學探討投資人非理性行為的論點之一。本研究係利用處分效果來探討投資人對於交易是否具有學習效果。具體而言本研究依據Seru, Shumway and Stoffman (2010)以處分效果來估計投資人之學習效果,並對台灣股票集中市場的投資人進行學習效果之驗證分析。
本研究同時參考了Feng and Seasholes(2005)方式,使用醫學界所常見的存活分析(Survival Analysis)方式去估計投資人處分效果。最後再使用最大概似方法來予以估計衡量投資人交易其學習效果間之關聯性;本研究除了應用處分效果以估計投資人學習效果之外,亦利用投資人的投資報酬率(Performance)以估計其學習效果。
最後,台灣股票市場上對投資人交易的學習效果顯示,當市場報酬率下降時處分效果特別低,表示學習效果較好;而在投資人交易報酬率與經驗之間的關係呈現正比現象,表示有經驗的交易者,其報酬率較為理想,學習效果較好。
英文摘要 The disposition effect that investors are less willing to recognize losses which they would be forced to do if they sold assets which had fallen in value, but are more willing to recognize gains. Use disposition effect to estimate learning for trading by investors. Refer to Seru ,Shumway and Stoffman(2010) theory and ues the method to test and verify in the Taiwan stock market in this study.
Refer to Feng ,Seasholes(2005) method for Survival Analysis to estimate disposition effect, using the maximum likelihood method to measure the relationship between transaction and learning in this study;Not only use disposition effect to estimate learning effect but also use performance to estimate learning effect.
Finally, learning effect for investors trading on the Taiwan stock market, when market return of rates fall, the disposition effect is especially low, which means that learning is better; Investors trading relationship between the rate of return and experience present is proportional, which means that experienced traders, the rate of return is more, and learning better.
論文目次 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 3
第二章 文獻回顧 5
第一節 行為財務學之文獻探討 5
第二節 處分效果之文獻探討 15
第三節 學習效果之文獻探討 18
第三章 研究方法 20
第一節 研究模型及研究變數定義 20
第二節 實證方法 26
第四章 實證結果 27
第一節 樣本資料來源 27
第二節 處分係數與績效敘述統計 29
第三節 投資交易之實證結果分析 43
第五章 結論與建議 62
第一節 結論 62
第二節 研究建議 64
參考文獻 65

表目錄
表 1-1 各變數之敘述統計 ................................ ................................ ..................... 30
表 1-2 散戶各 變數之敘述統計 ................................ ................................ ............. 32
表 1-3 外資 各變數之敘述統計 ................................ ................................ ............. 34
表 1-4 自營商 各變數之敘述統計 ................................ ................................ ......... 36
表 1-5 投信 各變數之敘述統計 ................................ ................................ ............. 38
表 4-1 一月績效與學習果實證分析 ................................ ................................ 43
表 4-2 二月績效與學習果實證分析 ................................ ................................ 44
表 4-3 三月績效與學習果實證分析 ................................ ................................ 44
表 4-4 四月績效與學習果實證分析 ................................ ................................ 44
表 4-5 五月績效與學習果實證分析 ................................ ................................ 45
表 4-6 六月績效與學習果實證分析 ................................ ................................ 45
表 4-7 七月績效與學習果實證分析 ................................ ................................ 45
表 4-8 八月績效與學習果實證分析 ................................ ................................ 46
表 4-9 九月績效與學習果實證分析 ................................ ................................ 46
表 4-10 十月績效與學習果實證分析 ................................ .............................. 46
表 4-11 十一 月績效與學習果實證分析 ................................ .......................... 47
表 4-12 十二月績效與學習果實證分析 ................................ .......................... 47
表 4-13 加權指數報酬率為正值時績效與學習果實證分析 .......................... 48
表 4-14 加權指數報酬率為負值時績效與學習果實證分析 .......................... 48
表 4-15 二月處分係數與學習效果實證析 ................................ ...................... 50
表 4-16 三月處分係數與學習效果實證析 ................................ ...................... 50
表 4-17 四月處分係數與學習效果實證析 ................................ ...................... 51
表 4-18 五月處分係數與學習效果實證析 ................................ ...................... 51
表 4-19 六月處分係數與學習效果實證析 ................................ ...................... 51
表 4-20 七月處分係數與學習效果實證析 ................................ ...................... 52
表 4-21 八月處分係數與學習效果實證析 ................................ ...................... 52
表 4-22 九月處分係數與學習效果實證析 ................................ ...................... 52
表 4-23 十月處分係數與學習效果實證析 ................................ ...................... 53
表 4-24 十一 月處分係數與學習效果實證析 ................................ .................. 53
表 4-25 十二 月處分係數與學習效果實證析 ................................ .................. 53
表 4-26 加權指數報酬率為正值時處分效果與學習實證析 .................. 54
表 4-27 加權指數報酬率為負值時處分效果與學習實證析 .................. 55
表 4-28 散戶 績效與學習果實證分析 整理表 ................................ .................. 56
表 4-29 散戶 處分係數與學習效果實證析 整理表 ................................ .......... 56
表 4-30 自營商 績效與學習果實證分析整理表 ................................ .............. 57
表 4-31 自營商 處分係數與學習效果實證析 整理表 ................................ ...... 57
表 4-32 投信 績效與學習果實證分析 整理表 ................................ .................. 58
表 4-33 投信 處分係數與學習效果實證析 整理表 ................................ .......... 58
表 4-34 外資績效 與學習效果實證分析 整理表 ................................ .................. 59
表 4-35 外資 處分係數與學習效果實證析 整理表 ................................ .......... 59
表 4-36 綜合績效 與學習效果實證分析 整理表 ................................ .................. 60
表 4-37 綜合 處分係數與學習效果實證析 整理表 ................................ ..........60

圖目錄
圖 1-1 研究架構流程 圖 ................................ ............. 4
圖 2-1 展望理論的價值函數 ................................ ........ 16
圖 4-1 報酬率、 處分效果及 報酬率曲線圖 ............................ 42
圖 4-2 2007 年各月總成交值 ................................ ....... 42
參考文獻 1.Aalen, O. O. (1988),“Heterogeneity in Survival Analysis,” Statistics in Medicine, Vol.7, pp. 1121-1137.
2.Aalen, O. O. (1994).“Effects of Frailty in Survival Analysis,” Stat. Methods Med. Res., Vol.3, pp. 227-2430.
3.Amit Seru ,Tyler Shumway , Noah Stoffman(2010),”Learning by Trading,” The Review of Financial Studies , Vol.23(2) , pp. 705-739.
4.Barber, Brad M. and Terrance Odean (1999).“The Courage of Misguided Convictions,” Association for Investment Management and Research, November/December 1999.
5.Barberis, Nicholas, Ming Huang and Tano Santos. (2001).“Prospect Theory and Asset Prices,” Quarterly Journal of Economics 116, pp. 1-53.
6.Cox, D. R. (1972). “Regression Models and Life Tables,” Journal of the Royal Statistical Society, B 34: pp. 187-220.
7.Edwards, Kimberley D. (1995). “Prospect Theory: A Literature Review,” International Review of Financial Analysis , Vol.5, pp. 19-38.
8.Fama, Eugene(1970). ”Ficient Capital Markets: A Review of Theory and Empirical Work,”.Journal of Finance, Vol.25, pp. 383-417.
9.Fama, E. F. (1991). “Efficient Capital Markets II,” Journal of Finance ,Vol.46, pp. 1575-1643.
10.Fama, E. F. (1998).“Market Efficiency, Long-term Returns and Behavioral Finance,” Journal of Financial Economics , Vol.49. pp. 283-306.
11.Ferris, S. P.,R. A Haugen,A. K. Makhija(1988). ”Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting the Disposition Effect,” The Journal of Finance, Vol.43, pp. 677-697.
12.Gervais, S. and T. Odean (2001), “Learning to be Overconfident,” Review of Financial Studies, Vol.14, pp. 1-27.
13.Haugen, Robert A., (1999), The Inefficient Stock Market, New Jersey: Prentice Hall.
14.Hosmer, D. W., & Lemeshow, S. (1999). Applied survival analysis: Regression modeling of time to event data. NY, USA: John Wiley & Sons, Inc.
15.Kahneman, Daniel, and Amos Tversky (1973). “On the Psychology of Prediction, ” Psychological Review , Vol.80, pp. 237-251.
16.Kahneman, D. and A. Tverskey (1979), “Prospect Theory: An Analysis of Decision Under Risk,” Econometrica, Vol. 47, pp. 263-292.
17.Kahneman, D. and A. Tverskey (1981), “The Framing of Decisions and the Psychology of Choice,” Science, Vol.211, pp. 453-458..
18.Kahneman ,Daniel ,and Mark W. Riepe (1998).“Aspects of Investor Psychology,” Journal of Portfolio Management (summer), pp. 52-65.
19.Kleinbaum, D. G., & Klein, M. (1996). Survival analysis: A self-learning text (2nd ed.). New York: Springer.
20.Lakonishok, J.,S. Smidt(1986). ”Volume for Winners and Losers: Taxation and Other Motives for Stock Trading,”.The Journal of Finance, Vol.41, pp. 951-974.
21.Lei Feng , Mark S. Seasholes(2005),” Do Investor Sophistication and Trading Experience Eliminate Behavioral Biases in Financial Markets?” Review of Finance , Vol.9 , pp. 305-351.
22.Odean, T., (1998a), “Are Investors Reluctant to Realize Their loss?” Journal of Finance, Vol.53, pp. 1775-1798.
23.Odean, Terrance (1998b).“Volume, Volatility, Price, and Profit When All Traders Are Above Average, ” Journal of Finance , Vol.53, pp. 1887-1934.
24.Odean, Terrance (1999).“Do Investors Trade Too Much, ” American Economic Review , Vol.89, pp. 1279-1298.
25.Schemper, M. (1992). “Cox Analysis of Survival Data With Non-proportional Hazard Functions,” The Statistician, Vol.41, pp. 455-465
26.Shefrin, H. and M. Statman (1984).“Explaining Investor Preference For Cash Dividends,” Journal of Financial Economics , Vol.27, pp. 253-282.
27.Shefrin, H. and M. Statman (1985), “The Disposition to Sell Winners too Early and Ride Losers too Long: Theory and Evidence,” Journal of Finance, Vol.40, pp. 777-790.
28.Shefrin, H. and Meir Statman (1994).“Behavioral Capital Asset Pricing Theory,” Journal of finance and quantitative analysis vol.29 no.3 ( September ), pp. 323-49.
29.Shefrin, H. and M. Statman (2000), “Behavioral Portfolio Theory,” Journal of Finance and Quantitative Analysis, Vol.35, pp. 127-151.
30.Shleifer, A. (2000). Inefficient Market, Oxford U. Press, Oxford
31.Shiller, R. J. (1998). “Human Behavior and The Efficiency of The Financial System,” in J. Taylor, and M. Woodford, ed.: Handbook of Macroeconomics .
32.Singer, J. D., & Willett, J. B. (2003). Applied longitudinal data analysis: Modeling change and event occurrence New York, USA: Oxford University Press.
33.Thaler, R.(1985), “Mental Accounting and Consumer Choice, ”Marketing Science, Vol.4, pp. 199-244.
34.Thaler, R., and E. J. Johnson (1990).“Gambling with The House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice,” Management Science , Vol.36, pp. 643-660.
35.Thaler, R. H., (1999), “The End of Behavioral Finance,” Financial Analysts Journal (November-December), pp. 18-27.
36.Tversky, A., and D. Kahneman (1981). “The Framing of Decisions and the Psychology of Choice, ” Science 211, pp. 450-458.
37.Tversky, A., and D. Kahneman (1992).“Advances in Prospect Theory: Cumulative Representation of Uncertainty,” Journal of Risk and Uncertainty , Vol.5, pp. 297-323.
38.Tversky, A., and A. Shafir (1992). “The Disjunction Effect in Choice Under Uncertainty,” Psychological Science 3(5), pp. 305-309.
39.Whyte, G., A. M. Saks and S. Hook (1997), ”When Success Breeds Faolure:The Role of Self-Efficacy in Escalation Commitment to a Losing Course of Action,”, Journal of Organizational Behavior.
40.龔怡霖 (2001) ,「行為財務學-文獻回顧與未來發展」,國立中央大學財務管理所碩士論文。
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2013-07-01公開。
  • 同意授權瀏覽/列印電子全文服務,於2013-07-01起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信