後見之明心理與股市反應不足、過度反應理論

A Model of Hindsight, and Security Market Underreaction/Overreaction

李春安(Chun-An Li)

《中國財務學刊》 7卷1期 (1999/04) Pp. 17-58

https://doi.org/10.6545/JoFS.1999.7(1).2

摘要

近年來，證券市場實證研究所於發現的反應不足與過度反應現象，引起了效率市場假說的支持者與質疑者兩派之間，極為強烈的爭識。為探究反應不足與過度反應現象形成的原因，本研究融入了心理學的證據，由準理性的觀點，建構了一個融合人性，並能同時詮釋這兩種現象的理論模式。研究結果發現，投資人對股票投資報酬的認知偏誤，會使得股價偏離基本面價值；在投資人具有後見之明心理的情況下，當投資人對公開新訊息的先天信念與之前因私有訊息所產生的自信，兩者的方向相反時，市場上會出現反應不足見象；反之，當方向一致時，在連續的好消息或壞消息出現之後，市場上會出見過度反應現象，投資人對私有訊息自信的調整幅度愈小，反應不足的現象會愈明顯，調整的幅度愈大，則出現過度反應的機會愈高。

關鍵字

反應不足 ； 過度反應 ； 雜訊交易 ； 後見之明

並列摘要

The recent empirical evidences on underreaction and overreaction in security mark et have caused a strong dispute between the sup porters and the defenders of efficient market hypothesis. In this paper, I present a model that employ the concept of hindsight bias proposed by psychological studies to show that the investors' misperception will deviate the stock price from its fundamental value. If the direct ions of investors' belief to new public information and that from their prior private information are different, then underreation will happen. On the contrary, if both direction s are same, then after a series of good or bad new s. overreaction will occur. The smaller the adjustment of investors' belief to their prior private information, the more obvious the underreaction. The larger the adjustment of investors' belief to their prior private information, the higher the opportunity of overreaction.

並列關鍵字

undcrreaetion ； ovcrreaction ； noise trading ； hindsight bias