關注效果對台灣個人投資人買進賣出行為之影響

Do Attention effect and news influence the buying behavior of individual investors in Taiwanese stock market?

吳佩真(Pei-chen Wu)

指導教授 ： 邱顯比

國立臺灣大學/管理學院/財務金融學研究所/碩士(2005年)

https://doi.org/10.6342/NTU.2005.00192

摘要

本論文係研究關注效果是否會影響台灣地區股票市場個人投資人的買進賣出行為，研究架構與方法主要奠基於Barber與Odean在二零零三年發表的報告，並依據台灣股票市場特性略作修改。以吾人設定的關注效果變數與個人投資人在該個股的買進賣出行為作交叉分析後，研究結果顯示，具有下列幾種關注效果特性的股票，個人投資人較傾向淨買入該個股：該股票在前一日異常低的報酬、前日融資部位的大幅增加、前日融券部位的大幅減少、前日外資係淨買入、前日投信係淨買入、當日有較多報紙報導該股票相關新聞、當日該股票有新聞現報且股價呈現下跌。另外也發現，較不具經驗的投資人：例如未使用融資融券交易的投資人或每筆下單金額較低的投資人，更容易受到關注效果的影響。最後，投資組合的模擬研究發現，個人投資人購買的股票組合之報酬表現較他們所賣出的投資組合為差；但並無顯著的證據顯示受到關注效果所影響的買進行為將導致損失。

關鍵字

關注效果 ； 個人投資人 ； 行為財務

並列摘要

This thesis is to study how the attention effects influence the net buying behavior of individual investors in Taiwan, the framework and methodology is mainly based on of Barber and Odean (2003), but some adjustments are made according to the characteristics of Taiwanese stock market. After cross-analyzing the attention effect variables of all stocks and the net buying behavior of individual investors on it, this research finds that attention-grabbing variables, such as: previous day extremely negative return, large increase of margin purchase position on previous day, large decrease of short sale position on previous day, previous day net buy position increase of foreign investors and investment trust companies, more newspapers coverage, and news release on negative return days will increase the net purchase of individual investors upon stocks with such characteristics. However, less sophisticated investors, for instance, investors of non-credit accounts or investors with lower volume per trade, tend to be more attention-driven. Finally, the portfolio simulation test finds that the portfolio of stocks individual investors buy generally underperforms the portfolio of stocks that they sell; but there’s no obvious evidence show that the attention-based buying behavior results in loss.

並列關鍵字

attention effect ； individual investor ； behavioral finance

參考文獻

1. Brad M. Barber and Terrance Odean, All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors, Working paper, 2003

2. Brad M. Barber and Terrance Odean, Online Investors: Do the Slow Die First?

3. Brad M. Barber and Terrance Odean, Boys Will be Boys: Gender, Overconfidence, and Stock Investment. The Quarterly Journal of Economics 2001, p.261-292

4. Barber, Brad M., and Terrance Odean, Trading is hazardous to your wealth: The common stock investment performance of individual investors, Journal of Finance 2000, p. 773-806.

5. Carhart, Mark M., On Persistence in Mutual Fund Performance, Journal of Finance 1997, p. 57-81