台灣股票市場不同市場狀態背景下處分效果之探討

本研究探討台灣股票市場中，在不同市場狀態下投資人之處分效果會否存在差異。處分效果指投資人在資產有利得時希望出售以確定獲利，在虧損時則希望繼續持有不願意實現虧損之不理性行為。處分資產考量的是資產的基本面、產業趨勢，未來成長性等，而不是資產現在是利得還是虧損。處分效果越大表示投資人不理性程度越高。基於過度自信、過度樂觀/悲觀、私房錢效應、損益兩平效應、避免後悔等原因，預計投資人在牛市背景下處分效果比正常時期增加，在熊市背景下處分效果比正常時期減少。本研究參考了Weber和Camemer(1998)以及Grinblatt和Han(2005)之研究方法進行分析，樣本對象為2015年至2017年三年平均市值前五十大之公司，樣本期間為1988年至2017年。實證結果顯示，投資人在牛市背景下處分效果的確比正常時期來得大，，在熊市背景下處分效果則與正常時期沒有顯著差異，表示投資人在牛市行情過後不理性程度增加，而在熊市行情過後不理性程度則沒有顯著變化。

關鍵字

市場狀態；牛市；熊市；處分效應；行為財務

並列摘要

Disposition effect is the tendency that investors sell winners too early and hold losers too long . The disposal of assets should be based on the fundamental of assets, industry’s trend, future growth, etc. rather than the assets are gaining or losing. This research aims to explore whether investors’ disposition effect changes under different market states. Based on self-confidence, over-optimism/pessimism, house-money-effect, break-even-effect, regret aversion, we anticipate that disposition effect under bull period is larger than normal period, and disposition effect under bear period is smaller than normal period. This study uses the research method of Weber and Camemer(1998) and Grinblatt and Han(2005). The empirical results show that the disposition effect under bull period is larger than normal period while the bear period is not smaller than normal period. It means that the irrationality of investors is greater after a bull market state. However, there is no significant difference after a bear market.