國內股票市場投資人過度自信行為之研究

The research of the over-confidence effect in Taiwan stock market

朱志航(Chin-Hang Chu)

指導教授 ： 任立中

共同指導教授 ： 郭瑞祥

國立臺灣大學/管理學院/商學研究所/碩士(2005年)

https://doi.org/10.6342/NTU.2005.01764

摘要

本研究利用國內某家大型投信所提供之2,000 名個別股票投資人交易資料，並以Barber and Odean（2000）的研究模型為基礎，建立台灣地區股票投資人投資行為架構，目的在於探討台灣地區股票投資人是否過度自信，也因此造成交易頻繁的結果，以致於損害投資報酬的現象。實證結果發現國內股票投資人過度自信的情況並不顯著，交易週轉率最高的投資人群組的確具有最低的報酬，週轉率最低的群組報酬率卻並非最高；在擇股能力及穩定性分析下可以發現，雖然擇股能力及穩定性會影響報酬率，但即使擇股能力及穩定性佳，同樣會因為過度頻繁交易，而使報酬率低落。本研究進一步針對股齡及週轉率分析發現，週轉率並不會因為投資經驗的增加而減少。

關鍵字

過度自信效果 ； 週轉率 ； 擇時擇股能力

並列摘要

This paper uses the account data for 2,000 households from a famous asset management company in Taiwan, developing the investment behavior structure of stock market investors. Specifically, we hope to test whether overconfidence can explain high trading levels and the resulting poor performance of individual investors.
Empirical results show there’s no tendency for investors to be overconfident. However, people who have highest turnover rate earn less but
those who trade less not earn more. In the stock-selecting analysis, the investors who have the abilities to select good stock may be a loser just because they trade too much. We also find the experience with investment in stock market not reduce the trading turnover.

並列關鍵字

Over-confidence effect ； Timing and Selection Ability ； Turnover

參考文獻

2. 林建池(2004)，資料庫行銷於基金組合之設計-以線上投資人擇時擇股能力與穩定性表現為例，國立台灣大學國際企業所碩士論文。

2. Barber, Brad M. and T. Odean (1999), “The courage of misguided convictions,” Association for Investment and Research, 41-55.

3. Barber, Brad M. and T. Odean (2000), “Too many cooks spoil the profits：Investment club performance,” Association for Investment and Research, 17-25.

4. Barber, Brad M. and T. Odean (2000), “Trading is hazardous to your wealth：Thecommon stock investment performance of indiviaual investors,” Journal of Finance 55, 773-806.

5. Barber, Brad M., T. Odean and L. Zheng (2001), “Out of sight, out of mind：Theeffects of expenses on mutual fund flows,” working paper.