過去財務績效與投資人行為偏誤之探討

A Study of Past Financial Performance and Investor’s Behavioral Biase A Study of Past Financial Performance and Investor’s Behavioral Biase

傅文瑩(Wen-Ying Fu)

指導教授 ： 劉立倫

中原大學/商學院/會計研究所/碩士(2005年)

https://doi.org/10.6840/cycu200500251

摘要

本研究探討投資人是否會因為過去的財務績效趨勢，而產生認知的偏誤，誤以為過去績效好的股票就是「好公司」，過去績效不好的公司，就是「壞公司」，探討投資人的是否有行為偏誤。
我們以銷貨收入營運淨利，和淨利來作為公司是否為成長股的分類指標，並探討公司過去的成長性與未來股票報酬間的關係。我們探討台灣股票市場中的投資人是否會因為過去的財務績效好，就將這些公司歸類為好公司；過去的財務績效差，將這些公司歸類為壞公司，因此對未來的股票報酬有不同的期望。我們以過去的八季為形成期，探討未來三個月、六個月、九個月、即十二個月的報酬。並以原始報酬、三因子截距項測試及四因子截距項測試。實證結果發現，投資人並沒有對高成長公司抱持樂觀的態度，所以我們建議投資人採取反向策略，買進低成長股票，賣出高成長股票，以獲取較高的報酬。但就長期報酬而言，報酬會漸漸的回復平均。

關鍵字

成長 ； 偏誤 ； 報酬

並列摘要

This study is to look into whether the investors would have cognitive bias based on the past financial performance. The deep analyze to see whether the investors believe that the companies which had good performance of stocks are called “Good companies”, and simply look down on the companies which have not well-perform of stocks. To decide whether the company is a growth stock of classify index, we assess on the sale, operating income and the net income. We also look into the company’s past growth and the relationship between the future stock’s remuneration. We want to analyze the investors in the Taiwanese stock market. Do these investors refer the companies as good companies just because their wonderful past financial performance? Does this phenomenon will effect the future stock’s remuneration. We will analyze the next three months, six months and nine months, means twelve’s remuneration. We also test on the original remuneration, Fama and French three factor model and the four factor model. After the experiment, the result showed that the investors do not show optimistic attitude on the high-growth companies. So we suggest the investors to take contrarian strategy, buy the lower-growth stocks, and sell the higher-growth stocks in order to receive the higher remuneration. But if we look at the long-term remuneration, the remuneration will back to average gradually.

並列關鍵字

growth ； biase ； return

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