盈餘宣告與錯置效果－台灣共同基金投資行為之實證研究

Earnings Announcement and Disposition Effect-Investment Behavior of Taiwan Mutual Fund

黃健瑋(Chien-Wei Huang)

指導教授 ： 劉立倫

中原大學/商學院/會計研究所/碩士(2009年)

https://doi.org/10.6840/cycu200900864

摘要

過去，效率市場假說為財務學主流，然1970 年代後期，有許多學者發現市場上有異常現象的發生，因此行為財務學被提出。行為財務學結合心理學與財務學，對市場上的現象進行探討。而本文則從行為財務學的角度來解釋「盈餘宣告後漂移」現象。本文認為盈餘宣告後漂移係由錯置效果造成，並對此問題進行探討。
錯置效果係由展望理論所導出，Shefrin and Statman(1985)認為投資人會受到展望理論價值函數的影響而產生過早出售利得股票，並持有損失股票過久之情形。而該現象會造成價格對消息反應不足，產生盈餘宣告後漂移現象(Frazzini,2006)。所謂的盈餘宣告後漂移現象，定義為公司盈餘宣告後，股價將於後續一段時間，跟隨異常盈餘的方向飄移之現象。而本文針對錯置效果與盈餘宣告後漂移的關聯進行探討。
本研究實證結果發現國內基金經理人其實並不受錯置效果影響，這可能係由於基金經理人通常具有專業，可使其免於受心理因素影響，做出錯誤之決策；另外本研究以產業、規模、多空行情來區分樣本，結果發現錯置效果不受這三個因素影響；而在盈餘宣告後漂移現象的部分，本文證實市場上存在盈餘宣告後漂移現象；而在錯置效果是否會造成盈餘宣告後漂移的部分，本文實證結果並不支持該假說。這可能係由於國內大部分基金經理人皆不受錯置效果影響，因而造成此結果。

關鍵字

共同基金 ； 錯置效果 ； 盈餘宣告漂移

並列摘要

In the past, the efficient market hypothesis was the mainstream in financial studies. However, during late 1970s, many scholars discovered some abnormal phenomena in the financial market. Behavioral finance was proposed as a result. Behavioral finance integrates psychology and finance to investigate market phenomena. This study aimed to explain post-earnings announcement drift from the perspective of behavioral finance. It hypothesized that post-earnings announcement drift is caused by the disposition effect and attempted to probe into this issue.
The disposition effect stems from the prospect theory. Shefrin and Statman (1985) argue that investors may be influenced by the value function of the prospect theory to sell winners too early and hold losers too long. Such phenomenon will cause price under-reaction to news, leading to a post-earnings announcement drift (Frazzini, 2006). The so-called post-earnings
announcement drift is defined as a drift of stock prices in the direction of an earnings surprise for a period of time following an earnings announcement. This study is discussing the relationship of disposition effect and post-earnings announcement drift.
The empirical results of this study showed that domestic fund managers are, in fact, unaffected by the disposition effect. This is probably because fund managers usually have sufficient professional knowledge to avoid making wrong decisions out of psychological factors. The research sample was also divided by industry, scale, and bull/bear position for further analysis. Result showed that the disposition effect is not affected by any of these three factors. Regarding the post-earnings announcement drift, it was found that this phenomenon does exist in the market. However, the hypothesis that the disposition effect causes the post-earnings announcement drift is not empirically supported. This is probably due to the fact that most of the domestic fund managers are unaffected by the disposition effect.

並列關鍵字

Mutual Fund ； Post-Earnings Announcement Drift ； Disposition Effect

參考文獻

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