古典財務學理論是以投資人為「理性」為其立論基礎,卻無法解釋資本市場出現的「異常現象(Anomalies)」,行為財務學因而興起,其最重要的理論是在1979年由Kahneman and Tversky利用價值函數所提出的「展望理論(Prospect Theory)」,更近一步,1985年Shefrin and Statman在由展望理論提出「錯置效果(Disposition Effect)」,指出投資人太快賣出獲利股票,而對損失股票卻抱股不放。有鑑於台灣散戶投資人眾多,股票為普遍的投資工具,本研究主要在以實驗設計觀察台灣市場股票的錯置效果。 由於資訊來源不同,資訊表達的方式也不會一致,投資人對於資訊的認知和處理也會不同,本研究參考Rubaltelli et al.的研究,以百分比、比例、價差三種型態表達資訊,再輔以五種漲跌幅度做延伸討論,分別是漲多跌多、漲多跌少、漲少跌多、漲少跌少、漲5%跌5%,由此觀察錯置效果的產生。 另外,研究中亦觀察兩種類型的投資人在投資股票的錯置效果,以投資人擁有的知識類型作分類,分為宣告性知識 (declarative knowledge)和程序性知識(procedural knowledge),有宣告性知識的研究對象為學生,而有程序性知識的對象為工作內容與投資相關的金融從業人員。其研究結果如下: 一、投資錯置效果普遍存在。 二、「資訊型態」的不同對投資錯置效果會出現差異,資訊型態為「百分比」及「價差」的錯置效果均顯著大於「比例」。 三、「知識結構」的不同對投資錯置效果會出現差異,當受測者為具備「宣告性知識」學生,其錯置效果大於具備「程序性知識」的金融業從業人員。 四、「自信程度」在不同知識結構對錯置效果會出現差異,當自信程度「低」時,知識結構為「宣告性知識」的受測者,產生錯置效果的人數較多,但是當自信程度「高」時,則是知識結構為「程序性知識」的受測者,產生錯置效果的人數較多一點。
Classical finance theory believed that all the investors are "Rational", but it couldn’t explain capital market appeared "Anomalies". Therefore the behavioral finance became more and more important. The most important theory in behavioral finance is "Prospect Theory". Itwas proposed by Kahneman and Tversky in 1979. Furthermore, Shefrin and Statman used prospect theory to propose "Disposition Effect" in 1985. The disposition effected concerns the investors’ disposition to sell winners too early and ride losers too long. Because the stocks are general tools to investment, This study researches disposition effect in Taiwan Stock Market. Because the different sources information has different expression. According to Rubaltelli et al. study, This study use different kind of information (Percentage, Selling Price and Difference). Furthermore, the study extends five kind of price fluctuation. In addition, the study also observed two knowledge structure types of investors. One is "Declarative Knowledge", the other is "Procedural Knowledge". The study conclusion as follows: (1)The disposition effect is a common bias. (2) Different information formats has different disposition effect. "Percentage" and "Selling Price" formats shows higher disposition effect than "Difference" (3) Different knowledge structure has different disposition effect. The "Declarative Knowledge" subject has higher disposition effect than "Procedural Knowledge". (4) Different confidence degree has different disposition effect. When the declarative knowledge subject has low confidence, the subject has high disposition effect. Contrary to declarative knowledge subject, when the procedural knowledge subject has high confidence, the subject has high disposition effect.