近年來台灣機構法人,包括外資法人、投信法人及自營商等三大法人的交易比重不斷提高,全體機構法人佔集中市場交易比重至2013年12月已超過40%,顯見其對股市影響程度愈來愈高。本研究擬探討三大機構法人在行為財務學的「出盈保虧」現象,即處分效果(Disposition Effect)。本研究進一步探討,在面對不同產業及持股週轉率,三大機構法人在處分效果的投資行為偏誤是否具顯著差異。 本研究期間自2009年1月2日~2013年12月31日共計5年256筆之週資料;並以台灣上市股票作為研究對象,以2013年12月為基準,選取成交金額及發行股數前二大產業類股,包括半導體業類(17.43%)、光電業類(14.06%),加上成交股數排名第三大的金融保險業類(11.79%),扣除資料不全等因素,共計114檔股票,總計87,210筆週資料。本研究參考Weber and Camerer(1988)提出的處分係數研究法,並參考後續相關應用研究,並區分產業類別及持股週轉率高低,分層進行單項及交乘效果之t檢定及符號等級檢定,並運用GLM及Duncan多重比較檢定進行分析。實證結果如下: 1.比較三大機構法人整體處分效果:外資法人及自營商皆不具處分效果;而投信法人具有處分效果,且達統計上的顯著水準。外資法人處份係數相對最小,代表其較不會受投資心理偏誤影響。投信法人處份係數相對最大,代表其較會受投資心理偏誤影響。 2.依產業類別比較三大機構法人是否具處分效果:外資法人在三大產業中均不具處分效果;投信法人在三大產業中均具處分效果,且在金融保險業中達統計上的顯著水準;自營商在半導體業具處分效果。 3.依持股週轉率高低比較三大機構法人是否具處分效果:外資法人及自營商均不具處分效果;投信法人則具處分效果,且在低持股週轉率中達統計上的顯著水準。 4.依產業別及持股週轉率高低之交乘分析:外資法人皆不具處分效果。投信法人在金融保險業,不論其持股週轉率高或低,均具有處分效果,且在低持股週轉率中達統計上的顯著水準;但在半導體業及光電業中,在高持股週轉率,具有處分效果。自營商在半導體業,不論其持股週轉率高或低,均具處分效果;在光電業的低持股週轉率具處分效果。 5.在三大機構法人中,投信法人在金融保險業中,相對於外資法人及自營商具處分效果;其次,投信法人及自營商在金融保險業的高低持股週轉率,亦相對於外資法人具處分效果。 關鍵字:行為財務學、處分效果、機構法人、持股週轉率
The trading volume of Taiwan institutional investors, including foreign investors (FI), investment trust fund investors (TI) and dealer investors (DI) has been increasing recently. The trading volume of these three institutional investors to the market had reached 40% in December of 2013. The purpose of this study is to analyze the differential disposition effects, especially in different industrial sectors and turnover holdings, among these three investors. 256 weeks ranging from Jan. 2009 to Dec. 2013 were collected. 114 firms from three industrial sectors, i.e., semiconductor, opto-electronics and finance were sampled based on their heavy trading volume in the market. A total of 87,210 observations were selected. Using Weber and Camerer(1988) and others disposition effects methodology, this study adopts t-test, sign and signed ranked tests as well as GLM with Duncan pairwise comparison methods to investigate the issues. The results show that: 1.Comparing the overall disposition effects: The FI and DI might not have disposition effects;The TI might have disposition effects and significant. The FI has the lowest disposition coefficient indicating the FI has the lowest investment psychological bias. The other hand the the TI has the highest disposition coefficient indicating the TI has the highest investment psychological bias. 2.Comparing different industrial sectors, the FI did not show any disposition effects; the TI has shown disposition effects in all three sectors and significant in finance sector; the DI has shown disposition effects in semiconductor sector. 3.Comparing turnover holding, the FI and DI might not have disposition effects, whereas the TI has shown disposition effects and significant with low turnover holding. 4.Comparing different industrial sectors and turnover holding interaction, the FI might not have disposition effects. Regardless of high-low turnover holding, the TI has shown disposition effects in finance sector and significant with low turnover holding. In addition, the TI has shown disposition effects in semiconductor and opto-electronic sectors with high turnover holding. Regardless of high-low turnover holding, the DI has shown disposition effects in semiconductor sector. Furthermore, the DI has shown disposition effects in opto-electronic sector with low turnover holding. 5. The TI has shown greater disposition effects than the FI and DI in finance industry. In addition, the TI and DI have shown greater disposition effects than the FI in finance industry, regardless of turnover holding. Keywords: Behavioral Finance, Disposition Effect, Institutional Investors, Turnover Holdings