專業投資人行為特性探討

Study on investment behavior of professional investors

錢子翊(Tzu-yi Chien)

指導教授 ： 周賓凰

國立中央大學/管理學院/財務金融學系碩士在職專班/碩士(2011年)

摘要

隨著金融市場的發展，除了個別投資人的投資行為更加普遍，專業投資人對市場的影響力也不容小覷。傳統金融理論認為投資都是理性的，但卻無法解釋越來越多的市場不理性現象，直至Kahneman and Tversky 於1979年提出了展望理論，理論基礎認為每個人投資時都有可能因為各種不同的因素造成投資行為的不理性。而當人們擁有充足的財務相關知識時，他們能夠學以致用，進而降低投資行為偏誤的產生嗎？故本文以問卷調查分析專業投資人與一般投資人之間投資行為偏誤的差異性，並且探討專業投資人的投資行為偏誤與績效之間的關聯性。
本研究提出行為偏誤與人口變數對投資績效的影響分析，以問卷採立意抽樣的方式針對台灣各大金融機構的交易員蒐集95份有效問卷，探討專業投資人與一般投資人的行為偏誤差異程度，並以其中26份有實際損益績效的有效問卷樣本，進一步分析行為偏誤、人口統計變數與投資績效之間是否有關聯性。
實證結果發現交易員與一般投資人在行為偏誤上有某些程度上的差異，另外某些行為偏誤與投資績效之間確實存在關聯性，且人口變數如工作年資的不同對績效有影響性。

關鍵字

展望理論 ； 行為財務學

並列摘要

While the investment behavior of individual investors plays a crucial role in the development of financial markets, that of professional investors is also non-ignorable. Traditional financial theory assumes that investors are rational while making financial decisions, but it has failed to explain several seemingly non-rational market phenomena. Kahneman and Tversky proposed the Prospect Theory in 1979, which asserts that decisions are subject to various kinds of behavioral biases. A question worthy of asking is: do people suffer from weaker investment behavior bias when they have more relevant professional knowledge on finance? Hence, the purpose of this thesis is to use questionnaire survey to analyze if there exist significant differences in behavioral biases between individual investors and professional investors. We also probe into the connection between behavioral biases of professional investors and their performances.
The results show that there are connections between traders’ performances and behavioral biases; some demographic variables also play a role. We collect a sample of 95 professional traders in Taiwan, along with a sample of individual investors. The results show that there are significant differences in behavioral biases between professional traders and individual investors. In addition, traders’ performances are to some degree related to the degree of investment behavioral bias. There is also some evidence indicating that demographic variables, such as working experience, are also related to traders’ performances.

並列關鍵字

behavioral finance ； prospect theory

參考文獻

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