行為特性與投資績效相關性之研究

Study on the Connection between Behavior Characteristics and Investment Performance

莊志龍(Chih-Lung Chuang)

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

金融市場是由眾多投資人的個別交易組成，投資人的投資行為將會影響著金融市場的變化；而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年所提出的展望理論，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，而使得行為偏誤更加受到矚目，由於投資行為的產生取決於人的心理因素及外在環境變數影響，故本文結合心理學及外在環境作為討論，探討是否與投資偏誤行為有密切關聯性。
本研究探討投資人的行為偏誤與投資績效的關聯性，依據相關研究與文獻資料，本研究提出行為偏誤與人口變數對投資績效的影響分析，以問卷採方便抽樣的方式針對高資產淨值之台灣基金投資人收集127份有效問卷，並收集37份2010年基金投資人實際投資績效的有效問卷，用以建構行為偏誤與投資績效，及人口統計變數與投資績效行為，驗證行為偏誤及人口變數對投資績效有無顯著關係，並與過往文獻資料驗證是否具有一致性。
實證結果發現行為偏誤與投資績效確實存在關係，且性別、年齡、教育背景等人口變數的不同對績效都產生有顯著的差異性。

關鍵字

展望理論 ； 行為偏誤

並列摘要

A majority of the market participants in financial markets are individual investors; hence their investment behavior necessarily has an impact on financial markets. 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 real-world investors really suffer from investment behavior bias? Hence, the purpose of this thesis is to use questionnaire survey to analyze if investors exhibit significant behavioral biases
The results show that there are connections between traders’ performances and behavioral biases. We collect a sample of 127 fund investors in Taiwan, among which the actual performance records of 37 investors are also available. The results show that there are significant behavioral biases for the fund 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 gender, age, and education, are also related to traders’ performances

並列關鍵字

behavioral biases ； Prospect Theory

參考文獻

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