- 學位論文
投資心理因素對處分效果之影響
THE INFLUENCE OF INVESTMENT PSYCHOLOGY ON DISPOSITION EFFECT
摘要
1980年代後期，許多實證硏究(Shiller,1984、Thaler,1985…等)發現效率市場假說並未獲得充分支持，實務上出現了許多無法解釋的異常現象。Kahneman and Tverskey (1979)以心理觀點提出展望理論( prospect theory) 係以價值函數取代傳統預期效用理論，說明人們面對利得與損失時會呈現出不同的風險態度，並以心理層次探討投資人的投資行為，解釋一些無法由傳統財務學所解釋的異常現象。而處分效果—投資人傾向繼續持有資本損失的股票，而去實現資本利得的股票之狀況即為展望理論提出的不理性投資行為。 本文針對投資人心理因素所衍生之處分效果探討與分析，藉此瞭解投資人非理性的投資行為是由何種因素影響。而投資心理因素主要根據Lichtenstein, Fischhoff and Phillips (1982)過度自信構念與Shefrin and Statman (1985)提及的避免後悔、心理帳戶、自我控制四構念來探討對處分效果的影響，並以290份有效問卷進行驗證。研究結果顯示過度自信、避免後悔、心理帳戶對處分效果均有顯著影響，而自我控制對處分效果有反向顯著的影響，達到具減緩處分效果的作用。
並列摘要
In 1980s, many empirical researches’ findings (i.e., Shiller(1984), Thaler (1985) et al. ) did not support efficient market hypothesis (EMH). Previous studies (e.g., Bernartzi and Thaler, 1995) related to behavioral model suggest that certain market anomalies are consistent with the presence of irrational trades by investors. Kahneman and Tversky (1979) proposed the prospect theory as an alternative to expected utility in describing investor behavior. Based on previous works (Lichtenstein, Fischhoff and Phillips, 1982; Shefrin and Statman, 1985) this research examined the influences of overconfidence, mental accounting, regret aversion and self-control on the disposition effect of selling winners too early and holding losers too long. The results of empirical data analysis of 290 investors indicate that all four psychological factors have significant influences on the disposition effect. The findings show that (1) overconfidence, mental accounting and self- control positively influence the disposition effect, and (2) self-control negatively influences the disposition effect. As predicted, self-control can reduce irrational behavior of investor. Keyword: Disposition Effect, Overconfidence, Regret Aversion, Mental Accounting, and Self-Control.