由於財務學與投資學的實證研究不斷發現所謂的「異常現象」(Anomaly),與傳統財務學的理性預期假設產生嚴重衝突,無法再以隨機偏誤看待,乃有一小部份的學者決定大膽地移轉典範(Paradigm Shifting),採納過去幾不見容於於理性學派的心理偏誤,做為了解投資行為的另一種可能詮釋。此一嚐試竟出人意表原畆得令人驚喜的收穫,財務經濟學家發現人們的投資行為非但遠遠不及傳統財務學所假設的理性標準,而且還處處可見可預測的系統性偏誤,出盈保虧即是其中十分引人注意的一個現象。也就是說,若是投資人手上所持有的投資組合中有盈有虧,則其在決定賣出持股時,往往選擇賣掉已經賺錢的股票,而保留帳上虧損的股票。這種投資決策完全不根據個股的真實價值,是一種非理性行為,而根據代統財務學,縱使有少數投資人呈現非理性傾向,也會被彼此抵銷,再加上扇大的套利力量,終將使所謂的非理性消逸無縱,教市場歸於理性而效率。 到目前為止有少數幾篇研究利用個別投資人帳戶實證發現,投資人確有出盈保虧的行為傾向,但皆非就系統性的市場行為提出明證。本研究即針對此一議題,以整體股市為研究對象深入剖析,以實證指出此種「非理性偏誤」未必是少數投資人的個別現象,以台灣股市而言,即明顯地呈現系統性的出盈保虧傾向,不容再漠然以對;在研究期間中的美國股市則未發現此一傾向,似意味股市投資人結構的機構化有助於降低投資偏誤。
Disposition effect has earned most attention in the behavioral finance, among others. That is, investors always sell winners too early and ride losers for too long. This contradicts to the classical finance, which argues that arbitrage forces are powerful enough to erase all the irrational deviation. Using the data of individual investors' trading account, a small number of paper empirically find evidence of the disposition effects. However, they still are not based on the systematic market phenomenon. This study explores the market as a whole and demonstrates that the irrational biases could be a market wide inclination. Taiwan market shows significant disposition effect while the USA stock market did not reveal this effect during the research period, may implying the institutionalization being useful in reducing the investment bias.