展望理論、心理帳戶、與動能效果於台灣股票市場之實證分析

An Empirical Analysis of Prospect Theory, Mental Accounting, and Momentum in Taiwan Stocks Market

蔡詩豪(Shih-Hao Tsai)

指導教授 ： 林允永 ； 邱忠榮

淡江大學/商學院/財務金融學系碩士班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.00347

摘要

本研究為跟隨Grinblatta, and Han(2005). “Prospect theory,mental accounting,and momentum”，研究方法以Panel data 模型進行分析研究，主要探討在展望理論和心理帳戶的架構下，台灣股市是否存在動能效果。研究目的有三：首先，針對台灣股市在不同期間下，探討相關變數對於股票報酬率的解釋能力，以及是否存在動能效果的現象。其次，在處分效果投資行為下，基於投資人對於獲利與損失兩者風險傾向不對稱的基礎論點，來檢視此種損益不對稱的風險態度對於動能策略的影響。最後，本文將探討在展望理論和心理帳戶的架構下，比起其他變數，超額資本利得變數是否有更佳的解釋能力，甚至是使用動能策略能獲利與否的重要關鍵變數。
實證結果發現，在樣本期間內，台灣股市存在動能效果與規模效應；而在模型中引入新興的超額資本利得因子後，股價動能效果並未消失，與Grinblatt and Han (2005)的結論有著不同論調，可能是由於市場特性不同和投資者之行為及觀念有所差異造成，但在台灣市場中超額資本利得變數仍為一個有效的解釋因子。

關鍵字

展望理論 ； 心理帳戶 ； 動能效果

並列摘要

Based on the research conducted by Grinblatta, and Han(2005), the study focuses on whether momentum exist in Taiwan stock market under the framework of prospect theory and mental accounting, within Panel Data model. There are three objectives in this research. Firstly, the study probes into the relationship between relative factors and stock returns and whether momentum exist during different periods of Taiwan stock market. Secondly, it analyzes the influence of momentum strategies on asymmetric risk attitude of investors under the disposition effect. Finally, the study investigates, in comparison with other factors, whether capital gain overhang factor has better ability of prediction, or even it’ could be a key factor of gain or loss when investors make use of momentum strategies.

Research findings indicate that , first of all, momentum and size effects indeed exist in Taiwan stock market during sample periods. In addition, momentum didn’t disappear after capital gain overhang factor was drawn into the regression model. This finding is different from that claimed in Grinblatt and Han’ study. The characteristics of single market and investor’ behaviors may cause these differences; however, capital gain overhang factor still plays a significant role in explaining stock returns in Taiwan stock market.

並列關鍵字

Prospect Theory ； Mental Accounting ； Momentum

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