台灣散戶投資人與機構法人處分效果之研究：考量資訊揭露、股票風險與投資人情緒之實證結果

The Disposition Effect of Individual Investors and Institutional Investors in Taiwan Stock Market: Evidence from Information Disclosure, Stock Risk and Investor Sentiment

徐中琦(Jonchi Suyu) ； 黃劍鈺(Jian-Yu Huang)

《商管科技季刊》 11卷1期 (2010/03) Pp. 109-138

https://doi.org/10.30083/CMQ.201003.0005

摘要

處分效果(disposition effect)爲投資人有急售獲利、惜售損失的傾向，也是行爲財務學探討投資人非理性行爲的論點之一。本研究參考Weber and Camerer(1998)所提出的處分係數方法，對台灣股票集中市場的散戶、自營商、投信基金、外資法人進行處分效果之驗證，並探討考慮了公司資訊揭露透明度、股票風險與投資人情緒等變數後，是否會對處分效果產生影響。 實證結果發現散戶的處分效果最爲強烈，其次爲自營商，投信基金的處分效果最弱，外資法人則不具有處分效果。散戶與自營商不論投資資訊揭露透明度較佳或較差的公司，都具有處分效果；但是自營商在投資透明度較佳的公司時，處分效果比較輕微；而投信基金在投資資訊揭露透明度較差的公司時，具有處分效果，但是在投資透明度較佳的公司時，處分效果則不顯著；外資法人不論投資資訊揭露透明度較佳或較差的公司，都具有逆處分效果。此外，散戶與自營商不論投資風險較大或較小的公司都具有處分效果，但股票過去報酬率波動幅度的大小並不會影響散戶、自營商與投信基金的處分效果。最後，投資人不論情緒樂觀或悲觀，都具有處分效果，當投資人的情緒樂觀時，有較弱的贏家出盈傾向，較強的輸家保虧傾向。

關鍵字

處分效果 ； 資訊揭露 ； 股票風險 ； 投資人情緒

並列摘要

The disposition effect, the tendency of investors to sell winning investments too soon and hold losing investments too long, which explores the irrational behavior of investors, is one of the important issues in behavioral finance. We employ the disposition coefficient approach proposed by Weber and Camerer (1998) to test the disposition effect of all kinds of investors in Taiwan stock market. In addition, we also study the potential effect of information disclosure、stock risk and investor sentiment on the disposition effect.
The empirical results show that the disposition effect of individual investors is the strongest. Dealers are in the next place. The disposition effect of securities investment trust companies is relatively weak. Qualified Foreign Institutional Investors（QFII） exhibit no disposition effect. Moreover, individual investors and dealers show the disposition effect, no matter what degree of company's information disclosed. But when dealers invest in highly information disclosing company, the disposition effect is weaker. Securities investment trust companies show the disposition effect when they invest in low information disclosing company, however, when they invest in highly information disclosing company, the disposition effect become insignificant. QFII exhibit no disposition effect, no matter what degree of company's information disclosed. Individual investors and dealers show the disposition effect when they invest in high risk or low risk stock. In addition, we also find that the volatility of past stock return doesn't influence the disposition effect of individual investors、dealers and securities investment trust companies. Finally, investors show the disposition effect no matter what sentiment they have. When investors are optimistic, they show weaker winning disposition effect and stronger losing disposition effect.

並列關鍵字

Disposition Effect ； Iinformation Disclosure ； Stock risk Investor Sentiment

參考文獻

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