市場走勢與風險態度對處置效應影響之實驗證據：兼論展望理論解釋之有效性

The Influence of Market Trend and Risk on Disposition Effect: The Explanation of Rospect Theory

張孟婷(Meng-Ting Chang)

指導教授 ： 顏信輝

淡江大學/管理學院/會計學系碩士班/碩士(2005年)

https://doi.org/10.6846/TKU.2005.00166

摘要

國內外之檔案研究發現投資人之投資決策呈現處置效應，亦即投資人傾向急售利得惜售損失，惟檔案研究結果為市場整體現象，並非直接測試個人層面之決策，且干擾變數亦較難完全控制。本研究改採內部效度較佳之實驗法進行，除探討個人投資決策之處置效應外，亦進一步分析整體市場走勢（多頭或空頭）以及個人風險傾向（風險追求或風險規避）對處置效應之影響。實驗一之受試者為具有投資經驗之台北與高雄證券從業人員345位及大學商管學院學生452位，採2（持股利得、持股損失）*2（多頭市場、空頭市場）*2（風險追求、風險規避）之3因子受試者間設計。研究發現不論在多頭或空頭市場走勢下，受試者均呈現顯著之處置效應，且統計檢定亦支持不論是追求風險或是規避風險之受試者，均仍呈現顯著之處置效應。此外，整體而言，當證券從業人員與學生係採組合型之投資方式時，便不會呈現顯著之處置效應。另外，本研究亦部份支持展望理論具解釋形成處置效應之心理歷程。本研究實驗二探討是否處置效應之堅靭性係可能由於投資人自身之偏好所導致，受試者為154位證券從業人員及學生78位，證券從業人員分別來自台北市與高雄市證券商同業公會所舉辦之受訓課程，學生則分佈於全國十所大學商管學院中，研究發現投資人之處置效應的確是屬於自覺的偏好行為。

關鍵字

處置效應 ； 展望理論 ； 市場走勢 ； 風險態度

並列摘要

The archival researches discover that investors' investment decision appears the disposition effect, namely investors tend to sell winning stocks too early and ride losing stocks too long. However, the results of archival studies are presented in aggregate market level, not directly testing the decision of the personal aspect, and confounding variables cannot be totally controlled. Experiment Ⅰis a 2 (hold winners, hold losers) by 2 (bull market, bear market) by 2 (risk seeking, risk averse) between-subjects design, to explore the disposition effect, and to analyze the influence of the market trend (bull or bear market) and the personal risk attitude (risk seeking or risk averse) on the disposition effect. The subjects of the experiment are 345 security staff who have investment experience, from Taipei and Kaouhsiung, and 452 undergraduate students from college of business and management. The main results of this study support the robustness of the disposition effect, not only for the different market trend conditions, but also for the different risk attitudes. Furthermore, when security staff and students adopt portfolio, they will not present significant disposition effect. In addition, this research also partly supports prospect theory to explain the psychological course which forms disposition effect. Experiment Ⅱ examine whether robustness of disposition effect is perhaps because of investors’ own partialities. Subjects are 154 security staff, come from on-career training that Taipei and Kaohsiung securities association holds separately and 78 undergraduate students from college of business and management. The finding indicates investors' disposition effect really a conscious partiality behavior.

並列關鍵字

disposition effect ； prospect theory ； market trend ； risk attitude

參考文獻

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