利用2003年至2012年台灣股市上市公司的追蹤資料,本研究探討資訊模糊對融資交易者交易行為的影響。首先,本文的實證結果顯示,因為保證金追繳的要求,融資交易者賣出輸家股票的傾向高於賣出贏家股票的傾向。其次,與最大期望效用一致,無論資訊模糊程度是高還是低,融資交易者賣出過去輸家的股票多過於賣出過去的贏家的股票。第三,相對於低資訊模糊情況,融資交易者在高資訊模糊情況下較少賣出過去輸家股票,支持資訊模糊程度增加過度自信。最後,在低資訊模糊的時候,投資者較為相信公開訊息,並減少對私有訊息的信賴,因融資交易者相信輸家股票價格反轉可能性相當低,故融資交易者賣出輸家股票的傾向高於賣出贏家股票的傾向。
Using balanced panel data over 2003 to 2012 in Taiwan stock markets, this study examines the impacts of information ambiguity on margin purchasers’ trading behaviors. First, the empirical results suggest that margin purchasers sell loser stocks more than sell winner stocks because of margin call requirement. Second, consisting with maximum expected utility margin purchasers sell past loser stocks more than sell past winner stocks no matter when information ambiguity is high or low. Third, margin purchasers sell loser stocks at time of high ambiguity less than at time of low ambiguity, which consists with the hypothesis of information ambiguity increases overconfidence. Finally, at times of low information ambiguity, margin purchasers believe more in public signals and less in private information. Consequently, they believe the price mean reverse is less likely; hence, they have higher propensity of selling loser stocks than of selling winner stocks.