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  • 學位論文

可得性偏誤及投資人對分析師推薦評等之反應

Availability Bias and Investors' Reaction to Analyst Recommendation

指導教授 : 林美珍
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摘要


Tversky and Kahneman(1973)指出,人們在面臨不確定的狀況時,傾向以過去經驗做決策與判斷,也就是所謂的捷思(heuristics),而可得性捷思(availability heuristic)為當估計事件發生可能性時,會以易聯想到的程度、事件發生頻率、事物的熟悉性、記憶的清晰度等因素來影響其決策與判斷。而在台灣的股票市場散戶比例高,散戶資訊取得緩慢且不容易,相較於機構投資人比例高的國家的股市,易受不確定資訊影響股市波動,因此受到可得性偏誤影響的可能性也較大。本文採用事件研究法,將分析師推薦評等改變視為公司事件,並將異常報酬及異常交易量作為投資人反應的指標,且參照Kliger and Kudryavtsev(2010)將可得性偏誤分為兩大觀點:結果可得性(outcome availability)及風險可得性(risk availability),探討在台灣的可得性偏誤及投資人對於分析師推薦評等發布之反應。 研究結果顯示台灣證券市場投資人不存在結果可得性偏誤及風險可得性偏誤,但可以發現公司的特性對異常報酬也有顯著的效果,當公司的beta值越高、波動度越高,分析師發布降評時,公司異常報酬越小。整體結果顯示分析師推薦降評時的可得性偏誤效果比升評時的效果更為顯著,對於公司的異常報酬影響也更為顯著,研究與Akhtar, Faff, Oliver, and Subrahmanyam(2012)的結論相似,認為市場存在負面效果(negativity effect),負面資訊對市場報酬具有顯著的負向影響,正面訊息則對市場報酬則無顯著的影響力。

並列摘要


Tversky and Kahneman (1973) proposed that people tend to make decisions based on experiences while facing with uncertainty. It is known as heuristics. People use heuristic to judge frequency and the probability of events. Using the availability heuristic, people would judge the probability of events by the ease in which instances could be brought to mind. Thus, using the availability heuristic, people would judge an event to be more likely to occur if they could think of more examples regarding that event. A high proportion of retail investors in Taiwan may influence the stock market more than other countries. In our research, we employed the analyst recommended rating changes as a company event, and refer abnormal return and abnormal trading volume indicators of investors' reaction. Furthermore, according to Kliger and Kudryavtsev(2010), we divided the availability bias into two aspects: outcome availability and risk availability. Our results show that investors in Taiwan have neither outcome availability nor risk availability. The company's characteristics also have significant effects on abnormal returns. Overall, our results are similar to those of Akhtar, Faff, Oliver, and Subrahmanyam(2012), namely that negative information has more significant effect on stock than positive information.

參考文獻


Tversky, A., & Kahneman, D. (1973). Availability: A Heuristic for Judging Frequency and Probability. Cognitive Psychology, 5(2), 207-232.
Tversky, A., & Kahneman, D. (1974). Judgment Under Uncertainty: Heuristics and Biases. Science, 185(4157), 1124-1131.
Varian, H.R. (1985). Non-parametric Analysis of Optimizing Behavior with Measurement Error. Journal of Econometrics, 30(1), 445-458.

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