藉由孿生證?觀察非理性的投資行為

Irrational Investors’ Behavior Judging From Evidence of the Siamese Twins

張哲嘉(Chang, Che-Chia)

指導教授 ： 劉曦敏

國立臺北大學/社會科學學院/經濟學系/碩士(2009年)

摘要

行為財務學認為，投資人在建立投資組合時會受到代表性捷思與保守性偏誤等心理因素的影響。前者指的是，人們會看重某些代表性的資訊，而忽略機率的法則；後者指的是，投資人雖會根據資訊修正自身的行為，但修正的速度非常緩慢，因此並不認同盈餘呈隨機變化的走勢，而使股票價格偏離了基本價值。本研究利用行為財務學的理論實證探討孿生股票價格偏離的原因。

若市場沒有摩擦、且套利是不受限制的，則有同樣基本面的孿生股票價格應該符合一價法則。本文以台積電和聯電在美國發行的ADR與對應的國內標的股為樣本進行研究，發現ADR與標的股存在著大幅度的價格偏離，隱含台美兩地的投資人有著不同風格的投資行為，而持續的價格偏離亦顯示套利受到限制。如Scruggs(2007)，我們定義迴歸式殘差的條件異質變異為雜訊交易者風險。台積電的雜訊交易者風險早期較高、近幾年較低，聯電的雜訊交易者風險型態則相反。然而，無論是台積電或聯電，其孿生股票價格偏離的型態與雜訊交易者風險的型態皆類似，顯示雜訊交易者風險可能是造成台積電和聯電孿生股票套利受限和價格偏離的主因。

關鍵字

行為財務學 ； 代表性捷思 ； 保守偏誤 ； 雜訊交易者風險 ； 孿生股票

並列摘要

Behavioral finance considers that psychological factors like representativeness heuristic and conservatism bias will affect investors while constructing their portfolios. Representativeness heuristic means representative information being evaluated disproportional to its share in the probability distribution. Conservatism bias implies that investors are willing to adjust their behavior based on new information, but not fast enough. This may lead to their disagreement with corporations’ random earnings, thus making stock prices deviate from their fundamental values through trading. The purpose of this study is to use the behavioral finance theory to empirically investigate price deviation causes of the Siamese twins.

If markets are frictionless and arbitrage is not limited, then the law of one price would hold for the Siamese twins. We use price data of TSMC (Taiwan Semiconductor Manufacturing Company) and UMC (United Microelectronics Corporation) as samples to perform the research. It is found that price deviations between both TSMC’s and UMC’s ADRs (American Depository Receipts) and their domestic stocks are large, implying investors’ behavior styles being different in the Taiwan and American markets. And the long-lasting price deviations suggest that arbitrage is limited. Like Scruggs (2007), we define the conditional heteroscedasticity of regression residuals as noise trader risks. The risks are high in the early trading years and relatively low in the recent years for TSMC, but the opposite pattern is observed for UMC. However, for both TSMC and UMC, the price deviation patterns are similar to corresponding patterns of their noise trader risks. Therefore, noise trader risks may be the main cause of price deviations and restricted arbitrage for the Siamese twins studied.

並列關鍵字

behavioral finance ； representativeness heuristic ； conservatism bias ； noise trader risk ； Siamese twins

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