台灣上市電子股股價對於除權訊息過度反應之研究－過度自信假說之再檢驗

A Study of Taiwan Electronic Stock Price Overreaction to Ex-dividend Information: Reexamining Investors' Overconfidence Hypothesis

郭貞吟 ； 崔可欣

《華人經濟研究》 8卷1期 (2010/03) Pp. 55-90

https://doi.org/10.30065/JCER.201003.0003

摘要

本文以Daniel，Hirshleifer and Subrahmanyam (1998) DHS模型，檢驗投資人對於台灣MSCI 50檔上市電子股除繼訊息的反應，實證結果發現，在多頭市場，投資人對於訊息過度自信，使股價過度反應，於董事會後反縛，與許光華等人(2004)發現一致；與其不同的是，在空頭市場，投資人對訊息無自信不足，使股價延遲至股東會後反轉，而是在董事會後即反轉，與De Bondt and Thaler (1985)股價需很長時間才會自我修正的觀點不符，但支持Williams(1956)股價過度反應及Odean(1998)過度自信觀點，而且，因多、空頭市場股價過度反應，皆於董事會後反縛，所以，董事會前後股價波動幅度大於股東會。

關鍵字

過度自信 ； 過度反應 ； 投資人心理 ； 行為財務學 ； DHS模型

並列摘要

This study is to examine stock price reaction of MSCI electronic stocks to ex-dividend information by DHS model proposed by Daniel, Hirshleifer and Subrahmanyam (1998). Our result shows that the in Bull market, investors are overconfident of ex-dividend information, so stock price overreacts and reverses around Board Meeting. This result is compatible with Kuang-Hua Hsu el.(2004). Unlike their findings, in Bear market, investors are not conservative, so stock price reverses around Board Meeting instead of Shareholders Meeting, which is not consist with De Bondt and Thaler (1985), but in support of overreaction and overconfidence hypothesis of Williams (1956) and Odean (1998). Moreover, in both markets, stock price reversing point occurs around Board and Trustees Meeting. Therefore, the magnitude of volatility around Board and Trustees Meeting is larger than that around Shareholders Meeting.

並列關鍵字

Overconfident ； Overreaction ； Investor Psychology ； Behavior Finance ； DHS Model