數字資訊揭露型態與參考點效果對投資人行為決策影響之實證研究

The effects of numerical information disclosure formats and anchoring effect on investors behavioral decision: An empirical Study

劉致緯(Liu, Chih-Wei)

指導教授 ： 林泉源

國立臺北大學/商學院/企業管理學系/博士(2008年)

摘要

國內外之文獻研究發現投資人之投資決策呈現處分效應，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。過去研究因數字資訊揭露型態導致投資決策變化的非理性決策行為，忽略了股價具有參考點因素，並且對於已經証實的情境變數未能通盤考量，致使此一知識體系發生扞格與衝突。

本研究以證券市場投資人為研究對象。對300位具有股票投資經驗的投資人蒐集資料，問卷採多因子實驗設計(2×5)，而每一實驗情境受測者為30人。應變項為處分效應，自變項為數字揭露型態與參考點效果，干擾變項包括過度自信與風險態度。資料採用Two-Way ANCOVA檢驗交互效果。

研究結果顯示數字資訊揭露型態與參考點對「處分效應、決策信心與情緒」有顯著的交互效果，且兩因素各自對於賣出獲利股票張數、保留虧損股票張數、決策信心水準及報酬快樂程度具顯著單純主要效果。本研究亦部份支持展望理論具解釋形成處分效應之心理歷程，研究發現投資人之處分效應的確是屬於自覺的偏好行為。

關鍵字

數字資訊揭露型態；參考點效果；處分效應；過度自信；投資人情緒

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. Previous research works on behavior of decision makers taking irrational actions of investment decisions due to the numerical information format have neglected the impact of the elements of anchoring effect the stock prices might have had before.
This study analyzed the result of actual operation of stock market investors. The data is composed of stock investors and is collected by 300 questionnaires. The questionnaires use multiple factors design (2×5) and the numbers of experiment subjects are 30 in each experiment scenario. The dependant variable is disposition effect; independent variables are the Numerical Information Format and Anchoring Effect; and the intervening variables are the overconfidence and the attitude of risk. Two-way ANCOVA was conducted to assess the interact effect.
The results present numerical information format and anchoring effect have significant interaction effects on disposition effect、 confidence of decision and emotion, and two factors have simple main effect separately on selling gain stocks、 keep lose stocks、confidence of decision and happiness of win. This research also partly supports prospect theory to explain the psychological course which forms disposition effect. The finding indicates investors' disposition effect really a conscious partiality behavior.

並列關鍵字

numerical information disclosure format ； anchoring effect ； disposition effect ； overconfidence ； investor emotion

參考文獻

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