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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/30987
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/30987


    Title: 錯置效果於台灣股票型共同基金之實證
    Authors: 張心怡
    CHANG, HSIN-YI
    Contributors: 徐燕山
    HSU, YEN-SHAN
    張心怡
    CHANG, HSIN-YI
    Keywords: 錯置效果
    股票型共同基金
    Odean 模型
    已實現利得比率
    已實現損失比率
    Disposition Effect
    Equity Mutual Funds
    Odean Model
    Proportation of Gains Realized
    Proportation of Losses Realized
    Date: 2005
    Issue Date: 2009-09-14 09:00:47 (UTC+8)
    Abstract: 在效率市場支配財務理論數十年後,市場上發現許多違反傳統訂價理論與理性假設的現象,以心理學為基礎的行為財務學因而掘起,將投資人之主觀行為及心理因素納入決策分析之考量。本研究便是以台灣股票型共同基金為研究對象,探討行為財務學中的錯置效果,了解是否台灣之股票型共同基金存在“急售利得,惜售損失”的現象。

    <br> 本研究首先以Odean模型之概念,計算基金投資之已實現利得比率與已實現損失比率,再用兩者之差形成錯置效果之代理變數:Disposition Spread (DISP),當DISP為正時,表示樣本基金存在錯置效果傾向,偏好實現利得。接著計算基金之Jensen’s Alpha,用以代表基金績效,利用迴歸模型觀察基金績效與錯置效果間之關聯性。最後再進一步透過DISP分成五級,觀察錯置效果是否存在持續性。
    <br>研究結果發現,台灣的股票型共同基金不存在錯置效果之傾向,不論是整體基金而言,或是分類觀察之,皆不存在錯置效果之傾向。但是總樣本觀察值中,有33%的比例出現正的DISP值,因此無法斷言共同基金完全不受錯置效果之影響。而錯置效果與基金績效間,則是存在顯著的負相關,即錯置效果越明顯者,其績效表現越差。普遍而言,台灣股票型共同基金錯置效果不存在顯著的持續性,每一期的基金DISP在各分級變動機率均約在20%上下。
    For several decades, financial literature was dominated by the idea of efficient market. However, we can find many phenomena which violate traditional pricing model or the hypothesis of rational investors. That’s why behavioral finance arises. Behavioral finance takes investors’ subjective and mental factors into account while talking about their decision making process. Based on behavioral finance, this study examines the disposition effect of Taiwan equity mutual funds. We want to know if Taiwan equity mutual funds appear to realize gains more readily than losses.<br>This study follows Odean model analyzing disposition effect by first calculating proportion of gains realized (PGR) and proportion of losses realized (PLR) of equity mutual funds. Then form the disposition effect proxy, Disposition Spread (DISP), by measuring the difference between PGR and PLR. While positive DISP existed means that sample funds exhibit a propensity to sell their winning stocks and hold on to their losers. Furthermore, we want to know whether the disposition effect influences the performance of mutual funds. Finally, separating samples in to five groups by DISP, we want to figure out if funds exists consistency in disposition ranking.<br>On average, mutual funds appear to realize losses more readily than gains. However, about 33% of the sample observations exhibit disposition effect. The disposition effect is negatively related to fund performance. Generally speaking, Taiwan equity mutual funds do not have consistency in disposition ranking.
    Reference: 中文參考文獻
    白芳苹,「基金投資人之錯置效果—台灣地區實證研究」,國立台灣大學財務金融研究所碩士論文,民國九十一年。
    李朝明,「臺灣股票市場投資人錯置效果與盈虧之細部研究」,國立台灣大學財務金融研究所碩士論文,民國九十二年。
    沙勝毅,「台灣股票市場散戶與外資投資心理之比較研究」,私立銘傳大學國際企業研究所碩士論文,民國八十九年。
    林秋雲,「股票投資人錯置效果之研究」,私立輔仁大學應用統計學研究所碩士論文,民國九十一年。
    林秉瑋,「台灣股市散戶投資人處分效果之實證研究」,私立朝陽科技大學財務金融系碩士論文,民國九十二年。
    范相鈞,「應用多重比較法評估台灣股票市場開放式共同基金績效」,國立成功大學統計學研究所碩士論文,民國九十三年。
    袁正達,「認知失調與處置效應之行為研究—以台灣股票投資人為例」,私立世新大學財務金融研究所碩士論文,民國九十三年。
    許祐瑞,「台灣股市散戶與三大法人處分效果之研究」,國立高雄第一科技大學金融營運研究所碩士論文,民國九十一年。
    曾瑞宏,「台灣股市投資人處分效果之研究」,私立靜宜大學會計學系碩士班碩士論文,民國九十二年。
    龔怡霖,「行為財務學—文獻回顧與未來發展」,國立中央大學財務管理研究所碩士論文,民國八十九年。
    英文參考文獻
    Andreassen, P. B., 1988, “Explaining the Price—Volume Relationship: The Difference between Price Changes and Changing Prices.” Organizational Behavior and Human Decision Processes, vol. 41, pp. 371-389.
    Barber, Brad M. and Terrance Odean, 1999, “The Courage of Misguided Convictions.” Association for Investment Management and Research, November/December 1999.
    Case, Karl and Robert Shiller, 1998, “The Behavior of Home Buyers in Boom and Post Boom Markets.” New England Economic Review, pp. 29-46.
    Cici, Gjergji, 2005, “The Relation of the Disposition Effect to Mutual Fund Trades and Performance.” Working Paper, Wharton School, University of Pennsylvania.
    Constantinides, George, 1984, “Optimal Stock Trading With Personal Taxes.” Journal of Financial Economics, vol.13, pp. 65-89.
    Ferris, Stephen, Robert Haugen, and Anil Makhija, 1988, “Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting the Disposition Effect.” Journal of Finance, vol. 43, pp. 677-697.
    Frazzini, Andrea, 2004, “The Disposition Effect and Under-reaction to News.” Working Paper, Yale ICF. No. 04-24.
    Haugen, Robert A., 2002, “The Inefficient Stock Market.” Prentice Hall 2nd, pp. 3.
    Huddart, Steve. and V.G. Narayanan, 2002, “An Empirical Examination of Tax Factors and Mutual Funds’ Stock Sales Decisions.” Review of Accounting Studies, vol.7, pp. 319-341.
    Jegadeesh, Narasimhan, and Sheridan Titman, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” Journal of Finance, vol. 48, pp. 65-91.
    Jensen, Michael, 1968, “The Performance of Mutual Funds in the Period 1945-1964.” Journal of Finance vol. 23, pp. 389-419
    Jin, Li and Anna Shcerbina, 2006, “Inheriting Losers.” Working Paper, Harvard Business School.
    Kanhneman, D., and A. Tversky, 1979, “Prospect Theory: An Analysis of Decision under Risk.” Econometrica , vol.47, pp. 263-291.
    Lakonishok, J. and Seymour Smidt, 1986, “Volume for Winners and Losers: Taxation and Other Motives for Stock Trading." Journal of Finance, vol. 41, pp. 951-976.
    Odean, Terrance, 1998, “Are Investors Reluctant to Realize Their Losses?” Journal of Finance, vol. 53, pp. 1775-1798.
    Shefrin, Hersh and Meir Statman, 1985, “The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence.” Journal of Finance, vol. 40, pp. 777-790.
    Shleifer, A., 2000, “Inefficient Markets: An Introduction to Behavioral Finance.” Oxford University Press, Oxford, UK.
    Weber, Martin, and Colin Camerer, 1998, “The Disposition Effect in Securities Trading: An Experimental Analysis.” Journal of Economic Behavior and Organization, vol. 33, pp. 167-184.
    Description: 碩士
    國立政治大學
    財務管理研究所
    93357036
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093357036
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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