台灣股市機構投資人處分效果之實證研究

The Disposition Effect of Institutional Investors in Taiwan Stock Market

林泉源(Chuang-Yuang Lin)；吳瑞山(Ruey-Shan Wu)；黃婉華(Wan-Hua Huang)

處分效果 ； 行為財務學 ； Disposition Effect ； Behavioral Finance

企業管理學報

68期（2006 / 03 / 01）

87 - 132

繁體中文

有鑑於機構投資人投資於台灣證劵市場的比重不斷增加，且具有專業的分析能力，一般均認為其投資行為較為理性，故其投資動向每每備受關注。而機構投資人中的自營商具有活絡市場交易之功能，其投資策略與行為實具有重要的研究價值。因此本研究以自營商為主要研究對象，透過處分效果之研究，深入探討台灣的股票市場在不同的觀察構面下，是否受到市場的異常現象所影響；同時，並進一步透過實證分析，確認台灣的自營商在從事投資活動的過程中，其投資行為是否存在行為財務理論中的處分效果，以檢視台灣股票市場的自營商是否符合理性行為。 本研究利用Weber and Camerer(1998)之研究方法，自資料庫取得2004年1月2日至2005年12月30日，全體自營商投資於台灣證券集中市場中所有上市公司之普通股，透過計算處分係數，再進行顯著性檢定，藉以判定整體自營商是否存在處分效果之行為，以及市場異常現象之存在是否將影響其投資決策與行為。實證結果如下： 1.自營商之整體投資行為不存在處分效果。 2.自營商投資於電子類股之處分效果較其餘各類股之處分效果強烈。 3.自營商於春節期間與年底期間之處分效果較為顯著。 4.以公司規模區分，自營商無論投資於大規模或小規模公司，皆不存在處分效果。 5.以市場行情區分，自營商於多頭行情時處分效果較空頭行情時顯著。最後，再針對上述結論提出可能之解釋，冀望透過本研究能讓投資人更了解自營商的投資行為。

Taiwan investors often rely on suggestions from institutional investors since they are regard as professional. Dealers, different from foreign investors and investment trust particularly stimulate the trade in stock market. Therefore, we would like to discuss the investment psychology of dealers. We tried to examine the disposition effect of institutional investors by using the trading data of dealers in Taiwan stock market and the impact of anomalies in the stock market to dealer's investment decision. The empirical results present that: (1) Dealers don't exhibit the disposition effect; (2) the disposition effect of electric firms is stronger than non-electric ones; (3) the disposition effect in January、February and December is stronger than other months; (4) no matter big or small firm size, there is no disposition effect; (5) the disposition effect in the bullish market is stronger than the bearish market. Finally, we make conclusions to explain the results.

1. Banz, R. W.(1981).The relationships between return on market value of common stocks.Journal of Financial Economics,46,369-382.
2. Bremer, M.,Kato, K.(1996).Trading volume for winners and losers on the Tokyo Stock Exchange.Journal of Financial & Quantitative Analysis,31,127-143.
3. Chan, K. C.,Nan-Fu Chen(1991).Structural and return characteristics on small and large firms.Journal of Finance,46,1467-1485.
4. De Bondt, W.(1993).Betting on trends：Intuitive forecasts of financial risks and return.International Journal of Forecasting,9,355-371.
5. Dyl, E.(1977).Capital gains taxation and the year-end stock market behavior.Journal of Finance,32,165-175.
6. Fama, E. F.(1970).Efficient capital markets：A review of theory and empirical work.Journal of Finance,25,383-417.
7. Fama, E. F.,French, K. R.(1988).Permanent and temporary components of stock prices.Journal of Political Economics,33,3-25.
8. Ferris, S. P.,Haugen, R. A.,Makhija, A. K(1988).Predicting contemporary volume with historic volume at differential price levels：evidence supporting the disposition effect.Journal of Finance,43(3),677-699.
9. Francis, J. C.(1986).Portfolio analysis
10. Garvey, R.,Murphy, A.(2004).Are professional traders too slow to realize their losses?.Financial Analysts Journal,60(4),35-43.
11. Glick, I.(1957).University of Chicago.
12. Jegadeesh, N.,Titman, S.(1993).Returns to buy winners and selling losers: Implications for stock market efficiency.Journal of Finance,48,65-91.
13. Kahneman, D.,Tverskey, A.(1979).Prospect theory: an analysis of decision under risk.Econometrica,47,263-291.
14. Kahneman, D.,Tverskey, A.(1981).The framing of decisions and the psychology of choice.Science,211,453-458.
15. Lakonishok, J.,Smidt, S.(1986).Volume for winners and losers：Taxation and other motives for stock trading.Journal of Finance,41,951-974.
16. Locke, P.,Mann, S. C.(2000).Do professional traders exhibit loss realization aversion.Working paper, George Washington University.
17. Moskowitz, T.,Grinblatt, M.(1999).Do industries explain momentum?.Journal of Finance,54,1249-1290.
18. Nofsinger, J. R.(2004).The psychology of investing.New Jersey:Prentice-Hill.
19. Odean, T.(1998).Are investors reluctant to realize their losses?.Journal of Finance,53,1775-1798.
20. Olsen, R. A.(1998).Behavioral finance and its implications for stock-price volatility.Financial Analysts Journal,54,10-18.
21. Ranguelova, E.(2001).Disposition effect and firm size：new evidence on individual investor trading activity.Harvard University.
22. Reinganum, M. R.(1981).Misspecification of capital asset pricing：Empirical anomalies based on earnings amd yields and market values.Journal of Financial Economics,9,19-43.
23. Ritter, J.(1988).The buying and selling behavior of individual investors at the turn of the year.Journal of Finance,53,1775-1793.
24. Schlarbaum G. G.,Lewellen W. G.,Lease R. C.(1978).Realized returns on common stock investments: The experience of individual investors.Journal of Business,51,299-325.
25. Shapira, Z.,Venezia, I.(2001).Patterns of behavior of professionally managed and independent investors.Journal of Banking & Finance,25(8),1573-1587.
26. Shefrin, H,Statman, M.(1985).The disposition to sell winners too early and ride losers too long: Theory and Evidence.Journal of Finance,40,777-790.
27. Statman, M.(1999).Behavioral Finance：Past battles and future engagements.Financial Analysts Journal,55,18-28.
28. Thaler, R. H.(1985).Mental accounting and consumer choice.Marketing Science,4,199-214.
29. Thaler, R. H.(1999).Mental accounting matters.Journal of Behavioral Decision Making,12(3),183-206.
30. Weber, M.,Camerer, C.(1998).The disposition effect in securities trading: an experimental analysis.Journal of Economic Behavior and Organization,33,167-184.
31. 古金尚(2003)。碩士論文(碩士論文)。朝陽科技大學財務金融研究所。
32. 沙勝毅(2000)。碩士論文(碩士論文)。銘傳大學國際企業管理研究所。
33. 沈宜正(2005)。碩士論文(碩士論文)。雲林科技大學財務金融研究所。
34. 林秉瑋(2003)。台灣股市散戶投資人處分效果之實證研究。朝陽科技大學財務金融研究所。
35. 許祐瑞(2002)。台灣股市散戶與三大法人處分效果之研究。高雄第一科技大學金融營運研究所。
36. 許詩易(2004)。碩士論文(碩士論文)。朝陽科技大學財務金融研究所。
37. 郭敏華(2002)。投資心理學。台灣培生教育出版股份有限公司。
38. 郭敏華(2004)。行爲財務學。智勝文化事業有限公司。
39. 陳怡芳(2005)。碩士論文(碩士論文)。東華大學國際經濟研究所。
40. 曾瑞弘(2002)。碩士論文(碩士論文)。靜宜大學會計研究所。
41. 盧育明(2004)。行爲財務學。商鼎文化。
42. 顏月珠(1995)。商用統計學。三民書局股份有限公司。
43. 龔怡霖(2001)。碩士論文(碩士論文)。中央大學財務管理研究所。

1. 蔡友詮、吳桂燕、江淑貞(2011)。現金增資採用公開申購除權後之機構法人與散戶處分效果之研究。企業管理學報，88，69-90。
2. 劉海清、傅英芬(2010)。處分效果、紀律投資與股價趨勢。東吳經濟商學學報，69，83-118。
3. (2024)。存股策略與股權結構分析－以泛金融官股為例。商管科技季刊，25(1)，33-65。