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題名 過度關注是否破壞投資績效 － 以台灣一電子交易平台資料為例
Does paying too much attention destroy investing performance? － Take a specific Taiwanese trading platform data as an instance
作者 陳昱凱
Chen, Yu-Kai
貢獻者 周冠男
Chou, Kuan-Nan
陳昱凱
Chen, Yu-Kai
關鍵詞 行為財務學
市場關注程度
有限注意力
交易
績效
behavior finance
attention
preference
trading
performance
日期 2021
上傳時間 3-Jul-2021 00:37:13 (UTC+8)
摘要 本研究旨在探討過度關注市場是否會破壞投資績效。隨著資本市場進入門檻的寬鬆，加上投資理財觀念盛行，愈來愈多人投入交易。而在網路及行動裝置盛行的現代，關注市場資訊及交易也變得容易。在生活當中很容易觀察到周遭的人裝置螢幕停留在股市相關資訊，資本市場的參與儼然成為全民運動。
過去已有許多文獻證明，過多的交易顯著有害於投資績效。但較少研究針對交易以外的行為著墨。因此，本研究將投資人在電子交易平台上的行為頻率作為「關注市場程度」之替代變數，研究其與交易次數及績效之關係；亦納入使用短期指標的多寡及投資組合的Beta值，研究投資人對於「市場觀察角度」及「風險偏好」的不同是否會影響其行為、交易及績效。此外，研究中也觀察性別、年齡及職業等用戶特徵，是否會有不同的行為、交易及績效表現。
本研究使用不同模型及樣本期間重複進行檢定，以確保結果穩健性。其中一致的研究結果如下：對市場關注程度（行為次數）愈高者，雖不必然直接破壞績效，但顯著傾向進行更多交易；而交易次數顯著對投資績效有直接損害。短期指標仰賴程度愈高者，不直接影響投資績效，對交易次數的影響也不明確，但會顯著增加其對市場關注的程度；投資組合Beta愈高者，也會顯著傾向有較多的行為次數。而男性有更多的行為及交易次數，短期指標的偏好較低，整體績效較差；年長者行為次數較少，使用技術指標比率較低，績效較佳；經驗豐富者傾向更多的行為次數，較少的交易次數，使用短期指標比率較低，投資績效較差。研究結果證實：對於市場的關注程度可能直接影響交易決策品質，或是透過交易次數的增加間接損害投資人的績效；對於短期指標的仰賴程度也可能經過行為次數的增加間接影響投資人的交易品質及次數。本研究填補過去文獻對於市場關注程度及市場觀察角度之於投資績效影響之缺口。
This study aims to explore whether over-focusing on the market will undermine investment performance. Thanks to technology development (especially the internet and mobile devices), collecting information and trading have become more available. As a result, more and more investors join the market, and investing becomes popular.
Much prior research has proved that trading is hazardous to investment performance. However, there was little research on behaviors other than transactions in the past. Therefore, this research takes the data from Taiwan as an instance, taking the frequency of investors` interaction with the application (an online trading platform) as a proxy variable for the degree of attention paid to the market, and try to study its relationship with the trading frequency and investment performance. On the other hand, I also leverage the ratio of each investor focusing on technical indicators and their portfolio Beta to study whether investors` different perspectives on the market and different risk preferences will affect their behaviors, transactions, and performance. In addition, whether the traits investors are equipped with like gender, ages, and occupation will result in different behaviors, transactions, and performances is also what I am interested in this research.
To ensure robustness, I test the hypotheses repeatedly, in different models, and at different sample duration. The empirical results are as follows: investors who pay more attention to the market (i.e., behave more frequently on the platform) will tend to trade more. And the higher trading frequency would significantly damage their investment performance. For those who rely more heavily on technical indicators, although they do not significantly affect investment performance, neither its impact on the trading frequency is clear, it will significantly increase their tendency to pay more attention to the market. For investors with a higher Beta preference, they have no significant higher trading frequency but have a significant tendency to pay more attention to the market. Besides, males have higher behavior and trading frequency, using fewer technical indicators, with worse overall performance. Elders have fewer behaviors and using fewer technical indicators, with better investment performance. Those with more experience tend to have more behaviors but fewer transactions, using fewer technical indicators, with worse investment performance. The results of this research point out that the degree of attention investors pay to the market may directly or indirectly damage their investment performance, and the degree of reliance on technical indicators would increase the tendency to pay more attention to the market.
參考文獻 Barber, B. M., Huang, X., Odean, T., & Schwarz, C. (2020). Attention-Induced Trading and Returns: Evidence from Robinhood Users. https://doi.org/https://dx.doi.org/10.2139/ssrn.3715077
Barber, B. M., Lee, Y.-T., Liu, Y.-J., & Odean, T. (2009). Just How Much Do Individual Investors Lose by Trading? Review of Financial Studies, 22(2), 609-632. https://doi.org/10.1093/rfs/hhn046
Barber, B. M., Lin, S., & Odean, T. (2021). Resolving a Paradox: Retail Trades Positively Predict Returns but are Not Profitable. https://doi.org/http://dx.doi.org/10.2139/ssrn.3783492
Barber, B. M., & Odean, T. (2000). Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors. Journal of Finance, 55, 773-806.
Barber, B. M., & Odean, T. (2002). Does Online Trading Change Investor Behavior? European Business Organization Law Review, 3, 83-128.
De Bondt, W. F. M., & Thaler, R. (1985). Does the Stock Market Overreact? The Journal of Finance, 40(3), 793-805. https://doi.org/10.1111/j.1540-6261.1985.tb05004.x
Elton, E. J., Gruber, M. J., & Blake, C. R. (1996). Survivor Bias and Mutual Fund Performance. The Review of Financial Studies, 9(4), 1097-1120. https://doi.org/https://doi.org/10.1093/rfs/9.4.1097
Howe, J. S. ( 1986). Evidence on Stock Market Overreaction. Financial Analysts Journal, 42(4), 74-77. https://doi.org/10.2469/faj.v42.n4.74
Kahneman, D., & Tversky, A. (2013). Prospect Theory: An Analysis of Decision Under Risk. In (pp. 99-127). WORLD SCIENTIFIC. https://doi.org/10.1142/9789814417358_0006
Kalda, A., Loos, B., Previtero, A., & Hackethal, A. (2021). Smart(Phone) Investing? A within Investor-Time Analysis of New Technologies and Trading Behavior. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3765652
Kemp, S. (2020). DIGITAL 2020: TAIWAN. https://datareportal.com/reports/digital-2020-taiwan
Li, J., & Yu, J. (2012). Investor attention, psychological anchors, and stock return predictability. Journal of Financial Economics, 104(2), 401-419. https://doi.org/10.1016/j.jfineco.2011.04.003
Mayer, E. J. (2021). Advertising, investor attention, and stock prices: Evidence from a natural experiment. Financial Management, 50(1), 281-314. https://doi.org/10.1111/fima.12324
Nickerson, R. S. (1998). Confirmation Bias: A Ubiquitous Phenomenon in Many Guises. Review of General Psychology, 2(2), 175-220. https://doi.org/10.1037/1089-2680.2.2.175
Odean, T. (1999). Do Investors Trade Too Much? The American Economic Review, 89, 1279-1298.
Odean, T. (2000). You Are What You Trade.
Peng, L., & Xiong, W. (2006). Investor attention, overconfidence and category learning. Journal of Financial Economics, 80(3), 563-602. https://doi.org/10.1016/j.jfineco.2005.05.003
Scheinkman, J. A., & Xiong, W. (2003). Overconfidence and Speculative Bubbles. Journal of Political Economy, 111(6), 1183-1220. https://doi.org/10.1086/378531
Schneeweis, T., Spurgin, R., & McCARTHY, D. (1996). Survivor bias in commodity trading advisor performance. The Journal of Futures Markets, 16(7), 757.
SHEFRIN, H., & STATMAN, M. (1985). The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence. Journal of Finance, 40(3), 777-790. https://doi.org/10.1111/j.1540-6261.1985.tb05002.x
Simon, H. A., Deutsch, K. W., & Shubik, M. (1996). Designing organizations for an information-rich world International Library of Critical Writings in Economics 70, 187-202.
Weber, M., & Camerer, C. F. (1998). The disposition effect in securities trading: an experimental analysis. Journal of Economic Behavior & Organization, 33(2), 167-184. https://doi.org/10.1016/s0167-2681(97)00089-9
Yuan, Y. (2015). Market-wide attention, trading, and stock returns. Journal of Financial Economics, 116, 548–564.
描述 碩士
國立政治大學
財務管理學系
108357002
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108357002
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.advisor Chou, Kuan-Nanen_US
dc.contributor.author (Authors) 陳昱凱zh_TW
dc.contributor.author (Authors) Chen, Yu-Kaien_US
dc.creator (作者) 陳昱凱zh_TW
dc.creator (作者) Chen, Yu-Kaien_US
dc.date (日期) 2021en_US
dc.date.accessioned 3-Jul-2021 00:37:13 (UTC+8)-
dc.date.available 3-Jul-2021 00:37:13 (UTC+8)-
dc.date.issued (上傳時間) 3-Jul-2021 00:37:13 (UTC+8)-
dc.identifier (Other Identifiers) G0108357002en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136048-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 108357002zh_TW
dc.description.abstract (摘要) 本研究旨在探討過度關注市場是否會破壞投資績效。隨著資本市場進入門檻的寬鬆，加上投資理財觀念盛行，愈來愈多人投入交易。而在網路及行動裝置盛行的現代，關注市場資訊及交易也變得容易。在生活當中很容易觀察到周遭的人裝置螢幕停留在股市相關資訊，資本市場的參與儼然成為全民運動。
過去已有許多文獻證明，過多的交易顯著有害於投資績效。但較少研究針對交易以外的行為著墨。因此，本研究將投資人在電子交易平台上的行為頻率作為「關注市場程度」之替代變數，研究其與交易次數及績效之關係；亦納入使用短期指標的多寡及投資組合的Beta值，研究投資人對於「市場觀察角度」及「風險偏好」的不同是否會影響其行為、交易及績效。此外，研究中也觀察性別、年齡及職業等用戶特徵，是否會有不同的行為、交易及績效表現。
本研究使用不同模型及樣本期間重複進行檢定，以確保結果穩健性。其中一致的研究結果如下：對市場關注程度（行為次數）愈高者，雖不必然直接破壞績效，但顯著傾向進行更多交易；而交易次數顯著對投資績效有直接損害。短期指標仰賴程度愈高者，不直接影響投資績效，對交易次數的影響也不明確，但會顯著增加其對市場關注的程度；投資組合Beta愈高者，也會顯著傾向有較多的行為次數。而男性有更多的行為及交易次數，短期指標的偏好較低，整體績效較差；年長者行為次數較少，使用技術指標比率較低，績效較佳；經驗豐富者傾向更多的行為次數，較少的交易次數，使用短期指標比率較低，投資績效較差。研究結果證實：對於市場的關注程度可能直接影響交易決策品質，或是透過交易次數的增加間接損害投資人的績效；對於短期指標的仰賴程度也可能經過行為次數的增加間接影響投資人的交易品質及次數。本研究填補過去文獻對於市場關注程度及市場觀察角度之於投資績效影響之缺口。		zh_TW
dc.description.abstract (摘要) This study aims to explore whether over-focusing on the market will undermine investment performance. Thanks to technology development (especially the internet and mobile devices), collecting information and trading have become more available. As a result, more and more investors join the market, and investing becomes popular.
Much prior research has proved that trading is hazardous to investment performance. However, there was little research on behaviors other than transactions in the past. Therefore, this research takes the data from Taiwan as an instance, taking the frequency of investors` interaction with the application (an online trading platform) as a proxy variable for the degree of attention paid to the market, and try to study its relationship with the trading frequency and investment performance. On the other hand, I also leverage the ratio of each investor focusing on technical indicators and their portfolio Beta to study whether investors` different perspectives on the market and different risk preferences will affect their behaviors, transactions, and performance. In addition, whether the traits investors are equipped with like gender, ages, and occupation will result in different behaviors, transactions, and performances is also what I am interested in this research.
To ensure robustness, I test the hypotheses repeatedly, in different models, and at different sample duration. The empirical results are as follows: investors who pay more attention to the market (i.e., behave more frequently on the platform) will tend to trade more. And the higher trading frequency would significantly damage their investment performance. For those who rely more heavily on technical indicators, although they do not significantly affect investment performance, neither its impact on the trading frequency is clear, it will significantly increase their tendency to pay more attention to the market. For investors with a higher Beta preference, they have no significant higher trading frequency but have a significant tendency to pay more attention to the market. Besides, males have higher behavior and trading frequency, using fewer technical indicators, with worse overall performance. Elders have fewer behaviors and using fewer technical indicators, with better investment performance. Those with more experience tend to have more behaviors but fewer transactions, using fewer technical indicators, with worse investment performance. The results of this research point out that the degree of attention investors pay to the market may directly or indirectly damage their investment performance, and the degree of reliance on technical indicators would increase the tendency to pay more attention to the market.		en_US
dc.description.tableofcontents Section I. Introduction 4
Section II. Hypotheses development 6
Section III. Data and methods 11
3.1 Data resource (Platform introduction) 11
3.2 Data description 12
3.3 Data processing 13
3.4 Data summary 16
Section IV. Empirical results 19
Section V. Limitation 27
Section VI. Conclusion 28
References. 33
Appendix. 35		zh_TW
dc.format.extent 1684859 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108357002en_US
dc.subject (關鍵詞) 行為財務學zh_TW
dc.subject (關鍵詞) 市場關注程度zh_TW
dc.subject (關鍵詞) 有限注意力zh_TW
dc.subject (關鍵詞) 交易zh_TW
dc.subject (關鍵詞) 績效zh_TW
dc.subject (關鍵詞) behavior financeen_US
dc.subject (關鍵詞) attentionen_US
dc.subject (關鍵詞) preferenceen_US
dc.subject (關鍵詞) tradingen_US
dc.subject (關鍵詞) performanceen_US
dc.title (題名) 過度關注是否破壞投資績效 － 以台灣一電子交易平台資料為例zh_TW
dc.title (題名) Does paying too much attention destroy investing performance? － Take a specific Taiwanese trading platform data as an instanceen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Barber, B. M., Huang, X., Odean, T., & Schwarz, C. (2020). Attention-Induced Trading and Returns: Evidence from Robinhood Users. https://doi.org/https://dx.doi.org/10.2139/ssrn.3715077
Barber, B. M., Lee, Y.-T., Liu, Y.-J., & Odean, T. (2009). Just How Much Do Individual Investors Lose by Trading? Review of Financial Studies, 22(2), 609-632. https://doi.org/10.1093/rfs/hhn046
Barber, B. M., Lin, S., & Odean, T. (2021). Resolving a Paradox: Retail Trades Positively Predict Returns but are Not Profitable. https://doi.org/http://dx.doi.org/10.2139/ssrn.3783492
Barber, B. M., & Odean, T. (2000). Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors. Journal of Finance, 55, 773-806.
Barber, B. M., & Odean, T. (2002). Does Online Trading Change Investor Behavior? European Business Organization Law Review, 3, 83-128.
De Bondt, W. F. M., & Thaler, R. (1985). Does the Stock Market Overreact? The Journal of Finance, 40(3), 793-805. https://doi.org/10.1111/j.1540-6261.1985.tb05004.x
Elton, E. J., Gruber, M. J., & Blake, C. R. (1996). Survivor Bias and Mutual Fund Performance. The Review of Financial Studies, 9(4), 1097-1120. https://doi.org/https://doi.org/10.1093/rfs/9.4.1097
Howe, J. S. ( 1986). Evidence on Stock Market Overreaction. Financial Analysts Journal, 42(4), 74-77. https://doi.org/10.2469/faj.v42.n4.74
Kahneman, D., & Tversky, A. (2013). Prospect Theory: An Analysis of Decision Under Risk. In (pp. 99-127). WORLD SCIENTIFIC. https://doi.org/10.1142/9789814417358_0006
Kalda, A., Loos, B., Previtero, A., & Hackethal, A. (2021). Smart(Phone) Investing? A within Investor-Time Analysis of New Technologies and Trading Behavior. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3765652
Kemp, S. (2020). DIGITAL 2020: TAIWAN. https://datareportal.com/reports/digital-2020-taiwan
Li, J., & Yu, J. (2012). Investor attention, psychological anchors, and stock return predictability. Journal of Financial Economics, 104(2), 401-419. https://doi.org/10.1016/j.jfineco.2011.04.003
Mayer, E. J. (2021). Advertising, investor attention, and stock prices: Evidence from a natural experiment. Financial Management, 50(1), 281-314. https://doi.org/10.1111/fima.12324
Nickerson, R. S. (1998). Confirmation Bias: A Ubiquitous Phenomenon in Many Guises. Review of General Psychology, 2(2), 175-220. https://doi.org/10.1037/1089-2680.2.2.175
Odean, T. (1999). Do Investors Trade Too Much? The American Economic Review, 89, 1279-1298.
Odean, T. (2000). You Are What You Trade.
Peng, L., & Xiong, W. (2006). Investor attention, overconfidence and category learning. Journal of Financial Economics, 80(3), 563-602. https://doi.org/10.1016/j.jfineco.2005.05.003
Scheinkman, J. A., & Xiong, W. (2003). Overconfidence and Speculative Bubbles. Journal of Political Economy, 111(6), 1183-1220. https://doi.org/10.1086/378531
Schneeweis, T., Spurgin, R., & McCARTHY, D. (1996). Survivor bias in commodity trading advisor performance. The Journal of Futures Markets, 16(7), 757.
SHEFRIN, H., & STATMAN, M. (1985). The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence. Journal of Finance, 40(3), 777-790. https://doi.org/10.1111/j.1540-6261.1985.tb05002.x
Simon, H. A., Deutsch, K. W., & Shubik, M. (1996). Designing organizations for an information-rich world International Library of Critical Writings in Economics 70, 187-202.
Weber, M., & Camerer, C. F. (1998). The disposition effect in securities trading: an experimental analysis. Journal of Economic Behavior & Organization, 33(2), 167-184. https://doi.org/10.1016/s0167-2681(97)00089-9
Yuan, Y. (2015). Market-wide attention, trading, and stock returns. Journal of Financial Economics, 116, 548–564.		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU202100544en_US