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題名 公司形象與處分效果之關聯性分析
The relation analysis of corporate image and investor’s disposition effect作者 黃冠華
Huang, Guan-Hua貢獻者 李志宏
Lee, Jie-Haun
黃冠華
Huang, Guan-Hua關鍵詞 行為財務學
公司形象
處分效果
Behavior Finance
Corporate image
Disposition effect日期 2018 上傳時間 3-七月-2018 17:25:12 (UTC+8) 摘要 本文主要探討公司形象對於投資人處分效果的影響，並考量盈餘宣布為正之消息面因素與公司規模大小是否會進一步對於公司形象與投資人處分效果之間的關聯性產生影響。本文衡量處分效果的方式採Weber and Camerer(1998)所提之處分係數來衡量投資人處分效果的大小，而公司形象方面利用天下雜誌1994年至2016年所公布之標竿企業為標準，曾獲選為標竿企業者即為本研究所定義之形象好的公司，另挑選相對應無得獎的公司為形象普通的公司，比較兩者處分效果差異。實證結果發現，形象好的公司相對於形象普通的公司，處分效果顯著來的小，與本文預期形象好的公司，由於投資人後悔趨避程度小，會降低其處分效果。考量盈餘宣布為正之消息面因素，發現投資人受光環效應影響，面對形象好的公司，其處分效果仍相對形象普通的公司小；最後，本文也做了穩健性檢定，發現形象好的公司並非因為其規模較大而處分效果較低，進一步驗證公司形象確實會影響投資人的處分效果；在研究方法上，也進一步考量投資人持有成本與賣方啟動之交易量計算處分效果，最後所做出結果雖然考量盈餘宣布為正之消息面因素並不顯著，但在一般情況下形象好之公司處分效果仍低於形象普通之公司，且同樣不受規模因子干擾，證實公司形象仍對於投資人處分效果存在影響性。
In this paper we discuss the influence of the corporate image on investor’s disposition effect, and whether the announcement of positive earnings and firm’s size would further have impact on the relationship between the corporate image and investor’s disposition effect. Our measurement of disposition effect is disposition coefficient suggested by Weber and Camerer(1998), and we defined the corporate good image by the results of 1994 to 2016 Taiwan’s most admired firms from CommonWealth magazine. Besides, we also selected corresponding firms which were not included in our good image samples as firms with common image. First, our empricial results found that compared to corporate with common image, the disposition effect of firms with good image is significantly smaller. The outcome is expected because investors have lower degree of regret aversion on good image firms, which would decrease disposition effect. Second, considering the announcement of positive earnings, we found that disposition effect of firms with good image is still lower than firms with common image because of halo effect. Last, our study also do the robustness check, and we found that the disposition effect of firms with good image is smaller than firms with common image is not because of size but corporate image. In terms of research methods, the factor of the investor’s holding costs and the amount of transaction initiated by the seller are also taken into consideration. Although the final results are not significant considering the announcement of positive earnings, disposition effect of companies with good image in general is still lower than that of an ordinary company, and it is also not affected by size factors. It is confirmed that the company’s image still has influence on the disposition of investors.參考文獻 1. Bailey, W., Kumar, A., & Ng, D. (2011). Behavioral biases of mutual fund investors. Journal of Financial Economics, 102(1), 1-27.2. Baker, H. K., & Haslem, J. A. (1973). Information needs of individual investors. Journal of Accountancy, 136(5), 64-69.3. Barber, B. M., Lee, Y. T., Liu, Y. J., & Odean, T. (2007). Is the aggregate investor reluctant to realise losses Evidence from Taiwan. European Financial Management, 13(3), 423-447.4. Bessembinder, H., Chan, K., & Seguin, P. J. (1996). An empirical examination of information, differences of opinion, and trading activity. Journal of Financial Economics, 40(1), 105-134.5. Cheng, T. Y., Lee, C. I., & Lin, C. H. (2013). An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions. Journal of Empirical Finance, 21, 195-213.6. Dowling, G. R. (1986). Managing your corporate images. Industrial marketing management, 15(2), 109-115.7. Fama, E. F. (1970). Efficient capital markets A review of theory and empirical work. The journal of Finance, 25(2), 383-417.8. 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. The Journal of Finance, 43(3)9. Frino, A., Johnstone, D., & Zheng, H. (2004). The propensity for local traders in futures markets to ride losses Evidence of irrational or rational behavior. Journal of Banking & Finance, 28(2), 353-372.10. Grinblatt, M., & Keloharju, M. (2000). The investment behavior and performance of various investor types a study of Finland`s unique data set. Journal of financial economics, 55(1), 43-67.11. Johnson, E., & Thaler, R. (1985). Hedonic framing and the break-even effect. Cornell University, Working Paper.12. Kahneman, D., & Tversky, A. (1979). Econometrica, 47(2), pp. 263-291.13. Lakonishok, J., & Smidt, S. (1986). Volume for winners and losers Taxation and other motives for stock trading. The Journal of Finance, 41(4), 951-974.14. Lee, J. S., Yen, P. H., & Chan, K. C. (2013). Market states and disposition effect evidence from Taiwan mutual fund investors. Applied Economics, 45(10), 1331-1342.15. Lee, C., & Ready, M. J. (1991). Inferring trade direction from intraday data. The Journal of Finance, 46(2), 733-746.16. MacGregor, D. G., Slovic, P., Dreman, D., & Berry, M. (2000). Imagery, affect, and financial judgment. The Journal of Psychology and Financial Markets, 1(2), 104-110.17. Nofsinger, J. R. (2001). The impact of public information on investors. Journal of Banking & Finance, 25(7), 1339-1366.18. Odean, T. (1998). Are investors reluctant to realize their losses. The Journal of finance, 53(5), 1775-1798.19. Shapira, Z., & Venezia, I. (2001). Patterns of behavior of professionally managed and independent investors. Journal of Banking & Finance, 25(8), 1573-1587.20. Shefrin, H. (2001). Do investors expect higher returns from safer stocks than from riskier stocks. The Journal of Psychology and Financial Markets, 2(4), 176-181.21. Shefrin, H., & Statman, M. (1985). The disposition to sell winners too early and ride losers too long Theory and evidence. The Journal of finance, 40(3), 777-790.22. Shefrin, H., & Statman, M. (1995). Making sense of beta, size, and book-to-market. Journal of Portfolio Management, 21(2), 26-34.23. Shu, P. G., Yeh, Y. H., Chiu, S. B., & Chen, H. C. (2005). Are Taiwanese individual investors reluctant to realize their losses. Pacific-Basin Finance Journal, 13(2), 201-223.24. Thaler, R. (1985). Mental accounting and consumer choice. Marketing science, 4(3), 199-214.25. Thaler, R. H., & Shefrin, H. M. (1981). An economic theory of self-control. Journal of political Economy, 89(2), 392-406.26. Thorndike, E. L. (1920). A constant error in psychological ratings. Journal of applied psychology, 4(1), 25-29.27. Tkac, P. A. (1999). A trading volume benchmark Theory and evidence. Journal of Financial and Quantitative Analysis, 34(1), 89-114.28. Weber, M., & Camerer, C. F. (1998). The disposition effect in securities trading An experimental analysis. Journal of Economic Behavior & Organization, 33(2), 167-184.29. Wei, Y. C., Lu, Y. C., Chen, J. N., & Hsu, Y. J. (2017). Informativeness of the market news sentiment in the Taiwan stock market. The North American Journal of Economics and Finance, 39, 158-181. 描述 碩士
國立政治大學
財務管理學系
105357029資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105357029 資料類型 thesis dc.contributor.advisor 李志宏 zh_TW dc.contributor.advisor Lee, Jie-Haun en_US dc.contributor.author (作者) 黃冠華 zh_TW dc.contributor.author (作者) Huang, Guan-Hua en_US dc.creator (作者) 黃冠華 zh_TW dc.creator (作者) Huang, Guan-Hua en_US dc.date (日期) 2018 en_US dc.date.accessioned 3-七月-2018 17:25:12 (UTC+8) - dc.date.available 3-七月-2018 17:25:12 (UTC+8) - dc.date.issued (上傳時間) 3-七月-2018 17:25:12 (UTC+8) - dc.identifier (其他 識別碼) G0105357029 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/118229 - 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) 105357029 zh_TW dc.description.abstract (摘要) 本文主要探討公司形象對於投資人處分效果的影響，並考量盈餘宣布為正之消息面因素與公司規模大小是否會進一步對於公司形象與投資人處分效果之間的關聯性產生影響。本文衡量處分效果的方式採Weber and Camerer(1998)所提之處分係數來衡量投資人處分效果的大小，而公司形象方面利用天下雜誌1994年至2016年所公布之標竿企業為標準，曾獲選為標竿企業者即為本研究所定義之形象好的公司，另挑選相對應無得獎的公司為形象普通的公司，比較兩者處分效果差異。實證結果發現，形象好的公司相對於形象普通的公司，處分效果顯著來的小，與本文預期形象好的公司，由於投資人後悔趨避程度小，會降低其處分效果。考量盈餘宣布為正之消息面因素，發現投資人受光環效應影響，面對形象好的公司，其處分效果仍相對形象普通的公司小；最後，本文也做了穩健性檢定，發現形象好的公司並非因為其規模較大而處分效果較低，進一步驗證公司形象確實會影響投資人的處分效果；在研究方法上，也進一步考量投資人持有成本與賣方啟動之交易量計算處分效果，最後所做出結果雖然考量盈餘宣布為正之消息面因素並不顯著，但在一般情況下形象好之公司處分效果仍低於形象普通之公司，且同樣不受規模因子干擾，證實公司形象仍對於投資人處分效果存在影響性。 zh_TW dc.description.abstract (摘要) In this paper we discuss the influence of the corporate image on investor’s disposition effect, and whether the announcement of positive earnings and firm’s size would further have impact on the relationship between the corporate image and investor’s disposition effect. Our measurement of disposition effect is disposition coefficient suggested by Weber and Camerer(1998), and we defined the corporate good image by the results of 1994 to 2016 Taiwan’s most admired firms from CommonWealth magazine. Besides, we also selected corresponding firms which were not included in our good image samples as firms with common image. First, our empricial results found that compared to corporate with common image, the disposition effect of firms with good image is significantly smaller. The outcome is expected because investors have lower degree of regret aversion on good image firms, which would decrease disposition effect. Second, considering the announcement of positive earnings, we found that disposition effect of firms with good image is still lower than firms with common image because of halo effect. Last, our study also do the robustness check, and we found that the disposition effect of firms with good image is smaller than firms with common image is not because of size but corporate image. In terms of research methods, the factor of the investor’s holding costs and the amount of transaction initiated by the seller are also taken into consideration. Although the final results are not significant considering the announcement of positive earnings, disposition effect of companies with good image in general is still lower than that of an ordinary company, and it is also not affected by size factors. It is confirmed that the company’s image still has influence on the disposition of investors. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景及動機 1第二節 研究目的 3第三節 研究流程與架構 4第二章 文獻回顧 5第三章 研究方法 13第一節 研究假說 13第二節 樣本與研究期間 15第三節 衡量處分效果之方法 16第四節 樣本資料描述 19第四章 實證結果 22第五章 穩健性檢定 24第六章 結論 28參考文獻 30 zh_TW dc.format.extent 1099410 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105357029 en_US dc.subject (關鍵詞) 行為財務學 zh_TW dc.subject (關鍵詞) 公司形象 zh_TW dc.subject (關鍵詞) 處分效果 zh_TW dc.subject (關鍵詞) Behavior Finance en_US dc.subject (關鍵詞) Corporate image en_US dc.subject (關鍵詞) Disposition effect en_US dc.title (題名) 公司形象與處分效果之關聯性分析 zh_TW dc.title (題名) The relation analysis of corporate image and investor’s disposition effect en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1. Bailey, W., Kumar, A., & Ng, D. (2011). Behavioral biases of mutual fund investors. Journal of Financial Economics, 102(1), 1-27.2. Baker, H. K., & Haslem, J. A. (1973). Information needs of individual investors. Journal of Accountancy, 136(5), 64-69.3. Barber, B. M., Lee, Y. T., Liu, Y. J., & Odean, T. (2007). Is the aggregate investor reluctant to realise losses Evidence from Taiwan. European Financial Management, 13(3), 423-447.4. Bessembinder, H., Chan, K., & Seguin, P. J. (1996). An empirical examination of information, differences of opinion, and trading activity. Journal of Financial Economics, 40(1), 105-134.5. Cheng, T. Y., Lee, C. I., & Lin, C. H. (2013). An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions. Journal of Empirical Finance, 21, 195-213.6. Dowling, G. R. (1986). Managing your corporate images. Industrial marketing management, 15(2), 109-115.7. Fama, E. F. (1970). Efficient capital markets A review of theory and empirical work. The journal of Finance, 25(2), 383-417.8. 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. The Journal of Finance, 43(3)9. Frino, A., Johnstone, D., & Zheng, H. (2004). The propensity for local traders in futures markets to ride losses Evidence of irrational or rational behavior. Journal of Banking & Finance, 28(2), 353-372.10. Grinblatt, M., & Keloharju, M. (2000). The investment behavior and performance of various investor types a study of Finland`s unique data set. Journal of financial economics, 55(1), 43-67.11. Johnson, E., & Thaler, R. (1985). Hedonic framing and the break-even effect. Cornell University, Working Paper.12. Kahneman, D., & Tversky, A. (1979). Econometrica, 47(2), pp. 263-291.13. Lakonishok, J., & Smidt, S. (1986). Volume for winners and losers Taxation and other motives for stock trading. The Journal of Finance, 41(4), 951-974.14. Lee, J. S., Yen, P. H., & Chan, K. C. (2013). Market states and disposition effect evidence from Taiwan mutual fund investors. Applied Economics, 45(10), 1331-1342.15. Lee, C., & Ready, M. J. (1991). Inferring trade direction from intraday data. The Journal of Finance, 46(2), 733-746.16. MacGregor, D. G., Slovic, P., Dreman, D., & Berry, M. (2000). Imagery, affect, and financial judgment. The Journal of Psychology and Financial Markets, 1(2), 104-110.17. Nofsinger, J. R. (2001). The impact of public information on investors. Journal of Banking & Finance, 25(7), 1339-1366.18. Odean, T. (1998). Are investors reluctant to realize their losses. The Journal of finance, 53(5), 1775-1798.19. Shapira, Z., & Venezia, I. (2001). Patterns of behavior of professionally managed and independent investors. Journal of Banking & Finance, 25(8), 1573-1587.20. Shefrin, H. (2001). Do investors expect higher returns from safer stocks than from riskier stocks. The Journal of Psychology and Financial Markets, 2(4), 176-181.21. Shefrin, H., & Statman, M. (1985). The disposition to sell winners too early and ride losers too long Theory and evidence. The Journal of finance, 40(3), 777-790.22. Shefrin, H., & Statman, M. (1995). Making sense of beta, size, and book-to-market. Journal of Portfolio Management, 21(2), 26-34.23. Shu, P. G., Yeh, Y. H., Chiu, S. B., & Chen, H. C. (2005). Are Taiwanese individual investors reluctant to realize their losses. Pacific-Basin Finance Journal, 13(2), 201-223.24. Thaler, R. (1985). Mental accounting and consumer choice. Marketing science, 4(3), 199-214.25. Thaler, R. H., & Shefrin, H. M. (1981). An economic theory of self-control. Journal of political Economy, 89(2), 392-406.26. Thorndike, E. L. (1920). A constant error in psychological ratings. Journal of applied psychology, 4(1), 25-29.27. Tkac, P. A. (1999). A trading volume benchmark Theory and evidence. Journal of Financial and Quantitative Analysis, 34(1), 89-114.28. Weber, M., & Camerer, C. F. (1998). The disposition effect in securities trading An experimental analysis. Journal of Economic Behavior & Organization, 33(2), 167-184.29. Wei, Y. C., Lu, Y. C., Chen, J. N., & Hsu, Y. J. (2017). Informativeness of the market news sentiment in the Taiwan stock market. The North American Journal of Economics and Finance, 39, 158-181. zh_TW dc.identifier.doi (DOI) 10.6814/THE.NCCU.Finance.006.2018.F07 -
