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題名 短期下投資人注意力與心理定錨效應 ─以台灣股票市場為例
Investor Attention and Psychological Anchors In the Short Run: Evidence from Taiwan Stock Market作者 陳怡婷
Chen, Yi Ting貢獻者 郭維裕
Kuo, Wei Yu
陳怡婷
Chen, Yi Ting關鍵詞 投資人注意
心理定錨
Investor Attention
Psychological Anchors日期 2013 上傳時間 2-Mar-2015 10:08:08 (UTC+8) 摘要 近年，投資人對資訊反應不足與反應過度，是行為財務學側重的一塊。許多文獻與實證研究皆探討投資人的投資決策與其對資訊反應不足與反應過度之間的關連性，以及究竟投資人是否有設定投資定錨的傾向。而本研究為了實證台灣股市存在之反應不足或過度反應的現象，且投資人具有限注意力並有設定投資定錨的傾向，在博覽眾多相關文獻與研究後，決定依循Li and Yu（2012）的理論基礎，使用週價比與歷價作為反應不足與過度反應的代理變數，並將模型改建成適用於台灣股市的迴歸模型。本研究以台灣股價加權指數作為主要迴歸樣本，將模型分為週資料迴歸模型與月資料迴歸模型，檢視兩個代理變數在控制景氣循環以及沒有台灣經濟泡沫樣本下可否用於台灣股市反映投資行為，並作為預測未來市場報酬的指標。最後，為實證投資人有限注意力與心理定錨設置之理論成立，本研究將台灣50指數與摩根台股指數作為樣本分別進行迴歸，以探討是否有比台灣加權股價指數更具顯著預測能力的指數存在。研究結果顯示，假說一「週/歷價比與未來市場報酬成正/負相關」與假說二「選用能見度高的指數作為樣本應使週價比與歷價比更具顯著的預測能力」皆成立。即台灣股市確實存在反應不足或過度反應的現象，且投資人具有限注意力並有設定投資定錨的傾向，而台灣市場中最具顯著預測能力的指數為摩根台股指數。此外，週資料迴歸模型比月資料迴歸模型更適用於台灣股票市場。
Currently, much academic research is concerned about investor underreaction & overreaction in behavioral finance. It mainly discusses the relationship between investment strategies and underreaction & overreaction and whether investors have tendency to utilize investment anchor. This study determined to follow basis of Li and Yu（2012） in order to examine the existence of underreaction & overreaction, investor limited attention and the tendency to set anchor in Taiwan stock market. We use nearness to the 52-week high and nearness to the historical high as proxies capturing the degree of investor underreaction and overreaction to news.In this study, we adopt TAIEX as main data and run two different types of regression model based on weekly and monthly data. Except under normal condition, we further examine these two proxies with controlling business cycle and without Taiwan economic bubble. Finally, we compare the predictive ability to forecast future aggregate market returns among TAIEX, TW 50 and MSCI Taiwan index.Our empirical results support the hypothesis 1, “nearness to the 52-week high positively predicts future market returns and nearness to the historical high negatively predicts future market returns” and hypothesis 2, “using index with higher visibility results in significantly predictive ability for nearness to the 52-week high and nearness to the historical high,” while MSCI Taiwan Index is the most significant. Besides, weekly regression is more suited to Taiwan stock market than monthly regression. These findings are consistent with the limited investor attention and anchoring research.參考文獻 壹、 中文文獻1.許村泰，1988，〈市場因素影響股價變動之分析－以台灣股票市場為例〉，中央產經所未出版碩士論文。2.古耀文，1996，〈臺灣股價與總體經濟因素之研究〉，中興企研所未出版碩士論文。3.孫道遠，1986，〈經濟指標與股價關係之研究〉，中興企研所未出版碩士論文。4.蔡森源，1995，〈股價與總體經濟因素關係之一研究〉，淡江管理所未出版碩士論文。貳、外文文獻1.Abdullah, D. A. and S. C. Hayworth. 1993. “Macroeconometrics of Stock Price Fluctuations.” Quarterly Journal of Business and Economics 32:50–67.2.Barber, B. M., and T. Odean. 2001. “Boys will Be Boys: Gender, Overconfidence, and Common Stock Investment.” Quarterly Journal of Economics 116:261-92.3.Chan, L., Jegadeesh, N., Lakonishok, J. 1997. Momentum strategies. Journal of Finance 51:1681-1713.4.Chen, Roll and Ross. 1986. “Economic Forces and Stock Market”. Journal of Business.5.Cutler, D., Poterba, J., Summers, L. 1991. “Speculative dynamics.” Review of Economic Studies 58:529-546.6.De Bondt, W., Thaler, R. 1985. “Does the stock market overreact?” Journal of Finance 40:793-805.7.Edwards, W. 1968. “Conservatism in human information processing.” In: Kleinmutz, B. （Ed.）. Formal Representation of Human Judgment, John Wiley and Sons, New York, pp. 17-52. 8.Fama, E., French, K. 1988. “Dividend yields and expected stock returns.” Journal of Financial Economics 22:3-25.9.George, T., Hwang, C., 2004. “The 52-week high and momentum investing.” Journal of Finance 59:2145-2176. 10.Griffin, D., Tversky, A. 1992. “The weighing of evidence and the determinants of confidence.” Cognitive Psychology 24:411-435. 11.Grinblatt, M., Keloharju, M. 2001. “What makes investors trade?” Journal of Finance 56:589-616. 12.Jegadeesh, N., Titman, S. 1993. “Returns to buying winners and selling losers: implications for market efficiency.” Journal of Finance 48:65-91.13.Kahneman. D. 1973. Attention und effilrt. Englewood Cliffs, NJ: Prentice-Hall. 14.Kahneman, D., Slovic, P., Tversky, A. 1982. In: Judgment Under Uncertainty: Heuristics and Biases Cambridge University Press, New York. 15.K. Geert Rouwenhorst. 1998. "International Momentum Strategies," Journal of Finance, American Finance Association, vol. 53（1）, pages 267-284, 02.16.Kleinmutz, B. （Ed.）, “Formal Representation of Human Judgment” John Wiley and Sons, New York, pp. 17–52.17.Li, J., & Yu, J. 2012. “Investor attention, psychological anchors, and stock return predictability”. Journal of Financial Economics, 104（2）, 401-419.18.Ljungqvist, A., & Wilhelm, W. J. 2005. “Does prospect theory explain IPO market behavior?” the Journal of Finance, 60（4）, 1759-1790.19.Moskowitz, T. J., & Grinblatt, M. 1999. “Do industries explain momentum?” The Journal of Finance, 54（4）, 1249-1290.20.Odean, T. 1998. “Are investors reluctant to realize their losses?” Journal of Finance 53:1775–1798. 21.Park, 1997, “Rationality of Negative Stock-Price Responses to Strong Economic Activity” Financial Analysis Journal, P53, 52-57.22.Pashler, H., and J. C. Johnston. 1998. “Attentional limitations in dual-task performance”, Attention, 155-189.23.Peng, L., Xiong, W. 2006. “Investor attention, over confidence, and category learning.” Journal of Financial Economics 80:563–602. 24.Poterba, J.M., Summers, L.H. 1988. “Mean reversion in stock returns: evidence and implications.” Journal of Financial Economics 22:27–59.25.Tversky, A., Kahneman, D. 1974. “Judgment under uncertainty: heuristics and biases.” Science 185:1124–1131.26.Wickens, Christopher D. 1992. Engineering psychology and human performance. HarperCollins Publishers 描述 碩士
國立政治大學
國際經營與貿易研究所
101351012
102資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101351012 資料類型 thesis dc.contributor.advisor 郭維裕 zh_TW dc.contributor.advisor Kuo, Wei Yu en_US dc.contributor.author (Authors) 陳怡婷 zh_TW dc.contributor.author (Authors) Chen, Yi Ting en_US dc.creator (作者) 陳怡婷 zh_TW dc.creator (作者) Chen, Yi Ting en_US dc.date (日期) 2013 en_US dc.date.accessioned 2-Mar-2015 10:08:08 (UTC+8) - dc.date.available 2-Mar-2015 10:08:08 (UTC+8) - dc.date.issued (上傳時間) 2-Mar-2015 10:08:08 (UTC+8) - dc.identifier (Other Identifiers) G0101351012 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/73536 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易研究所 zh_TW dc.description (描述) 101351012 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (摘要) 近年，投資人對資訊反應不足與反應過度，是行為財務學側重的一塊。許多文獻與實證研究皆探討投資人的投資決策與其對資訊反應不足與反應過度之間的關連性，以及究竟投資人是否有設定投資定錨的傾向。而本研究為了實證台灣股市存在之反應不足或過度反應的現象，且投資人具有限注意力並有設定投資定錨的傾向，在博覽眾多相關文獻與研究後，決定依循Li and Yu（2012）的理論基礎，使用週價比與歷價作為反應不足與過度反應的代理變數，並將模型改建成適用於台灣股市的迴歸模型。本研究以台灣股價加權指數作為主要迴歸樣本，將模型分為週資料迴歸模型與月資料迴歸模型，檢視兩個代理變數在控制景氣循環以及沒有台灣經濟泡沫樣本下可否用於台灣股市反映投資行為，並作為預測未來市場報酬的指標。最後，為實證投資人有限注意力與心理定錨設置之理論成立，本研究將台灣50指數與摩根台股指數作為樣本分別進行迴歸，以探討是否有比台灣加權股價指數更具顯著預測能力的指數存在。研究結果顯示，假說一「週/歷價比與未來市場報酬成正/負相關」與假說二「選用能見度高的指數作為樣本應使週價比與歷價比更具顯著的預測能力」皆成立。即台灣股市確實存在反應不足或過度反應的現象，且投資人具有限注意力並有設定投資定錨的傾向，而台灣市場中最具顯著預測能力的指數為摩根台股指數。此外，週資料迴歸模型比月資料迴歸模型更適用於台灣股票市場。 zh_TW dc.description.abstract (摘要) Currently, much academic research is concerned about investor underreaction & overreaction in behavioral finance. It mainly discusses the relationship between investment strategies and underreaction & overreaction and whether investors have tendency to utilize investment anchor. This study determined to follow basis of Li and Yu（2012） in order to examine the existence of underreaction & overreaction, investor limited attention and the tendency to set anchor in Taiwan stock market. We use nearness to the 52-week high and nearness to the historical high as proxies capturing the degree of investor underreaction and overreaction to news.In this study, we adopt TAIEX as main data and run two different types of regression model based on weekly and monthly data. Except under normal condition, we further examine these two proxies with controlling business cycle and without Taiwan economic bubble. Finally, we compare the predictive ability to forecast future aggregate market returns among TAIEX, TW 50 and MSCI Taiwan index.Our empirical results support the hypothesis 1, “nearness to the 52-week high positively predicts future market returns and nearness to the historical high negatively predicts future market returns” and hypothesis 2, “using index with higher visibility results in significantly predictive ability for nearness to the 52-week high and nearness to the historical high,” while MSCI Taiwan Index is the most significant. Besides, weekly regression is more suited to Taiwan stock market than monthly regression. These findings are consistent with the limited investor attention and anchoring research. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機與目的 1第二節 研究架構與流程 2第二章 文獻回顧 4第一節 反應不足與過度反應相關文獻 4第二節 有限注意力相關文獻 11第三節 股票報酬預測相關文獻 13第三章 資料與研究方法 15第一節 資料說明 15第二節 研究方法概述 18第四章 實證研究與結果 22第一節 統計數據摘要 22第二節 主要迴歸－以台股加權指數為例 24第三節 控制景氣循環 30第四節 台灣經濟泡沫的影響 34第五節 其他台股相關指數迴歸 40第五章 研究結論 45 zh_TW dc.format.extent 1123458 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101351012 en_US dc.subject (關鍵詞) 投資人注意 zh_TW dc.subject (關鍵詞) 心理定錨 zh_TW dc.subject (關鍵詞) Investor Attention en_US dc.subject (關鍵詞) Psychological Anchors en_US dc.title (題名) 短期下投資人注意力與心理定錨效應 ─以台灣股票市場為例 zh_TW dc.title (題名) Investor Attention and Psychological Anchors In the Short Run: Evidence from Taiwan Stock Market en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 壹、 中文文獻1.許村泰，1988，〈市場因素影響股價變動之分析－以台灣股票市場為例〉，中央產經所未出版碩士論文。2.古耀文，1996，〈臺灣股價與總體經濟因素之研究〉，中興企研所未出版碩士論文。3.孫道遠，1986，〈經濟指標與股價關係之研究〉，中興企研所未出版碩士論文。4.蔡森源，1995，〈股價與總體經濟因素關係之一研究〉，淡江管理所未出版碩士論文。貳、外文文獻1.Abdullah, D. A. and S. C. Hayworth. 1993. “Macroeconometrics of Stock Price Fluctuations.” Quarterly Journal of Business and Economics 32:50–67.2.Barber, B. M., and T. Odean. 2001. “Boys will Be Boys: Gender, Overconfidence, and Common Stock Investment.” Quarterly Journal of Economics 116:261-92.3.Chan, L., Jegadeesh, N., Lakonishok, J. 1997. Momentum strategies. Journal of Finance 51:1681-1713.4.Chen, Roll and Ross. 1986. “Economic Forces and Stock Market”. Journal of Business.5.Cutler, D., Poterba, J., Summers, L. 1991. “Speculative dynamics.” Review of Economic Studies 58:529-546.6.De Bondt, W., Thaler, R. 1985. “Does the stock market overreact?” Journal of Finance 40:793-805.7.Edwards, W. 1968. “Conservatism in human information processing.” In: Kleinmutz, B. （Ed.）. Formal Representation of Human Judgment, John Wiley and Sons, New York, pp. 17-52. 8.Fama, E., French, K. 1988. “Dividend yields and expected stock returns.” Journal of Financial Economics 22:3-25.9.George, T., Hwang, C., 2004. “The 52-week high and momentum investing.” Journal of Finance 59:2145-2176. 10.Griffin, D., Tversky, A. 1992. “The weighing of evidence and the determinants of confidence.” Cognitive Psychology 24:411-435. 11.Grinblatt, M., Keloharju, M. 2001. “What makes investors trade?” Journal of Finance 56:589-616. 12.Jegadeesh, N., Titman, S. 1993. “Returns to buying winners and selling losers: implications for market efficiency.” Journal of Finance 48:65-91.13.Kahneman. D. 1973. Attention und effilrt. Englewood Cliffs, NJ: Prentice-Hall. 14.Kahneman, D., Slovic, P., Tversky, A. 1982. In: Judgment Under Uncertainty: Heuristics and Biases Cambridge University Press, New York. 15.K. Geert Rouwenhorst. 1998. "International Momentum Strategies," Journal of Finance, American Finance Association, vol. 53（1）, pages 267-284, 02.16.Kleinmutz, B. （Ed.）, “Formal Representation of Human Judgment” John Wiley and Sons, New York, pp. 17–52.17.Li, J., & Yu, J. 2012. “Investor attention, psychological anchors, and stock return predictability”. Journal of Financial Economics, 104（2）, 401-419.18.Ljungqvist, A., & Wilhelm, W. J. 2005. “Does prospect theory explain IPO market behavior?” the Journal of Finance, 60（4）, 1759-1790.19.Moskowitz, T. J., & Grinblatt, M. 1999. “Do industries explain momentum?” The Journal of Finance, 54（4）, 1249-1290.20.Odean, T. 1998. “Are investors reluctant to realize their losses?” Journal of Finance 53:1775–1798. 21.Park, 1997, “Rationality of Negative Stock-Price Responses to Strong Economic Activity” Financial Analysis Journal, P53, 52-57.22.Pashler, H., and J. C. Johnston. 1998. “Attentional limitations in dual-task performance”, Attention, 155-189.23.Peng, L., Xiong, W. 2006. “Investor attention, over confidence, and category learning.” Journal of Financial Economics 80:563–602. 24.Poterba, J.M., Summers, L.H. 1988. “Mean reversion in stock returns: evidence and implications.” Journal of Financial Economics 22:27–59.25.Tversky, A., Kahneman, D. 1974. “Judgment under uncertainty: heuristics and biases.” Science 185:1124–1131.26.Wickens, Christopher D. 1992. Engineering psychology and human performance. HarperCollins Publishers zh_TW
