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題名 台灣證券交易所投資人交易行為與股票報酬關係之研究
Investor Trading Behavior and Stock Returns in Taiwan Stock Exchange
作者 夏清田
Hsia, Ching-Tian
貢獻者 吳啟銘
Eric Wu
夏清田
Hsia, Ching-Tian
關鍵詞 投資心理
交易行為
行為財務
股票報酬
心理指標
處分效果
期望理論
預測指標
Investor Sentiment
Trading Behavior
Behavioral Finance
Stock Returns
Sentiment Indicator
Disposition Effect
Prospect Theory
Predictive Index
日期 2001
上傳時間 15-Apr-2016 16:11:52 (UTC+8)
摘要 This paper investigates the investor trading behavior and the relationship between investor sentiment and stock returns. First we explore whether individual investors behave as the Disposition Effect stated — hold their losers too long while realize their winners too soon. Second, we apply four sentiment indicators — number of recommended stocks, margin purchase value, net fund redemption and odd-lot trade value — to examine relationship between investor sentiment and stock returns. We would like to see if past returns have anything to do with current sentiment, and if sentiment provides predictive power to future returns.
參考文獻 *Papers written in English
B.J. Christensen and N.R. Prabhala. 1998. "The relation between implied and realized volatility." Journal of Financial Economics 50 : 125-150
Bjorn Hansson and Mattias Persson. 2000. "Time diversification and estimation risk." Financial Analysts Journal (September/October) : 55-62
Brad M. Barber and Terrance Odean. 1999. "The courage of misguided convictions." Financial Analysts Journal (November/December) : 41-55
Brian Aitken. 1998. "Have institutional investors destabilized emerging markets?" Contemporary Economic Policy, vol.XVI (April) : 173-184, ISSN 1074-3529
Charles M.C. Lee, Andrei Shleifer and Richard H. Thaler. 1991. "Investor sentiment and the closed-end fund puzzle." The Journal of Finance,vol.XLVI, no.1 (March) : 75-109
Daniel Kahneman and Amos Tversky. 1979. "Prospect Theory: An analysis of decision under risk." Econometrica,vol.47, no.2 (March) : 263-291
Edwin J. Elton, Martin J. Gruber and Jeffrey A. Busse. 1998. "Do investors care about sentiment?" Journal of Business, vol 71, no. 4 : 477-500
Eugene F. Fama and Kenneth R. French. 1993. "Common risk factors in the returns on stocks and bonds." Journal of Financial Economics 33 : 3-56 North-Holland
Eugene F. Fama. 1998. "Market efficiency, long-term returns, and behavioral finance." Journal of Financial Economics 49 : 283-306
Greggory A. Brauer. 1988. "Closed-end fund shares` abcdrmal returns and the information content of discounts and premiums." The Journal of Finance, vol.XLIII, no.1 (March) : 113-127
Gregory R. Duffee. 1995. "Stock returns and volatility. A firm-level analysis." Journal of Financial Economics 37 : 399-420
Hersh Shefrin and Meir Statman. 1985. "The disposition to sell winners too early and ride losers too long: theory and evidence." The Journal of Finance, vol.XL, no.3 (July) : 777-792
Hersh Shefrin and Meir Statman. 2000. "Behavioral portfolio theory." Journal of Financial and Quantitative Analysis, vol.35, no.2 (June) : 127-151
Hersh Shefrin. 2000. "Beyond greed and fear: Understanding behavioral finance and the psychology of investing." Financial Analysts Journal (September/October) : 112-113
Jeffrey F. Jaffe and James M. Mahoney. 1999. "The performance of investment newsletters." Journal of Financial Economics 53 : 289-307
Kenneth L. Fisher and Meir Statman. 2000. "Investor sentiment and stock returns." Financial Analysts Journal (March/April) : 16-36
Kenneth L. Fisher and Meir Statman. 2000. "Cognitive biases in market forecasts." The Journal of Portfolio Management (Fall) : 72-81
Kenneth L. Fisher and Meir Statman. 1999. "A behavioral framework for time diversification." Financial Analysts Journal (May/June) : 88-97
Martin Weber and Colin F. Camerer. 1998. "The disposition effect in securities trading: an experimental analysis." Journal of Economic Behavior & Organization, vol.33 : 167-184
Meir Statman. 1999. "Behaviorial finance: Past battles and future engagements." Financial Analysts Journal, (November/December) : 18-27
Michael E. Solt, Meir Statman. 1988. "How useful is the sentiment index?" Financial Analysts Journal (September/October) : 45-55
Nai-Fu Chen, Raymond Kan and Merton H. Miller. 1993. "Are the discounts on closed-end funds a sentiment index?" The Journal of Finance ,vol.XLVIII, no.2 (June) : 795-800
Navin Chopra, Charles M.C. Lee, Andrei Shleifer and Richard H. Thaler. 1993. "Yes, discounts on closed-end funds are a sentiment index." The Journal of Finance ,vol.XLVIII, no.2 (Jun) : 801-810
Nicholas Barberis, Andrei Shleifer and Robert Vishny. 1998. "A model of investor sentiment." Journal of Financial Economics, 49 : 307-343
Richard H. Thaler. 1999. "The end of behavioral finance." Financial Analysts Journal (November/December) : 12-17
Robert Neal and Simon M. Wheatley. 1998. "Do measures of investor sentiment predict returns?" Journal of Financial and Quantitative Analysis, vol.33, no.4 (December) : 523-547
Roger G. Clarke and Meir Statman. 1998. "Bullish or bearish?" Financial Analysts Journal, (May/June) : 63-72
Shlomo Benartzi and Richard H. Thaler. 1999. "Risk aversion or myopia? Choices in repeated gambles and retirement investments." Management Science, vol.45, no.3 (March) : 364-381
Shlomo Benartzi and Richard H. Thaler. 1995. "Myopic loss aversion and the equity premium puzzle." The Quarterly Journal of Economics (February) : 73-92
Stephen P. Ferris, Robert A. Haugen and Anil K. Makhija. 1988. "Predicting contemporary volume with historic volume at differential price levels: evidence supporting the disposition effect." The Journal of Finance, vol.XLIII, no.3 (July) : 677-699
Terrance Odean. 1998. "Are investors reluctant to realize their losses?" The Journal of Finance (October) : 1775-1798
Thomas Russell and Richard Thaler. 1985. "The relevance of quasi rationality in competitive markets." The American Economic Review, vol.75, no.5 (December) : 1071-1082
Urbi A. Garay. 2000. "Essays on closed-end country funds and investment trusts." PhD Thesis, Isenberg School of Management (February).
Werner F.M. and De Bondt. 1993. "Betting on trends: intuitive forecasts of financial risk and return." International Journal of Forecasting 9 : 355-371
Xia Zhong-Jian. 1996. "What causes closed-end fund discounts?" PhD Thesis, Rutgers the State University of New Jersey-New Brunswick.
*Papers written in Chinese
Eric, Sha. 2000. "Are They Both Reluctant to Realize Their Losses? － Comparing Individual Investors with QFII in Taiwan Stock Exchange." Master Degree Thesis, Department of International Business, Ming Chuan University.
Huang, Ya-Lan. 1994. "The Relationship between Individual Investor Sentiment and Discounts on Closed-end Funds in Taiwan." Master Degree Thesis, The Department and Graduate Institute of Finance, National Taiwan University.
Lin, Chia-Chang. 1999. "The Study of Affecting Discount (or Premium) Behaviors and Factors for the New Transformation Rule of the Closed-end Funds." Master Degree Thesis, The Department and Graduate Institute of Finance, National Taiwan University.
Su, Chueh-Ling. 2000. "Influence of Individual and Institutional Investors` Investment Behaviors on Stock Return and Turnover Ratios － An Empirical Research on Electrical Stocks in TSE." Master Degree Thesis, The Department and Graduate Institute of Finance, National Taiwan University.
Yeh, Shun-Chi. 1994. "The Discounts and Premiums of Closed-End Funds in the Taiwan Stock Exchange." Master Degree Thesis, Department of Business Management, National Sun Yat-Sen University.
描述 碩士
國立政治大學
企業管理學系
88355024
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001397
資料類型 thesis
dc.contributor.advisor 吳啟銘zh_TW
dc.contributor.advisor Eric Wuen_US
dc.contributor.author (Authors) 夏清田zh_TW
dc.contributor.author (Authors) Hsia, Ching-Tianen_US
dc.creator (作者) 夏清田zh_TW
dc.creator (作者) Hsia, Ching-Tianen_US
dc.date (日期) 2001en_US
dc.date.accessioned 15-Apr-2016 16:11:52 (UTC+8)-
dc.date.available 15-Apr-2016 16:11:52 (UTC+8)-
dc.date.issued (上傳時間) 15-Apr-2016 16:11:52 (UTC+8)-
dc.identifier (Other Identifiers) A2002001397en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85184-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description (描述) 88355024zh_TW
dc.description.abstract (摘要) This paper investigates the investor trading behavior and the relationship between investor sentiment and stock returns. First we explore whether individual investors behave as the Disposition Effect stated — hold their losers too long while realize their winners too soon. Second, we apply four sentiment indicators — number of recommended stocks, margin purchase value, net fund redemption and odd-lot trade value — to examine relationship between investor sentiment and stock returns. We would like to see if past returns have anything to do with current sentiment, and if sentiment provides predictive power to future returns.en_US
dc.description.tableofcontents 封面頁
證明書
致謝詞
論文摘要
目錄
表目錄
圖目錄
CHAPTER 1 INTRODUCTION
1.1 BEHAVIORAL FINANCE
1.2 WHAT IS INVESTOR SENTIMENT
1.3 RESEARCH FLOW CHART
CHAPTER 2 LITERATURE REVIEW
2.1 INVESTMENT BEHAVIOR RELATED WORKS
2.2 DISPOSITION EFFECT
2.3 INVESTOR SENTIMENT INDEX
CHAPTER 3 RESEARCH METHODOLOGY
3.1 THE HYPOTHESES
3.2 THE RESEARCH PERIOD, SUBJECTS AND SOURCES OF DATA
3.3 THE RESEARCH DESIGN
3.4 DATA PROCESSING
CHAPTER 4 DATA AND DESCRIPTIVE STATISTICS
4.1 THE DATA
4.2 DESCRIPTIVE STATISTICS
CHAPTER 5 RESULTS AND DISCUSSIONS
5.1 RESULTS ON TEST OF DISPOSITION EFFECT
5.2 RETURNS AND INVESTOR SENTIMENT INDICATORS
5.3 EFFECT OF RETURNS VOLATILITY
CHAPTER 6 CONCLUSIONS AND SUGGESTIONS
6.1 CONCLUSIONS
6.2 SUGGESTIONS
REFERENCES
APPENDIX		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001397en_US
dc.subject (關鍵詞) 投資心理zh_TW
dc.subject (關鍵詞) 交易行為zh_TW
dc.subject (關鍵詞) 行為財務zh_TW
dc.subject (關鍵詞) 股票報酬zh_TW
dc.subject (關鍵詞) 心理指標zh_TW
dc.subject (關鍵詞) 處分效果zh_TW
dc.subject (關鍵詞) 期望理論zh_TW
dc.subject (關鍵詞) 預測指標zh_TW
dc.subject (關鍵詞) Investor Sentimenten_US
dc.subject (關鍵詞) Trading Behavioren_US
dc.subject (關鍵詞) Behavioral Financeen_US
dc.subject (關鍵詞) Stock Returnsen_US
dc.subject (關鍵詞) Sentiment Indicatoren_US
dc.subject (關鍵詞) Disposition Effecten_US
dc.subject (關鍵詞) Prospect Theoryen_US
dc.subject (關鍵詞) Predictive Indexen_US
dc.title (題名) 台灣證券交易所投資人交易行為與股票報酬關係之研究zh_TW
dc.title (題名) Investor Trading Behavior and Stock Returns in Taiwan Stock Exchangeen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) *Papers written in English
B.J. Christensen and N.R. Prabhala. 1998. "The relation between implied and realized volatility." Journal of Financial Economics 50 : 125-150
Bjorn Hansson and Mattias Persson. 2000. "Time diversification and estimation risk." Financial Analysts Journal (September/October) : 55-62
Brad M. Barber and Terrance Odean. 1999. "The courage of misguided convictions." Financial Analysts Journal (November/December) : 41-55
Brian Aitken. 1998. "Have institutional investors destabilized emerging markets?" Contemporary Economic Policy, vol.XVI (April) : 173-184, ISSN 1074-3529
Charles M.C. Lee, Andrei Shleifer and Richard H. Thaler. 1991. "Investor sentiment and the closed-end fund puzzle." The Journal of Finance,vol.XLVI, no.1 (March) : 75-109
Daniel Kahneman and Amos Tversky. 1979. "Prospect Theory: An analysis of decision under risk." Econometrica,vol.47, no.2 (March) : 263-291
Edwin J. Elton, Martin J. Gruber and Jeffrey A. Busse. 1998. "Do investors care about sentiment?" Journal of Business, vol 71, no. 4 : 477-500
Eugene F. Fama and Kenneth R. French. 1993. "Common risk factors in the returns on stocks and bonds." Journal of Financial Economics 33 : 3-56 North-Holland
Eugene F. Fama. 1998. "Market efficiency, long-term returns, and behavioral finance." Journal of Financial Economics 49 : 283-306
Greggory A. Brauer. 1988. "Closed-end fund shares` abcdrmal returns and the information content of discounts and premiums." The Journal of Finance, vol.XLIII, no.1 (March) : 113-127
Gregory R. Duffee. 1995. "Stock returns and volatility. A firm-level analysis." Journal of Financial Economics 37 : 399-420
Hersh Shefrin and Meir Statman. 1985. "The disposition to sell winners too early and ride losers too long: theory and evidence." The Journal of Finance, vol.XL, no.3 (July) : 777-792
Hersh Shefrin and Meir Statman. 2000. "Behavioral portfolio theory." Journal of Financial and Quantitative Analysis, vol.35, no.2 (June) : 127-151
Hersh Shefrin. 2000. "Beyond greed and fear: Understanding behavioral finance and the psychology of investing." Financial Analysts Journal (September/October) : 112-113
Jeffrey F. Jaffe and James M. Mahoney. 1999. "The performance of investment newsletters." Journal of Financial Economics 53 : 289-307
Kenneth L. Fisher and Meir Statman. 2000. "Investor sentiment and stock returns." Financial Analysts Journal (March/April) : 16-36
Kenneth L. Fisher and Meir Statman. 2000. "Cognitive biases in market forecasts." The Journal of Portfolio Management (Fall) : 72-81
Kenneth L. Fisher and Meir Statman. 1999. "A behavioral framework for time diversification." Financial Analysts Journal (May/June) : 88-97
Martin Weber and Colin F. Camerer. 1998. "The disposition effect in securities trading: an experimental analysis." Journal of Economic Behavior & Organization, vol.33 : 167-184
Meir Statman. 1999. "Behaviorial finance: Past battles and future engagements." Financial Analysts Journal, (November/December) : 18-27
Michael E. Solt, Meir Statman. 1988. "How useful is the sentiment index?" Financial Analysts Journal (September/October) : 45-55
Nai-Fu Chen, Raymond Kan and Merton H. Miller. 1993. "Are the discounts on closed-end funds a sentiment index?" The Journal of Finance ,vol.XLVIII, no.2 (June) : 795-800
Navin Chopra, Charles M.C. Lee, Andrei Shleifer and Richard H. Thaler. 1993. "Yes, discounts on closed-end funds are a sentiment index." The Journal of Finance ,vol.XLVIII, no.2 (Jun) : 801-810
Nicholas Barberis, Andrei Shleifer and Robert Vishny. 1998. "A model of investor sentiment." Journal of Financial Economics, 49 : 307-343
Richard H. Thaler. 1999. "The end of behavioral finance." Financial Analysts Journal (November/December) : 12-17
Robert Neal and Simon M. Wheatley. 1998. "Do measures of investor sentiment predict returns?" Journal of Financial and Quantitative Analysis, vol.33, no.4 (December) : 523-547
Roger G. Clarke and Meir Statman. 1998. "Bullish or bearish?" Financial Analysts Journal, (May/June) : 63-72
Shlomo Benartzi and Richard H. Thaler. 1999. "Risk aversion or myopia? Choices in repeated gambles and retirement investments." Management Science, vol.45, no.3 (March) : 364-381
Shlomo Benartzi and Richard H. Thaler. 1995. "Myopic loss aversion and the equity premium puzzle." The Quarterly Journal of Economics (February) : 73-92
Stephen P. Ferris, Robert A. Haugen and Anil K. Makhija. 1988. "Predicting contemporary volume with historic volume at differential price levels: evidence supporting the disposition effect." The Journal of Finance, vol.XLIII, no.3 (July) : 677-699
Terrance Odean. 1998. "Are investors reluctant to realize their losses?" The Journal of Finance (October) : 1775-1798
Thomas Russell and Richard Thaler. 1985. "The relevance of quasi rationality in competitive markets." The American Economic Review, vol.75, no.5 (December) : 1071-1082
Urbi A. Garay. 2000. "Essays on closed-end country funds and investment trusts." PhD Thesis, Isenberg School of Management (February).
Werner F.M. and De Bondt. 1993. "Betting on trends: intuitive forecasts of financial risk and return." International Journal of Forecasting 9 : 355-371
Xia Zhong-Jian. 1996. "What causes closed-end fund discounts?" PhD Thesis, Rutgers the State University of New Jersey-New Brunswick.
*Papers written in Chinese
Eric, Sha. 2000. "Are They Both Reluctant to Realize Their Losses? － Comparing Individual Investors with QFII in Taiwan Stock Exchange." Master Degree Thesis, Department of International Business, Ming Chuan University.
Huang, Ya-Lan. 1994. "The Relationship between Individual Investor Sentiment and Discounts on Closed-end Funds in Taiwan." Master Degree Thesis, The Department and Graduate Institute of Finance, National Taiwan University.
Lin, Chia-Chang. 1999. "The Study of Affecting Discount (or Premium) Behaviors and Factors for the New Transformation Rule of the Closed-end Funds." Master Degree Thesis, The Department and Graduate Institute of Finance, National Taiwan University.
Su, Chueh-Ling. 2000. "Influence of Individual and Institutional Investors` Investment Behaviors on Stock Return and Turnover Ratios － An Empirical Research on Electrical Stocks in TSE." Master Degree Thesis, The Department and Graduate Institute of Finance, National Taiwan University.
Yeh, Shun-Chi. 1994. "The Discounts and Premiums of Closed-End Funds in the Taiwan Stock Exchange." Master Degree Thesis, Department of Business Management, National Sun Yat-Sen University.		zh_TW