臺灣股票市場錯置效果之研究
Date Issued
2005
Date
2005
Author(s)
楊宗麟
DOI
zh-TW
Abstract
The tendency to hold losers too long and sell winners too soon has been labeled the Disposition Effect. The purpose of this thesis is test the hypothesis of the existing of Disposition Effect in Taiwan stock market by learning the research method of Odean(1998) and analyzing the trading records at a local brokerage house. These investors demonstrate a preference for realizing winner rather than loser. Their behavior may be motivated by a desire of rebalance portfolios. A different result shows no negative relation between disposition effect and investment returns opposite from Odean(1998). Then I segment the samples by some variables s, and verify the said Disposition Effect on each segment.
From this research it is realized that the Disposition Effect does exist in Taiwan stock market, however its existence shows no influence to investors’ performances, this result apparently differs from the one overseas. The segments of experience and age shows that the much more experience the investors have, the more obvious Disposition Effect appears on them. The majority of Taiwan stock market is currently individual investors, and features high turnover rate, therefore the investors experienced more makes a prompter portfolios re-balance. The segments of marginal trading and future trading shows that Disposition Effect appears on both these accounts, since the margin trading is an investment tool featured leverage, depending on prospect theory enhances the Disposition Effect. The segments of investors’ timing and selection ability shows that Disposition Effect appears on those investors having superior performances, which also implies that these investors seems to be specialized in portfolios re-balance and attains higher investment return. Unfortunately, due to the difficulty on gathering the source, it cannot go further to analyze the criteria of timing and selection ability verification.
Subjects
錯置效果
展望理論
Disposition Effect
Prospect Theory
Type
thesis
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