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學校名稱輔仁大學
系所名稱金融研究所
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學號493756098
研究生(中)鄭玉青
研究生(英)Yu-Ching Cheng
論文名稱(中)個別投資者過度自信成因之探討
論文名稱(英)The Determinants of Individual Overconfidence
其他題名
指導教授(中)許培基
指導教授(英)Pei-Gi Shu
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國圖全文開放日期.2007.01.01
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學位類別碩士
畢業學年度94
出版年
語文別中文
關鍵字(中)過度自信 電子戶 信用戶 投資人 情緒 年紀 自我歸因偏誤 投資人情緒
關鍵字(英)overconfidence self-attribution investor sentiment
摘要(中)在Gervais and Odean(2001)的研究中,投資人一開始並不是過度自信的,其會從過去成功與失敗的經驗中來認知自己的能力,但常在不自覺中即犯了自我歸因的偏誤,此種學習偏誤的現象,即造成了投資人的過度自信。因而本研究即根據此概念,架構一個自我歸因偏誤的迴歸模型,欲探討投資人的過度自信是來自於先天的個人的屬性抑或來自於後天經驗學習偏誤所造成?另外本研究亦探討市場情緒是否會影響投資人的過度自信行為。本文的實證結果如下: 1.大部分投資人的過度自信是由後天學習偏誤所造成的,不論依何種屬性分類方式投資人的交易行為皆會受到過去交易經驗的影響,例外情況為週轉率最頻繁的第5群男性投資人,其交易不受到過去績效的影響,交易自信來自天生的個人屬性。在屬性分群下,發現男性較女性、年輕者較年長者、開戶短較開戶長、電子戶較非電子戶、信用戶較非信用戶的投資人在面對過去的交易績效下,對本期的交易會有顯著較大的反應。 2.在投資人情緒方面,交易頻繁的投資人(第3~5群)較易受到投資人情緒的影響,而正向的反映在其週轉率上,但不全然會損及投資人的績效導致投資人有過度自信傾向,如交易最頻繁的第5群投資人對績效反而有正向的影響。此外在屬性分群下,發現男性、年紀較輕者、開戶時間短、電子戶交易的投資人,較易受到情緒的影響,而使投資人有過度自信的傾向。
摘要(英)We develop a self-attribution bias model testing whether investors’ overconfidence come from the inner individual characteristics or breed by the experience. In Gervais and Odean(2001)’s muti-period market model, an investor’s overconfidence comes from the self-attribution learning bias. If an trader’s confidence comes from the inner individual characteristics, then his trading would not be affected by the performance of last period. The second part of our study is about how investor sentiment affects investors trading behavior and would investor sentiment lead to overconfidence? The results of our research are listed below: 1. In various kinds of grouping ways results shows most traders trading behavior would be affected by past performance. The only exception is the man of the highest-turnover investors, their turnover would not be affected by last period performance, so their confidence come from the individual characteristics. And we further find grouping by individual characteristics, when trading, man, the younger, electronic traders, and margin traders have more reaction about past performance. 2. When sentiment is high, the traders would positive increasing their turnover, especially for the high-turnover(3th~5th) investors and this would induce lower performance next period. This implies sentiment would lead them tend to be overconfidence, but this is not always the case. We can see sentiment induce the highest-turnover investors have positive effect about the next period performance. Besides, when grouping by individual characteristics, man, the younger, electronic traders, and margin traders are easier affected by sentiment and tend to be overconfidence.
論文目次目錄 第壹章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 2 第三節 研究架構與研究流程 3 第貳章 文獻探討 4 第一節 過度自信的心理起源與成因 4 第二節 過度自信的相關文獻 6 第三節 投資者情緒與情緒指標的相關文獻 11 一、情緒與判斷 11 二、投資者情緒指標 12 第參章 研究方法 18 第一節 資料來源 18 第二節 變數定義 18 第三節 研究假說 22 第四節 研究設計 24 第肆章 實證結果與分析 30 第一節 樣本基本敘述統計 30 第二節 自我歸因偏誤實證 33 第三節 投資人情緒與過度自信實證結果 41 第伍章 結論與建議 52 第一節 研究結論 52 第二節 研究限制與建議 53 參考文獻: 54 表目錄 表4-1 交易資料敘述統計量 30 表4-2 客戶屬性 31 表4-3 分群帳戶之績效表 33 表4-4 週轉率對過去績效與個人屬性之迴歸 34 表4-5 週轉率對過去績效與個人屬性迴歸-依週轉率分群 36 表4-6 第5群組投資人週轉率對過去績效迴歸-依性別分群 37 表4-7 週轉率對過去績效迴歸-依屬性分群 38 表4-8 Friedman 檢定 40 表4-9 與週轉率隨績效同向變動比率 40 表4-10 情緒影響投資人週轉率迴歸式 42 表4-11 情緒影響投資人績效迴歸 43 表4-12 週轉率對情緒指標的迴歸式-週轉率分群帳戶 44 表4-13 情緒影響績效迴歸-週轉率分群帳戶 45 表4-14 週轉率對情緒指標的迴歸式-屬性分群 47 表4-15情緒影響績效迴歸-依性別分群 48 表4-16情緒影響績效迴歸-依年齡分群 49 表4-17情緒影響績效迴歸-依開戶時間長短分群 50 表4-18情緒影響績效迴歸-依電子戶與否分群 51 圖目錄 圖1-1 研究流程 3 圖4-1 依週轉率分群帳戶屬性圖 31 圖4-2 依週轉率分群之年齡與開戶年限分佈圖 32
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