過度自信與股市交易行為關聯性之實證研究--以國內證券商為例_

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題名：	過度自信與股市交易行為關聯性之實證研究--以國內證券商為例
書刊名：	中山管理評論
作者：	劉永欽／洪榮華
作者(外文)：	Liu, Yong-chin／Hung, Jung-hua
出版日期：	2006
卷期：	14:3
頁次：	頁569-603
主題關鍵詞：	過度自信；自信不足；Brier分數；難一易效應；Overconfidence；Under-confidence；Brier score；Hard-easy effect
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(6) 博士論文(0) 專書(1) 專書論文(0) 排除自我引用:5 共同引用:0 點閱:161

本文以自信衡量指標─Brier分數，衡量證券商對股價指數的預測是否過度自信，並觀察過度自信與短期交易量的關係。從指數漲、跌與盤整三種走勢觀察，發現；樣本券商對指數的預測過度自信，其程度呈週期起伏，以指數波段中段的程度最高，故此期間指數最難預測；券商雖過度自信，但其自營部未必增加交易量：對看漲過度自信時反而少買，看跌時卻多買少賣，預期盤整時則傾向出售。這些交易方向與預期不符，故文獻中「過度自信時交易量會增加」的說法失之簡化，應分成漲、跌與盤整三種預測來觀察。此結果可能是因券商具專業和資訊優勢，使其可較快調整交易，故投資人如欲參考券商的資訊，當發現走勢與其預測不符，即宜調整交易策略，以免與自營商對作，增加投資風險。

以文找文

This paper investigates the forecasts made by securities firms for stock index in rising, falling, and oscillating situations separately and integrally to directly measure overconfidence with the Brier score, which is widely utilized in psychology but first employed in behavioral finance. The purposes of this paper are to examine: 1) Whether securities firms are overconfident and, if so, the characteristics of overconfidence; 2) the relationship between overconfidence and the short-term trading volumes of their dealer departments. Our findings are as follows : 1) Overall, the sample firms are overconfident in forecasting index short-term trends; 2) overconfidence shows a cyclically undulating phenomenon while the medium sessions of rising and falling periods exhibit the highest overconfidence for firms and are, therefore, the most difficult ones to predict; 3)overconfident firms do not raise their trading volumes; instead, they buy less while forecasting a rising index, buy more while anticipating a declining index, and sell more while predicting oscillation. These results are inconsistent with our expectations. The notion of previous research that trading volumes would increase when investors are overconfident may be simplified. We suppose that rapid modulation in trading strategies had been adopted, which results from specialization and more information that securities firms possess. Therefore, the best strategy for investors that want to use securities firms' prediction information would be to adjust investing strategies as price drifts are inconsistent with those predictions. This may help to avoid opposite trading to dealers and to decrease risks.

以文找文

期刊論文
1.	Bloomfield, R.、Libby, R.、Nelson, M.(1999)。Confidence and the Welfare of Less-informed Investors。Accounting, Organizations and Society，24，623-647。
2.	Heath, Chip、Tversky, Amos(1991)。Preference and Belief: Ambiguity and Competence in Choice under Uncertainty。Journal of Risk and Uncertainty，4(1)，5-28。
3.	Bartova, Eli、Radhakrishnanb, Suresh、Krinsky, Itzhak(2000)。Investor sophistication and patterns in stock returns after earnings announcement。The Accounting Review，75(1)，43-63。
4.	Figlewski, S.(1978)。Market efficiency in a market with heterogeneous information。Journal of Political Economy，86，581-597。
5.	Daniel, Kent D.、Hirshleifer, David、Subrahmanyam, Avanidhar(2001)。Overconfidence, arbitrage, and equilibrium asset pricing。Journal of Finance，56(3)，921-965。
6.	Weinstein, N.(1980)。Unrealistic Optimism about Future Life Events。Journal of Personality and Social Psychology，39(5)，806-820。
7.	Barber, B. M.、Odean, T.(2000)。Too many cooks spoil the profits: Investment club performance。Financial Analysts Journal，56(1)，17-25。
8.	Einhorn, H. J.(1980)。Overconfidence in judgment。New Directions for Methodology of Social and Behavioral Science，4，1-16。
9.	Tversky, A.、Kahnema, D.(1974)。Judgment under Uncertainty: Heuristic and Biases。Science，185(4157)，1124-1131。
10.	劉玉珍、郭齡鞠(2003)。認知心理學在財務學術的應用。貨幣觀測與信用評等，42，2-14。延伸查詢
11.	Taylor, Shelley E.、Brown, Jonathon D.(1988)。Illusion and Well-Being: A Social Psychological Perspective on Mental Health。Psychological Bulletin，103(2)，193-210。
12.	Russo, J. E.、Schoemaker, P. J. H.(1992)。Managing Overconfidence。Sloan Management Review，33(2)，7-17。
13.	Odean, Terrance(1998)。Are Investors Reluctant to Realize Their Losses?。The Journal of Finance，53(5)，1775-1798。
14.	Shefrin, Hersh、Statman, Meir(1985)。The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence。The Journal of Finance，40(3)，777-790。
15.	Kahneman, Daniel、Riepe, Mark W.(1998)。Aspects of Investor Psychology。Journal of Portfolio Management，24(4)，52-65。
16.	Odean, Terrance(1998)。Volume, Volatility, Price, and Profit When All Traders Are Above Average。Journal of Finance，53(6)，1887-1934。
17.	Griffin, Dale、Tversky, Amos(1992)。The Weighing of Evidence and the Determinants of Confidence。Cognitive Psychology，24(3)，411-435。
18.	Gervais, Simon、Odean, Terrance(2001)。Learning to be Overconfident。Review of Financial Studies，14(1)，1-27。
19.	Koriat, Asher、Lichtenstein, Sarah、Fischhoff, Baruch(1980)。Reasons for Confidence。Journal of Experimental Psychology: Human Learning and Memory，6，107-118。
20.	Statman, M.(1999)。Behavior Finance: Past Battles and Future Engagements。Financial Analysts Journal，55，18-27。
21.	Odean, Terrance(1999)。Do Investors Trade too Much?。American Economic Review，89(5)，1279-1298。
22.	Daniel, Kent D.、Hirshleifer, David A.、Subrahmanyam, Avanidhar(1998)。Investor Psychology and Security Market under- and Overreactions。The Journal of Finance，53(6)，1839-1885。
23.	Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica，55(3)，703-708。
24.	Lichtenstein, Sarah、Fischhoff, Baruch(1977)。Do Those Who Know More Also Know More about How Much They Know?。Organizational Behavior and Human Performance，20(2)，159-183。
25.	周賓凰(2002)。認知失調及其在財務研究之應用。貨幣觀測與信用評等，38，15-22。延伸查詢
26.	許培基(2002)。性別與投資。貨幣觀測與信用評等，38，30-34。延伸查詢
27.	Benos, A. V.(1998)。Aggressiveness and Survival of Overconfidence Traders。Journal of Financial Markets，1，353-383。
28.	Brier, G. W.(1950)。Verification of Forecasts Expressed in Terms of Probability。Monthly Weather Review，78，1-3。
29.	Murphy, A.(1973)。A New Vector Partition of the Probability Score。Journal of Applied Meteorology，12，595-600。
30.	Bar-Tal, Yoram、Sarid, Anat、Kishon-Rabin, Liat(2001)。A Test of the Overconfidence Phenomenon Using Audio Signals。The Journal of General Psychology，128(1)，76-80。
31.	Zakay, D.、Glicksohn, J.(1992)。Overconfidence in a Multiple-choice Test and Its Relationship to Achievement。Psychological Record，42，519-524。

研究報告
1.	Ekholm, A.、Pasternack, D.(2002)。Overconfidence and Investor Size。0。
2.	Hilary, Gilles、Menzly, Lior(2001)。Does Past Success Lead Analysts to Become Overconfident?。University of Chicago。
3.	Kirchler, E.、Maciejovsky, B.(2001)。Simultaneous Over- and Underconfidence: Evidence from Experimental Asset Markets。0。
4.	Locke, P. R.、Mann, S. C.(2001)。House Money and Overconfidence on the Trading Floor。0。
5.	Statman, M.、Thorley, S.(1998)。Overconfidence and Trading Volume。Santa Clara University。

學位論文
1.	陳虹霖(2002)。國內共同基金投資人過度自信行為之研究(碩士論文)。國立臺灣大學。延伸查詢

圖書
1.	Hastorf, Albert H.、Schneider, David J.、Polefka, Judith(1970)。Person Perception。Addison-Wesley。
2.	Alpert, M.、Raiffa, H.(1982)。A Progress Report on the Training of Probability Assessors。Judgment under Uncertainty: Heuristics and Biases。Cambridge, UK。
3.	李進生、謝文良、吳壽山、蔣炤坪(2002)。臺股指數期貨與操作實務。臺股指數期貨與操作實務。臺北。延伸查詢
4.	Pagano, R. R.(2000)。行為科學統計學。行為科學統計學。臺北市。延伸查詢
5.	De Bondt, W. F. M.、Thaler, R. H.(1995)。Financial Decision-making in Markets and Firms: A Behavioral Perspective。Finance, Handbooks in Operations Research and Management Science。Amsterdam, Netherlands。

圖書論文
1.	Lichtenstein, S.、Fischhoff, B.、Phillips, L. D.(1982)。Calibration of Probability: The State of the Art to 1980。Judgment under Uncertainty: Heuristics and Biases。Cambridge University Press。

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