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題名:投資人投資行為之研究--以虛擬交易所為例
書刊名:商管科技季刊
作者:陳正佑 引用關係洪榮耀 引用關係陳俊賢
作者(外文):Chen, Cheng-yuHung, Jung-yaoChen, Chun-hsien
出版日期:2008
卷期:9:3
頁次:頁349-367+369-378
主題關鍵詞:行為財務學處分效果反向策略動量策略Behavioral financeDisposition effectContrarian strategiesMomentum strategies
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:18
  • 點閱點閱:54
  本研究採用並修正Oehler, Heilmann, Lager, and Oberlander(2003)所提出之「處分係數」及「投資行為係數」,利用寶碩公司虛擬交易所的交易資料來探討投資人的投資行為是否有處分效果與反向策略或動量策略之存在,並考慮不同學生身分別之影響,包括一般大學與技職院校、國立大學與私立大學、財務金融相關科系與非財務金融相關科系、高投資績效與低投資績效。   實證結論如下:第一、在不考慮交易成本下,虛擬交易所投資人其處分效果和反向策略皆存在且顯著;但在考慮交易成本下,其處分效果存在但不顯著,反向策略則仍存在且顯著。第二、不同學生身分別與不同投資績效之投資人,並不影響實證結果。
  This paper employs and modifies the Oehler, Heilmann, Lager, and Oberlander (2003) model by using the Apex's Virtual Stock Exchange data to discuss whether the investors of investment games exist the disposition effect and contrarian or momentum strategies. Furthermore, we consider the impact of background of different students groups, such as: university v.s. technical and vocational college, national college v.s. private owned college, finance departments v.s. non-finance departments, high investment performamce v.s. low investment performamce.   Empirical results are as follows: First, the whole investors exist the disposition effect and contrarian strategies significantly when ignoring the transaction cost. When considering the transaction cost, the the whole investors exist the disposition effect but not significantly, and exist the contrarian strategies significantly. Second, the background of different students groups have no impact on the empirical results.
期刊論文
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3.Weber, M.、Camerer, C. F.(1998)。The disposition effect in securities trading: An experimental analysis。Journal of Economic Behavior and Organization,33(2),167-184。  new window
4.Kahneman, D.、Tversky, A.(1979)。Prospect theory: An analysis of decision under risk。Econometrica,47(2),263-291。  new window
5.Chan, Kakeung C.(1988)。On the Contrarian Investment Strategy。The Journal of Business,61(2),147-163。  new window
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7.Kamesaka, Akiko、Nofsinger, John R.、Kawakita, Hidetaka(2003)。Investment Patterns and Performance of investor Groups in Japan。Pacific-Basin Finance Journal,11(1),1-22。  new window
8.Schiereck, Dirk、De Bondt, Werner、Weber, Martin(1999)。Contrarian and momentum strategies in Germany。Financial Analysts Journal,55(6),104-116。  new window
9.Odean, Terrance(1998)。Are Investors Reluctant to Realize Their Losses?。The Journal of Finance,53(5),1775-1798。  new window
10.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。  new window
11.Shefrin, Hersh、Statman, Meir(2000)。Behavioral Portfolio Theory。Journal of Financial and Quantitative Analysis,35(2),127-151。  new window
12.Moskowitz, Tobias J.、Grinblatt, Mark(1999)。Do Industries Explain Momentum?。The Journal of Finance,54(4),1249-1290。  new window
13.Kahneman, Daniel、Riepe, Mark W.(1998)。Aspects of Investor Psychology。Journal of Portfolio Management,24(4),52-65。  new window
14.Fama, Eugene F.、French, Kenneth R.(1996)。Multifactor Explanations of Asset Pricing Anomalies。Journal of Finance,51(1),55-84。  new window
15.De Bondt, Werner F. M.、Thaler, Richard H.(1987)。Further Evidence on Investor Overreaction and Stock Market Seasonality。The Journal of Finance,42(3),557-581。  new window
16.Rouwenhorst, K. Geert(1998)。International Momentum Strategies。The Journal of Finance,53(1),267-284。  new window
17.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics,33(1),3-56。  new window
18.Grinblatt, Mark S.、Keloharju, Matti(2001)。What makes investors trade?。Journal of Finance,56(2),589-616。  new window
19.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
20.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1994)。Contrarian Investment, Extrapolation, and Risk。Journal of Finance,49(5),1541-1578。  new window
21.De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance,40(3),793-805。  new window
22.Grundy, Bruce D.、Martin, J. Spencer(2001)。Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing。The Review of Financial Studies,14(1),29-78。  new window
23.楊踐為(1997)。台灣股市之過度反應現象探討。企銀季刊,24(1),46-53。  延伸查詢new window
24.Jegadeesh, N.,、Titman, S.(1993)。Returns to buying winers and selling losers: implications for stock market efficiency。Journal of Finance,48(1),65-91。  new window
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26.Oehler, A., Heilmann, K. R., Lager, V .,、Oberlander, M.(2003)。Coexistence of disposition investors and momentum traders in stock markets: experimental evidence。International Financial Markets Institutions & Money,13,503-524。  new window
會議論文
1.Oehler, A., Heilmann, K. R., Lager, V.,、Oberlander, M.(2002)。Dying out or dying hard? disposition investors in stock markets。  new window
學位論文
1.夏清田(2001)。Investor Trading Behavior and Stock Returns in Taiwan Stock Exchange(碩士論文)。國立政治大學。  延伸查詢new window
2.林秉瑋(2003)。臺灣股市散戶投資人處分效果之實證研究(碩士論文)。朝陽科技大學。  延伸查詢new window
3.沙勝毅(2000)。台灣股票市場散戶與外資投資心理之比較研究(碩士論文)。銘傳大學。  延伸查詢new window
4.陳正佑(2002)。台股動量策略與反向策略投資績效之研究(博士論文)。國立中山大學。new window  延伸查詢new window
5.白芳苹(2002)。基金投資人之錯置效果--台灣地區實證研究(碩士論文)。國立臺灣大學。  延伸查詢new window
6.李朝明(2003)。臺灣股票市場投資人錯置效果與盈虧之細部研究(碩士論文)。國立臺灣大學。  延伸查詢new window
7.陳怡芳(2005)。處分型投資人與動量型交易者在股票市場之共存現象,花蓮。  延伸查詢new window
8.黃聖棠(2007)。台灣股市外資與動能投資策略(博士論文)。國立東華大學。new window  延伸查詢new window
9.謝朝顯(1994)。追漲殺跌投資組合策略之實證研究─台灣股市效率性之在檢定,台北市。  延伸查詢new window
圖書
1.盧育明(2005)。行為財務學。臺北:商鼎文化出版社。  延伸查詢new window
圖書論文
1.Shiller, R. J.(1999)。Human behavior and the efficiency of the financial system。Handbook of Macroeconomics。Amsterdam, Netherlands:Elsevier。  new window
 
 
 
 
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