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題名:處分效果、紀律投資與股價趨勢
書刊名:東吳經濟商學學報
作者:劉海清 引用關係傅英芬 引用關係
作者(外文):Liu, Hai-chingFu, Ying-fen
出版日期:2010
卷期:69
頁次:頁83-116
主題關鍵詞:處分效果紀律投資股價趨勢移動平均線The disposition effectDisciplined investingStock price trendMoving average
原始連結:連回原系統網址new window
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  • 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)
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  • 共同引用共同引用:19
  • 點閱點閱:39
雖然過去已有不少文獻證實專家與個別的投資人都存在有處分效果的現象,但鮮少有文獻探討規避處分效果的方法與成效。針對投資人這種不理性的投資行為,本文試圖探討是否市場上最簡單的交易法則就可以規避掉此種偏誤。本文的貢獻在於立基於紀律投資的基礎上,證實只要能夠遵循紀律投資,那麼即使像移動平均線(Moving Average, MA)這種簡單的交易法則亦能夠規避處分效果,這也許是簡單的交易法則除了簡便外,能長期存在市場中的原因。此外新興市場因為股價趨勢波動性較高,所以使用紀律投資的方式對處分效果的規避程度較高而且獲利交易比例也較高,因此相較於已開發國家市場,紀律投資在新興市場的操作上也普遍有較佳的績效。
Although past literature verified that both professional and individual investors exist the disposition effect, little literature investigates the method and effect of the avoidance of the disposition effect. This study based on the basis of disciplined investing verifies that even the uncomplicated trading rule (MA) can help investors avoid the disposition effect. The effect of the avoidance of the disposition effect is more effective on the emerging markets than on the developed country markets. Moreover, the ratio of profit trading numbers over loss trading numbers and the performance of disciplined investing (MA) are better in emerging markets than in developed country markets.
期刊論文
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4.許保忠(20050600)。臺灣股市處分效果之研究。臺灣金融財務季刊,6(2),21-33。new window  延伸查詢new window
5.Ferris, Stephen P.、Haugen, Robert A.、Makhija, Anil K.(1988)。Predicting contemporary volume with historic volume at differential price levels: Evidence supporting the disposition effect。Journal of Finance,43(3),677-697。  new window
6.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
7.Hinich, M. J.、Patterson, D. M.(1985)。Evidence of nonlinearity in daily stock returns。Journal of Business & Economic Statistics,3(1),69-99。  new window
8.Garvey, Ryan、Murphy, Anthony(2004)。Are Professional Traders too Slow to Realize Their Losses?。Financial Analysts Journal,60(4),35-43。  new window
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10.Locke, P. R.、Mann, S. C.(2005)。Professional Trader Discipline and Trade Disposition。Journal of Financial Economics,76(2),401-444。  new window
11.Locke, Peter R.、Onayev, Zhan(2005)。Trade duration: Information and Trade Disposition。Financial Review,40(1),113-129。  new window
12.陳正佑、洪榮耀、陳俊賢(20080900)。投資人投資行為之研究--以虛擬交易所為例。商管科技季刊,9(3),349-367+369-378。new window  延伸查詢new window
13.Brock, William、Lakonishok, Josef、LeBaron, Blake(1992)。Simple Technical Trading Rules and the Stochastic Properties of Stock Returns。The Journal of Finance,47(5),1731-1764。  new window
14.Sullivan, R.、Timmermann, A.、White, H.(1999)。Data-snooping, Technical Trading Rule Performance, and the Bootstrap。Journal of Finance,54(5),1647-1691。  new window
15.Shapira, Z.、Venezia, I.(2001)。Patterns of Behavior of Professionally Managed and Independent Investors。Journal of Banking and Finance,25(8),1573-1587。  new window
16.Gunasekarage, Abeyratna、Power, David M.(2001)。The profitability of moving average trading rules in South Asian stock markets。Emerging Markets Review,2(1),17-33。  new window
17.Odean, Terrance(1998)。Are Investors Reluctant to Realize Their Losses?。The Journal of Finance,53(5),1775-1798。  new window
18.Schlarbaum, Gary G.、Lewellen, Wilbur G.、Lease, Ronald C.(1978)。Realized Returns on Common Stock Investments: The Experience of Individual Investors。Journal of Business,51(2),299-325。  new window
19.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
20.Feng, Lei、Seasholes, Mark S.(2005)。Do investor sophistication and trading experience eliminate behavioral biases in financial markets?。Review of Finance,9(3),305-351。  new window
21.Grinblatt, Mark S.、Keloharju, Matti(2001)。What makes investors trade?。Journal of Finance,56(2),589-616。  new window
22.林泉源、吳瑞山、黃婉華(20060300)。臺灣股市機構投資人處分效果之實證研究。企業管理學報,68,87-132。new window  延伸查詢new window
23.Grinblatt, Mark、Titman, Sheridan(1993)。Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns。The Journal of Business,66(1),47-68。  new window
24.Hinich,M. J. and D. M. Patterson(1985)。“Evidence of Nonlinearity in Daily Stock Returns.”。Journal of Business & Economic Statistics,13,no.1,69-99。  new window
25.Lehenkari, M. and J. Perttunen(2004)。“Holding on to the Losers: Finnish Evidence.”。Journal of Behavioral Finance,5,no.2,116-26。  new window
26.Locke, P. R. and S. C.Mann(2005)。“Professional Trader Discipline and Trade Disposition.”。Journal of Financial Economics,76,no.2,401-44。  new window
27.Locke, P. R. and Z. Onayev(2005)。“Trade duration: Information and Trade Disposition.”。Financial Review,40,no.1,113-29。  new window
28.Van Horne, C. James, and G.. Parker(1967)。“The Random Walk Theory : An Empirical Test.”。Financial Analysts Journal,23,no.6,87-92。  new window
29.許保忠(2005)。台灣股市處份效果之研究。台灣金融財務季刊,6(2),21-33。  延伸查詢new window
30.Lehenkari, M.、Perttunen J.(2004)。Holding on to the Losers: Finnish Evidence。Journal of Behavioral Finance,5(2),116-126。  new window
31.Van Horne、James, C.、Parker G.(1967)。The Random Walk Theory : An Empirical Test。Financial Analysts Journal,23(6),87-92。  new window
學位論文
1.沈宜正(2005)。臺灣機構投資人錯置效果與股市動能相關性之研究(碩士論文)。雲林科技大學。  延伸查詢new window
2.許祐瑞(2002)。台灣股市散戶與三大法人處分效果之研究(碩士論文)。國立高雄第一科技大學。  延伸查詢new window
3.趙永昱(2002)。技術分析交易法則在股市擇時之實證研究(碩士論文)。國立中山大學。  延伸查詢new window
 
 
 
 
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