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題名：投資人情緒與投資行為偏誤之研究
作者：黃致倫 引用關係
作者(外文)：Huang, Chih-Lun
校院名稱：國立臺北大學
系所名稱：企業管理學系
指導教授：古永嘉
學位類別：博士
出版日期：2007
主題關鍵詞：行為財務；投資人情緒；過度自信；處分效果；behavioral finance；investor sentiment；overconfidence；disposition effect
原始連結：連回原系統網址new window
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近年來許多行為財務研究發現，投資人情緒與股市報酬率之間有關聯性。並且，許多研究亦發現，股市中存在著投資行為偏誤，例如過度自信、處分效果等。然而，鮮少有研究去探討這些投資行為偏誤的產生是否與投資人情緒有關聯，因此，本研究試圖探討投資人情緒及投資行為偏誤是否存在相關性。與以往研究不同之處，本研究將投資人情緒分為兩大類：第ㄧ類為針對大盤之情緒，第二類為針對個股之投資情緒。本研究主要目的在探討這兩類投資情緒與投資行為偏誤之關聯，分為四部份:（一）探討大盤投資情緒與投資行為偏誤之關聯（二）找尋合適之個股投資情緒代理變數（三）建立個股投資情緒與投資行為偏誤之關係模型（四）比較大盤投資情緒與個股投資情緒造成之投資行為偏誤。
針對大盤情緒，本研究以2000年1月7日至2006年12月29日之台灣股市為研究對象，以日照時數、溫度、前次報酬率及融資變動率當作大盤快樂情緒之代理變數，探討大盤快樂情緒與過度自信投資行為之關聯，共蒐集361週資料，並以GARCH模型分析。針對個股情緒，本研究以前100大上市股票為研究對象，刪除成立時間較短之公司，共80家公司作為研究對象，研究期間為2003年1月3日至2006年12月29日，為期207週，共16,650筆資料，以日照時數、溫度、前次報酬率及融資變動率作為個股快樂情緒之代理變數，以融券數量、本益比作為個股恐懼情緒，以市場價值、外資交易量、三大法人持股比率作為個股認同情緒，以價格及貝他係數作為個股後悔情緒。建立一個以快樂、恐懼、認同及後悔情緒與過度自信、處分效果偏誤之關係模型，以SEM(LISREL)模型分析。
本研究結果發現:（一）針對大盤投資情緒，本研究發現由自然環境(日照、溫度)造成的快樂情緒，對過度自信偏誤有負面關係；由投資氣氛(前次報酬率、融資變動率)造成的快樂情緒，對過度自信偏誤有正面關係（二）針對個股投資情緒，日照與前次報酬率可作為快樂投資情緒之代理變數；融券數量、本益比可作為個股恐懼情緒；市場價值、外資交易量、三大法人持股比率可作為個股認同情緒；市場價值、外資交易量、三大法人持股比率可作為個股認同情緒，價格及貝他係數可作為個股後悔情緒（三）當投資人對特定股較有認同情緒時，則較不會有過度自信之偏誤。當投資人較有快樂、恐懼及後悔情緒時，則較會有過度自信之偏誤。此外，此四種情緒較強時，投資人較有處分效果偏誤（四）比較大盤投資情緒與個股投資情緒造成之投資行為偏誤，發現大盤投資情緒由投資氣氛造成差異；個股投資情緒則是由對特定股票之認同情緒而造成差異。
Many studies have discovered that investor sentiment exists in stock market and relates to the stock returns. In addition, various investment behavioral biases such as, overconfidence and disposition effect are often discussed in behavioral finance field. However, few studies connect the causes of investment behavioral biases to investor sentiment. Thus, this research intends to investigate and build a relationship model of investor sentiments and investment behavioral biases. Different to past studies, this research classifies investor sentiment into two categories: one is investor sentiment toward market and the other one is investor sentiment toward individual stock. The purposes of this research are: (1) investigate the relationship of investor sentiment toward market and investment behavioral biases (2) search and employ appropriate measures or proxies for investor sentiment toward individual stock (3) build a relationship model of investor sentiment toward individual stock and investment behavioral biases (4) compare the results of investor sentiment toward market and investor sentiment toward individual stock.
For investigating investor sentiment toward market, this research uses all listing companies of Taiwan Stock Exchange (TSE) as the research samples. Secondary data are collected from Taiwan Economic Journal (TEJ) data bank, TSE, and Central Weather Bureau. The research period is from January 7, 2000 to December 29, 2006. Totally 361weeks data are collected. Sunshine hour, temperature, former return and margin loan are proxies for happiness sentiment. The relationship of happiness sentiment toward market and overconfidence are tested by GARCH model. For investigating investor sentiment toward individual stock, this research uses Top 100 Taiwan Stock Exchange (TSE) Weighted Stock Index constituents. 20 companies have incomplete data and are excluded. 80 companies are left as the research samples. The research period is from January 3, 2003 to December 29, 2006. Totally 207 weeks data are collected. Number of data is 16,650 (80 company’s data multiply 207 weeks). Sunshine hour, temperature, former return and margin loan are proxies for happiness sentiment. Short selling volume and P/E ratio are proxies for fear sentiment. Market value, foreign investor trading volume, and the holding rate of institutional investors are proxies for recognition sentiment. Price and beta coefficient are proxies for regret sentiment. The relationship of these four sentiments toward individual stock and overconfidence, disposition effect are analyzed by SEM/LISREL model.
The results of this research are: (1) Natural environment happiness (sunshine hour, temperature) has negative effect on overconfidence. Investment atmosphere happiness has positive effect on overconfidence. (2) After factor analysis, sunshine hour and former return can be proxies for happiness sentiment. Short selling, P/E ratio can be proxies for fear sentiment. Market value, foreign trading, and holding share can be proxies for recognition sentiment. Price, beta can be proxies for regret sentiment. (3) This research builds a model of investor sentiment toward individual stock and investment behavioral biases. When investors have recognition sentiment on the particular stock, they are less likely to have overconfidence. When investors have happiness, fear, and regret sentiments, they are more likely to have overconfidence. When investors have happiness, fear, recognition, and regret sentiments, they are more likely to have disposition effect. (4) This research compares the results of investor sentiment toward market and investor sentiment toward individual stock. Investor sentiment toward market differs when investment atmosphere happiness occurs. Investor sentiment toward individual stock differs when investors have recognition sentiment on particular stock.
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