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題名:機構法人買賣超、行為偏誤與動能效應
書刊名:朝陽商管評論
作者:葉智丞 引用關係唐明曦 引用關係
作者(外文):Yeh, Chih-chengTang, Ming-hsi
出版日期:2020
卷期:18:1
頁次:頁49-70
主題關鍵詞:機構法人代表性偏誤保守性偏誤動能效應Institutional investorsRepresentativeConservativeMomentum
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(0) 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:0
  • 共同引用共同引用:24
  • 點閱點閱:8
本研究嘗試檢視是否機構法人連續買賣超會影響投資人的偏誤行為,實證結果發現,投資人對於整體機構法人短期連續買賣超訊號會緩慢接受有保守性偏誤,中期連續買賣超訊號則會過度重視有代表性偏誤;對於外資法人買賣超有代表性偏誤,對於投信與自營商買賣超有保守性偏誤;對於外資與投信不一致的買賣訊號有保守性偏誤,投信與自營商一致的賣出訊號有代表性偏誤。在進一步的推論,發現台灣股市動能效應可能是,外資與投信或者自營商不一致的買賣訊號影響到投資人的保守性偏誤有關;而台灣股市反轉現象可能是,機構法人一致的賣出訊號影響到投資人的代表性偏誤有關。最後,投信法人相對於外資與自營商扮演更關鍵的動能角色。
This study attempts to examine whether the institutional investors' trading super will affect the investor behavioral biases. The empirical results found that the overall institutional investors' short-term trading super, will affects the conservative bias of investors, and the medium-term trading super will cause the investor's representative bias. The investors tend to trading super of foreign have representative bias and to trading super of trust and dealer with conservative biases. For the inconsistent trading signals of foreign capital and trust that investors will have conservative biases and the consistent trading signal of trust and dealer; it will affect the representative bias of the investor. In addition, it is found that the Momentum of the Taiwan stock market may be inconsistent trading signals between foreign and trust or dealer, which affects the conservative bias of investors. Taiwan stock market reversal may be due to the consistent selling signal of the trust and dealer affects the representative bias of investors. Finally, trust plays a more critical role than foreign and dealer.
期刊論文
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3.Hales, Jeffrey、Bloomfield, Robert(2002)。Predicting the Next Step of a Random Walk: Experimental Evidence of Regime-shifting Beliefs。Journal of Financial Economics,65(3),397-414。  new window
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6.Chan, W. S.、Frankel, R.、Kothari, S. P.(2004)。Testing Behavioral Finance Theories Using Trends and Consistency in Financial Performance。Journal of Accounting and Economics,38(1),3-50。  new window
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9.蕭朝興、尤靜華、李家華(20130600)。臺灣股市機構投資人之交易策略和股票報酬。證券市場發展,25(2)=98,55-95。new window  延伸查詢new window
10.林哲鵬、李春安、葉智丞(20121000)。投資人情緒與價格動能之關聯性。管理與系統,19(4),729-759。new window  延伸查詢new window
11.Chan, Louis K. C.、Chen, Hsiu-Lang、Lakonishok, J.(2002)。On Mutual Fund Investment Styles。Review of Financial Studies,15(5),1407-1437。  new window
12.Kacperczyk, Marcin、Sialm, Clemens、Zheng, Lu(2005)。On the industry concentration of actively managed equity mutual funds。Journal of Finance,60,1983-2011。  new window
13.Wermers, Russ(2000)。Mutual fund performance: An empirical decomposition into stock-picking talent, style, transactions costs, and expenses。Journal of Finance,55(4),1655-1695。  new window
14.Chiao, C.、Lin, K.-I.(2004)。The Informative Content of the Net-Buy Information of Institutional Investors: Evidence from the Taiwan Stock Market。Review of Pacific Basin Financial Markets and Policies,7(2),259-288。  new window
15.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
16.Chiao, Chaoshin、Chen, Shin-Hui、Hu, Jia-Ming(2010)。Informational differences among institutional investors in an increasingly institutionalized market。Japan and the World Economy,22,118-129。  new window
17.Parrino, Robert、Sias, Richard W.、Starks, Laura T.(2003)。Voting with their Feet: Institutional Ownership Changes around forced CEO Turnover。Journal of Financial Economics,68(1),3-46。  new window
18.Grinblatt, Mark、Keloharju, Matti(2000)。The Investment Behavior and Performance of Various Investor Types: A Study of Finland's Unique Data Set。Journal of Financial Economics,55(1),43-67。  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.林煜恩、王肇蘭、黎怡均、池祥萱(20140300)。機構投資人能適時賣出該賣的股票嗎?。證券市場發展季刊,26(1)=101,31-66。new window  延伸查詢new window
21.Kahneman, Daniel、Tversky, Amos(1979)。Prospect Theory: An Analysis of Decision under Risk。Econometrica: Journal of the Econometric Society,47(2),263-292。  new window
22.林哲鵬、黃昭祥、李春安(20060600)。機構投資人行為與臺灣股市報酬的關聯性。財務金融學刊,14(2),111-150。new window  延伸查詢new window
23.Bod, Pauline、Blitz, David、Franses, Philip H.(2002)。An Unbiased Variance Estimator for Overlapping Returns。Applied Financial Economics,12(3),155-158。  new window
24.Dvorak, T.(2005)。Do Domestic Investors Have an Informational Advantage? Evidence from Indonesia。Journal of Finance,60(2),817-839。  new window
研究報告
1.Mullainathan, S.(2002)。Thinking through Categories。MIT。  new window
圖書
1.Shefrin, H.(2002)。Beyond greed and fear: Understanding behavioral finance and the psychology of investing。Boston, MA:Harvard Business。  new window
 
 
 
 
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