政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34075
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 112704/143671 (78%)
Visitors : 49760877      Online Users : 561
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34075


    Title: 投資人的偏好固定嗎?
    Authors: 徐新舫
    Contributors: 周行一
    徐新舫
    Keywords: 行為財務學
    投資人偏好
    Date: 2007
    Issue Date: 2009-09-17 19:22:32 (UTC+8)
    Abstract: 本研究利用台灣證券交易所1992到2006年的投資人成交資料，來研究散戶投資人之交易偏好是否隨時間經過而改變的原因。本研究結果顯示散戶投資人買進股票時對於股票特性的偏好（如本益比、規模、帳面價值對市價比等）會隨著時間經過而改變，此外每個年度買進股票的數目並非隨時間經過而維持一致。最後每年度均在市場交易的散戶投資人，其選擇股票的偏好傾向高周轉率、低報酬率標準差、以及高帳面價值對市價比的股票，顯示持續參與市場的投資人，其買進股票的行為較為傾向風險趨避。
    In this paper, investors’ trading records from TSEC for the period from 1992 to 2006 are used to do the research about whether the preferences of individual investors have changed from time to time. Also, the results show that the buying preferences of individual investors, such as P/E ratio, size, and book-to-market ratio, changed year by year and their numbers of purchased stocks also changed every year. In addition, the research takes the individuals who traded every year as samples to trace their behaviors, and the result shows they preferred to stocks with high turnover ratio, low standard deviation of stock return, and high book-to-market ratio when they were picking stocks. From this result implies that individuals who consistently participated in the stock market behaved as risk-averse investors.
    Reference: 周行一、徐苑玲、徐新舫、莊凱如，(2008) ”散戶投資人的交易偏好”。
    林晏竹，(2006) ”台灣散戶投資人情緒對股票報酬的影響”。
    陳虹君，(2007) “投資人風險分散行為研究:理論與實務的差距”。
    郭曉穎，(2005) ”投資人類型、投資注意力與投資決策關聯之研究”。
    Barber, B. M. and T. Odean, 2000, “Trading is hazardous to your wealth: The common stock investment performance of individual investors,” Journal of Finance, 55, 773-806.
    Barber, B. M. and T. Odean, 2001, “Boys will be boys: Gender, overconfidence, and common stock investment,” Quarterly Journal of Economics, 116, 261-292.
    Barclay, M. J. and J. B. Warner, 1993, “Stealth trading and volatility: Which trades move prices?” Journal of Financial Economics, 34, 281-305.
    Bennett, J. A., R. W. Sias, and L. T. Starks, 2003, “Greener pastures and the impact of dynamic institutional preferences,” Review of Financial Studies, 16, 1203-1238.
    Bikhchandani, S., D. Hirshleifer, and I. Welch, 1992, “A theory of fads, fashion, custom, and cultural change as informational cascades,” Journal of Political Economy, 100, 992-1026.
    Carhart, M., 1997, “On persistence in mutual fund performance,” Journal of Finance, 52, 57-82.
    Carhart, M., R. Kaniel, D. K. Musto, and A. V. Reed, “Leaning for the tape: Evidence of gaming behavior in equity mutual funds,” Journal of Finance, 57, 661-693.
    Chakravarty, S., 2001, “Stealth-trading: Which traders’ trades move stock prices?” Journal of Financial Economics, 61, 289-307.
    Chan, L. K. C., N. Jegadeesh, and J. Lakonishok, 1996, “Momentum strategies,” Journal of Finance, 51, 1681-1713.
    Chen, Gong-Meng, Kim, Kenneth A., Nofsinger, John R., Rui, Oliver M., 2004, “ Behavior and performance of emerging market investor: evidence from China,” Working Paper.
    Chevalier, J., and G. Ellison, 1999, “Are some mutual fund managers better than others? Cross-sectional patterns in behavior and performance,” Journal of Finance, 54, 875-899.
    Daniel, K., M. Grinblatt, S. Titman, and R. Wermers, 1997, “Measuring mutual fund performance with characteristic-based benchmarks,” Journal of Finance, 52, 1035-1058.
    Del Guercio, D., 1996, “The distorting effect of the prudent-man laws on institutional equity investment,” Journal of Financial Economics, 40, 31-62.
    Dahlquist, M. and G. Robertsson, 2001, “Direct foreign ownership, institutional investors, and firm characteristics,” Journal of Financial Economics, 59, 413-440.
    Dhar, R. and Zhu, N., 2002, “Up close and personal: A individual level analysis of the disposition effect,” Working Paper.
    Falkenstein, E. G., 1996, “Preferences for stock characteristics as revealed by mutual fund portfolio holdings,” Journal of Finance, 51, 111-135.
    Ferri, M. C. and R. L. Roenfeldt, 1984, “Market timing and mutual fund portfolio composition,” Journal of Financial Research, 143-150.
    Gervais, S., and T. Odean, 2001, “Learning to Be Overconfident,” Review of Financial Studies, 14, 1-27.
    Gompers, P. A., and A. Metrick, 1998, “How are large Institutions different from other investors?”Working Paper.
    Gompers, P. A., and A. Metrick, 2001, “Institutional investors and equity prices,” Quarterly Journal of Economics, 116, 229-260.
    Grinblatt, M., and S. Titman, 1989, “Mutual fund performance: An analysis of quarterly portfolio holdings,” Journal of Business, 62, 394-415.
    Griffin, J. M., J. H. Harris, and S. Topaloglu, 2003, “The dynamics of institutional and individual trading,” Journal of Finance, 58, 2285-2320.
    Grinblatt, M. and M. Keloharju, 2000, “The investment behavior and performance of various investor types: a study of Finland’s unique data set,” Journal of Financial Economics, 55, 43-68.
    Grinblatt, M. and M. Keloharju, 2001, “What makes investors trade?” Journal of Finance, 56, 589-616.
    Hirshleifer, D., A. Subrahmanyam, and S. Titman, 1994, “Security analysis and trading patterns when some investors receive information before others,” Journal of Finance, 49, 1665-1698.
    Hirshleifer, D., 2001, “Investor psychology and asset pricing,” Journal of Finance, 56, 1533-1597
    Ivkovic, Z., Weisbenner, S., 2005, “Local does as local is: information content of the geography of individual investors’ common stock investment,” Journal of Finance, 60, 267-306.
    Jensen, M. C., 1986, “The performance of mutual funds in the period,” Journal of Finance, 23, 1945-1964.
    Kraus, A. and H. R. Atoll, 1972, “Parallel trading by institutional investors,” Journal of Finance and Quantitative Analysis, 7, 2107-2138.
    Kaniel, R., Saar, G., and Titman, S., 2008, “Individual Investor Trading and Stock Returns,” Journal of Finance, 63,273-310.
    Kahneman, D., and A. Tversky, 1973, “On the psychology of prediction,” Psychological Review, 80, 237-251.
    Kahneman, D., and A. Tversky, 1979, “Prospect theory: A analysis of decision under risk,” Econometrica, 47, 263-291.
    Lakonishok, J., A. Shleifer, and R. W. Vishny, 1992, “The impact of institutional trading on stock prices,” Journal of Financial Economics, 32, 23-44.
    Merton, R., 1987, “A simple model of capital market equilibrium with incomplete information,” Journal of Finance, 42, 483-510
    Ng, L. and Wu, F., 2005, “ Revealed stock preferences of individual investors: Evidence from Chinese equity markets,” Pacific-Basin Financial Journal, 14, 175-192.
    Odean, T., 1998, “Are Investors Reluctant to Realize Their Losses?,” Journal of Finance, 53, 1775-1798
    Titman, S., K. C. J. Wei, and T. Yamada, 2004, “Stock holding preference and performance by different types of investors,” Working Paper.
    West, K., 1988, “Bubbles, fads, and stock price volatility test: A partial evaluation,” Journal of Finance, 43, 639-656.
    Zhu, N., 2002, “The local bias of individual investors,” Working Paper.
    Description: 碩士
    國立政治大學
    財務管理研究所
    95357017
    96
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095357017
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

    Files in This Item:

    File Description SizeFormat
    701701.pdf37KbAdobe PDF2745View/Open
    701702.pdf206KbAdobe PDF2891View/Open
    701703.pdf120KbAdobe PDF2726View/Open
    701704.pdf139KbAdobe PDF2709View/Open
    701705.pdf800KbAdobe PDF2772View/Open
    701706.pdf1311KbAdobe PDF2934View/Open
    701707.pdf1563KbAdobe PDF2773View/Open
    701708.pdf2399KbAdobe PDF2778View/Open
    701709.pdf667KbAdobe PDF2829View/Open
    701710.pdf113KbAdobe PDF21548View/Open
    701711.pdf559KbAdobe PDF2791View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback