台灣散戶投資人與機構法人處分效果之研究：考量資訊揭露、股票風險與投資人情緒之實證結果

Abstract

The disposition effect, the tendency of investors to sell winning investments too soon and hold losing investments too long, which explores the irrational behavior of investors, is one of the important issues in behavioral finance. We employ the disposition coefficient approach proposed by Weber and Camerer (1998) to test the disposition effect of all kinds of investors in Taiwan stock market. In addition, we also study the potential effect of information disclosure、stock risk and investor sentiment on the disposition effect. The empirical results show that the disposition effect of individual investors is the strongest. Dealers are in the next place. The disposition effect of securities investment trust companies is relatively weak. Qualified Foreign Institutional Investors（QFII） exhibit no disposition effect. Moreover, individual investors and dealers show the disposition effect, no matter what degree of company's information disclosed. But when dealers invest in highly information disclosing company, the disposition effect is weaker. Securities investment trust companies show the disposition effect when they invest in low information disclosing company, however, when they invest in highly information disclosing company, the disposition effect become insignificant. QFII exhibit no disposition effect, no matter what degree of company's information disclosed. Individual investors and dealers show the disposition effect when they invest in high risk or low risk stock. In addition, we also find that the volatility of past stock return doesn't influence the disposition effect of individual investors、dealers and securities investment trust companies. Finally, investors show the disposition effect no matter what sentiment they have. When investors are optimistic, they show weaker winning disposition effect and stronger losing disposition effect.