信用交易與相關政策對處分效果之影響

Abstract

「急售獲利、惜售損失」為一般投資人時常發生的投資決策偏誤，學術上稱為處分效果（Disposition Effect）。然而，當投資人是以高槓桿的信用交易方式進行投資，便可能改變其決策進而影響處分效果的程度。信用交易又包含融資與融券交易，因此，本研究將進一步拆分出此兩種交易形式，觀察其對處分效果的影響。另外，當政府實施政策改革或放寬過往信用交易限制時，處分效果可能隨之改變，亦即投資人的決策可能隨政策轉換而有所差異。 本研究利用台灣上市公司作為樣本，研究區間為1992 至2018 年，並參考Grinblatt and Han（2005）提出的論點，利用處分效果解釋未實現利得/損失預測未來報酬的影響力，與融資融券餘額進行交互作用之觀察以進行實證。結果顯示，融資交易與處分效果間為正相關，融券交易則與處分效果為負相關，且兩者的的影響力並不對稱，此現象應與槓桿交易放大利得和損失、追繳保證金，以及融資融券保證金成數有關；另一方面，根據實證結果，2013 年開放平盤以下可融券，和2015年融資融券限額鬆綁之政策能減緩處分效果。整體而言，本研究發現交易機制的不同為影響投資人處分效果的因素之一，且政府可透過政策來改變交易機制，進而改善投資人非理性的投資行為。

The disposition effect is the tendency to sell winners too early and keep losers too long, commonly happened to investors. However, when investors use a high-leverage way, like margin trading, to trade, their disposition behavior might change. In this paper, I separate the two forms of transactions included in margin trading and observe their impact on disposition effect. Besides, when the government executes a policy reform related to margin trading, this could also affect the disposition effect. By observing listed companies in Taiwan from 1992 to 2018, we adopt Grinblatt and Han’s (2005) methodology and observe how margin trading interact with the disposition effect’s implication on the relationship between unrealized gains/losses and future stock return. The results show that with more margin purchasing (securities lending) balance, disposition effect’s implication on the relationship of unrealized gains/losses and future stock return is significantly stronger (weaker) and that these two opposing forces may be asymmetric. Accordingly, the association between the power of leverage, margin call, and margin requirement could be our explanation. Furthermore, I select two recent policy changes in Taiwan (“releasing short sales Restriction in 2013” and “further releasing of margin trading restriction in 2015”) and discover that both changes have significant negative influences on the disposition effect. Overall, the trading mechanism could be one of the factors affecting disposition effect and the government could change the trading mechanism through policies to refrain investors’ disposition behavior.