台灣股市股王漲勢動能─以行為財務學理論架構分析

Abstract

股王在台灣股市的定義是指在股市中所擁有最高價的股票，而且此相關議題是時常被媒體所討論著，因此促成本研究之動機。本文首先簡短地介紹股王在台股的特徵與演變，然後使用行為財務學中的展望理論、心理帳戶與處份效果，著手來分析股王的漲勢動能。散戶投資人因為受到行為上展望理論與心理帳戶所產生的處分效果，當投資股王有資本利得時會傾向賣股獲利了結，特別是使用「融資」買進時。所以，股王的股價會受到散戶賣股的影響而產生股價被低估的現象，但此時法人會認為有利可圖逢低買進而導致股王漲勢動能的出現。本研究參考Grinblatt and Han (2005)的模型，加以修正導出後表示出未實現利得、週轉率與營收成長率對股王下一期的預期報酬率有正面的影響。實證結果指出在股王在過去的未實現利得與週轉率皆對下一期的預期報酬率有顯著的正面影響，因為在過去散戶的未實現利得會使得他們賣出而讓法人買進被低估的股王，而這些行為導致股王漲勢動能的存在並且符合實際上股市的交易情況：當代表散戶的融資使用率減少以及外資持有率同步增加時，在籌碼安定下對股王股價的未來走勢是有正面助益的。

In Taiwan the word “king stock” represents the stock that has the highest price in the market and related issues have been discussed elaborately by many. We briefly introduce the king stocks’ features and development in Taiwan. In order to research the momentum of the king stocks, we use behavioral finance frameworks including prospect theory, mental accounting, and disposition effect, to begin analysis. Individual investors tend to sell king stocks that have unrealized capital gains because of disposition effect derived from prospect theory and mental accounting, especially they use “margin purchase.” Therefore, the king stocks’ price may be undervalued due to individual investors’ selling, but institutional investors would buy the king stocks thus generate the momentum effect. Reference from the model of Grinblatt and Han (2005), our model presents that the unrealized gains, turnover ratio, and sales growth rate all have positive impact on expected returns at the next date. The empirical analysis points out that the unrealized capital gains and turnover ratio at t-1 date both have positive impact on expected returns at t+1. Since individual investors had unrealized capital gains overhung at t-1, they sold the king stocks thus allowing institutional investors to buy the undervalued king stocks. These trading behaviors result in king stocks’ momentum existing and correspond to practical conditions that a decrease of the purchase on the percentage of margin utilization and an increase of foreign shareholding which are both beneficial to king stocks’ price going upward in the future.