基金投資人賣出時點決策

Abstract

依據展望理論 (Kahneman & Tversky, 1979) 投資人以其原始財富做為衡量之參考點，高過參考點為賺，低於它則為賠；另外，投資人在參考點之上為風險趨避，在參考點下則為風險愛好。根據上述，Gneezy (2002) 提出：賣出動作應只發生在獲利時，但現實生活中，賣出動作確實有發生在損失的情況下；另一方面，Thaler and Johnson (1990) 透過問卷調查發現：在某些情況下，之前的獲利反而會使投資人轉成風險愛好，而非風險趨避。以上這些發現，在在說明了投資人的確會移動其參考點，來做為衡量其投資的標準。 本研究利用某知名基金公司客戶交易資料，來進行實證研究，發現的確存在著移動參考點的現象，且是種不對稱移動：於獲利時，快速地移動參考點：損失時，則較為緩慢。最後，提出些行為理論來佐證這種不對稱調整，再將本研究結果對比之前以實驗設計來衡量參考點改變的研究。

According to prospect theory (Kahneman & Tversky, 1979), gains and losses are measured from current wealth, which serves as a reference point. People are risk seeking in the domain of losses and risk averse in the domain of gains. The current experiment was designed to overcome some of the difficulties involved in using real market data to test the disposition effect. One of the main goals was to find evidence on how prior gains and losses influence the risk behavior of people, by shifting the reference level. Different from previous papers, we attempted to ascertain to what extent the reference point shifts following gains or losses by real transactions’ data. We calculated the magnitude of reference point adaptation, which was significantly greater following a gain than following a loss of equivalent size. We related our findings to several aspects of investor behaviors and compared our results to many questionnaire studies.