以兩期交易模型驗證定錨效應與決策後觀點鞏固現象

Abstract

本研究以Svenson（1992,1996）提出的區別與鞏固理論（Differentiation and Consolidation Theory）和Kahneman 與Tverskey（1979）提出的展望理論（Prospect Theory）為理論架構，探討做本研究設計的兩期交易模型之交易策略的投資人在做後期部位的平倉決策時會如何受到前期部位盈虧結果的影響，是否會比較或關聯先前部位與當前部位的盈虧結果所呈現的市場訊息，進而影響其當前部位的平倉決策。主要目的是想得知當投資人在面對投資市場時為了做出正確的決策是否會從市場結果推斷有用資訊，若會則其心理思考模式與推理方式為何。藉由延伸Weber與 Camerer（1997）的證明方法可以證明受定錨效應和決策後觀點鞏固現象影響的投資人若認為目前資產價格未來上漲與下跌的機率有一定差異，則可能造成錯置效果的影響力微弱。 實證結果為錯置效果造成整體獲利部位的瞬間死亡率較整體虧損部位高，而在後期部位為獲利的情況時，定錨效應與決策後觀點鞏固現象在前期分別為虧損與獲利的情況下對後期部位瞬間死亡率大小產生負向影響，錯置效果對後期獲利部位瞬間死亡率大小產生正向影響。在後期部位為虧損的情況時，定錨效應與決策後觀點鞏固現象在前期分別為虧損與獲利的情況下對後期部位瞬間死亡率大小產生正向影響力，錯置效果對後期虧損部位瞬間死亡率大小產生負向影響力。定錨效應和決策後觀點鞏固現象與錯置效果在正負方向的影響力大小則視投資人預期後期部位未來價值上漲機率與未來價值下跌機率兩者大小及差異程度而定。

This paper applies differentiation and consolidation theory published by Svenson in 1992, and the prospect theory published by Kahneman and Tverskey in 1979 as the research structure. We analyze how investors will decide to unwind the later position by the impact of profit and loss of former position in the two-period trading model,whether their unwinding decision will be influenced by current market information compared or inferred from former and later position. The purpose is to find out whether investors will infer useful information when they desire to make right investment, and understand the way they infer and consider. By following the way issued by Weber and Camerer in 1997, we prove that the disposition effect will be weak if investors expect the rise and fall probabilities of asset differ a lot when they are influenced by anchoring and post-decision consolidation. The empirical result shows that the disposition effect causes instantaneous death rate of the profitable position greater than that of the loss position. When later position makes a profit, anchoring and post-decision consolidation exert a negative influence on instantaneous death rate of later position when the former position makes a profit or loss respectively. The disposition effect exerts a positive influence on instantaneous death rate of later profitable position. When later position makes a loss, anchoring and post-decision consolidation exert a positive influence on instantaneous death rate of later position when the former position makes a profit or loss respectively. The disposition effect exerts a negative influence on instantaneous death rate of later loss position.The influence of anchoring,post-decision consolidation and the disposition effect depends on the difference between the rise an fall probabilities of later position that investors expect in the future.