訊息不確定對投資人過度自信交易行為之影響

Abstract

過去研究顯示過度自信交易行為在證券訊息不確定性較高時較強，亦顯示散戶投資人較機構投資人有較強的過度自信交易行為。本研究探討考慮證券訊息不確定性高低下，散戶投資人或機構投資人過度自信交易行為是否受到影響，另外散戶投資人的過度自信交易行為強度是否會較機構投資人過度自信交易行為強。 我們利用1981年到2010年間紐約證交所 (NYSE) 與美國證交所 (AMEX) 的股票報酬率與成交量資料，每五年將之分為二十六個重疊的子樣本後，再依五種訊息不確定代理變數與機構投資人持股比例將每個子樣本分為十二個投資組合，以驗證各投資組合的過度自信交易行為，並比較訊息不對稱與投資人特性間是否具有交互影響。我們同時探討股市多頭期間與出現極端漲幅時，過度自信交易行為的強度是否會受到影響。 我們的主要結論為 (1) 對散戶投資人而言，不論訊息不確定性高低皆有顯著的過度自信行為，且訊息不確定性高時的強度高於訊息不確定性低時；機構投資人則僅在訊息不確定性較高時有顯著的過度自信交易行為 (2) 訊息不確定性較高的投資組合中，機構投資人與散戶投資人皆有過度自信交易行為，且散戶投資人的過度自信交易行為強度顯著高於機構投資人；訊息不確定較低的投資組合中，僅散戶投資人的過度自信交易行為較明顯，但散戶投資人與機構投資人的過度自信交易行為強度差異不顯著 (3) 過去二到六個月大盤走多頭時，投資人過度自信交易行為普遍較強，但時間拉長後這現象便會減低。

Past studies indicate that overconfident trading behavior is stronger when investing securities of greater information uncertainty. Studies also show that individual investors shows greater overconfident trading behavior than institutional investors. We focus on whether individual investors still show more overconfident trading behavior while considering information uncertainty at the same time. We divided holding period return and trade volume data of NYSE and AMEX from 1981 to 2010 into twenty-six five-year overlapped subsamples. Each was split into twelve portfolios according to proxies of information uncertainty and institutional holdings ratio of securities. We then regressed the trade volume data on past market returns to analyze the overconfident trading behavior of individual investors and institutional investors given information uncertainty. Whether overconfident trading behavior is stronger in bull market or under extreme positive returns is analyzed as well. The empirical results show that: (1) Individual investors generally show overconfident trading behavior, and the strength is higher in portfolios of higher information uncertainty. Institutional investors’ overconfident trading behavior is only significant in portfolios of high information uncertainty. (2) In portfolios of higher information uncertainty, both individual and institutional investors show significant overconfident trading behavior, while the strength of individual investors’ is greater than that of institutional investors. Meanwhile, in portfolios of lower information uncertainty, only individual investors show significant overconfident trading behavior, also the difference between the strength of individual investors’ and institutional investors’ is not significant. (3) Overconfident trading behavior is stronger after positive market returns in past two to six months, but become weaker in longer past time period.