投資人過度自信對股票報酬、流動性與價格效率性的影響

Abstract

本論文發現散戶較偏愛的股票有較明顯的價格持續過度反應而且對負面消息有較強的價格過度反應，因為價格持續過度反應理論上來自於投資人過度自信與自我歸因偏誤，而且散戶較偏愛的股票可能被散戶交易較多而被法人交易較少，所以這個發現隱含散戶的過度自信與自我歸因偏誤程度較法人高，而且散戶對負面消息的過度反應較法人強。除此之外，本論文發現散戶過度自信提高股票流動性與價格效率性，然而法人過度自信降低股票流動性。

This dissertation finds that stocks that are more preferred by individual investors, which are likely to be traded more by individual investors and traded less by institutional investors, exhibit a more pronounced continuing overreaction in prices and reveal a stronger price overreaction to negative information. As continuing overreaction theoretically results from investor overconfidence and biased self-attribution, it suggests that individual investors are more subject to the psychological biases and overreact more to negative information than institutional investors. Additionally, I present empirical evidence suggesting that individual investor overconfidence improves stock liquidity and price efficiency, whereas institutional investor overconfidence impairs stock liquidity.