請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/21557完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 胡星陽(Shing-Yang Hu) | |
| dc.contributor.author | Ting-Yi Lin | en |
| dc.contributor.author | 林庭儀 | zh_TW |
| dc.date.accessioned | 2021-06-08T03:37:51Z | - |
| dc.date.copyright | 2019-07-25 | |
| dc.date.issued | 2019 | |
| dc.date.submitted | 2019-07-19 | |
| dc.identifier.citation | Amihud, Y., & Mendelson, H. (1986). Liquidity and stock returns. Financial Analysts Journal, 42(3), 43-48.
Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of financial economics, 9(1), 3-18. Barber, B.M., Lee, Y.T., Liu, Y.J., Odean, T., (2007). Is the aggregate investor reluctant to realise losses? Evidence from Taiwan. European Financial Management 13, 423-447. Brennan, M. J., & Subrahmanyam, A. (1996). Market microstructure and asset pricing: On the compensation for illiquidity in stock returns. Journal of Financial Economics, 41(3), 441-464. Brennan, M. J., Chordia, T., & Subrahmanyam, A. (2005). Cross-sectional determinants of expected returns. FISCHER BLACK, 161. Chang, T. Y., Solomon, D. H., & Westerfield, M. M. (2016). Looking for someone to blame: Delegation, cognitive dissonance, and the disposition effect. The Journal of Finance, 71(1), 267-302. Chang, E. C., Luo, Y., & Ren, J. (2014). Short-selling, margin-trading, and price efficiency: Evidence from the Chinese market. Journal of Banking & Finance, 48,411-424. Cheng, T. Y., Lee, C. I., & Lin, C. H. (2013). An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions. Journal of Empirical Finance, 21, 195-213. De Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact?. The Journal of Finance, 40(3), 793-805. Dhar, R., & Zhu, N. (2006). Up close and personal: Investor sophistication and the disposition effect. Management Science, 52(5), 726-740. Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636. Ferris, S. P., Haugen, R. A. and Makhija, A. K. (1988). Predicting contemporary volume with historic volume at different price levels: Evidence supporting the disposition effect. Journal of Finance, 43(3), 677–697. Fischbacher, U., Hoffmann, G., & Schudy, S. (2017). The causal effect of stop-loss and take-gain orders on the disposition effect. The Review of Financial Studies, 30(6), 2110-2129. Frazzini, A. (2006). The disposition effect and underreaction to news. The Journal of Finance, 61(4), 2017-2046. Fu, H. P., & Wood, A. (2010). Momentum in Taiwan: seasonality matters!. Applied Economics Letters, 17(13), 1247-1253. Gärling, T., Blomman, M., & Carle, T. A. (2017). Affect account of disposition effect and consequences for stock prices. Review of Behavioral Finance, 9(2), 187-202. Gervais, S., Kaniel, R., & Mingelgrin, D. H. (2001). The high-volume return premium. The Journal of Finance, 56(3), 877-919. Grinblatt, M., & Han, B. (2005). Prospect theory, mental accounting, and momentum. Journal of Financial Economics, 78(2), 311-339. Hardouvelis, G., (1989). Margin Requirements, Volatility, and the Transitory Component of Stock Price. Federal Reserve Bank of New York Research Paper 8909. Hsu, Y. (1996). Margin requirements and stock market volatility Another look at the case of Taiwan. Pacific-Basin Finance Journal, 4(4), 409-419. Hung, C. H. D., & Banerjee, A. N. (2014). How do momentum strategies‘score’ against individual investors in Taiwan, Hong Kong and Korea?. Emerging Markets Review, 21, 67-81. Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. The Journal of Finance, 45(3), 881-898. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91. Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrics, 47, 263-291. Kirchler, E., Maciejovsky, B., & Weber, M. (2005). Framing effects, selective information, and market behavior: An experimental analysis. The Journal of Behavioral Finance, 6(2), 90-100. Lee, S. B., & Yoo, T. Y. (1993). Margin regulation and stock market volatility: further evidence from Japan, Korea and Taiwan. Pacific-Basin Finance Journal, 1(2), 155-174. Lee, C. M., & Swaminathan, B. (2000). Price momentum and trading volume. The Journal of Finance, 55(5), 2017-2069. Lin, C., Ko, K. C., Feng, Z. X., & Yang, N. T. (2016). Market dynamics and momentum in the Taiwan stock market. Pacific-Basin Finance Journal, 38, 59-75. Odean, T. (1998). Are investors reluctant to realize their losses? The Journal of Finance, 53(5), 1775-1798. Ranguelova, E. (2001). Disposition effect and firm size: New evidence on individual investor trading activity. Shefrin, H., & Statman, M. (1985). The disposition to sell winners too early and ride losers too long: Theory and evidence. The Journal of Finance, 40(3), 777-790. Shu, P. G., Yeh, Y. H., Chiu, S. B., & Chen, H. C. (2005). Are Taiwanese individual investors reluctant to realize their losses? Pacific-Basin Finance Journal, 13(2), 201-223. Weber, M., & Camerer, C. F. (1998). The disposition effect in securities trading: An experimental analysis. Journal of Economic Behavior & Organization, 33(2),167-184. 中文部分 王儷容、鄭思因. (2001). 我國證券市場信用交易制度之檢討. 中華經濟研究院. 周賓凰, 池祥萱, 周冠男, & 龔怡霖. (2002). 行為財務學: 文獻回顧與展望. 國立中央大學財務金融系進行中之論文, 民國九十年. 林崇英. (2012). 我國證券借貸與信用交易制度概述. 證交資料, (599), 47-51. 徐中琦, & 黃劍鈺. (2010). 台灣散戶投資人與機構法人處分效果之研究: 考量資訊揭露, 股票風險與投資人情緒之實證結果. 商管科技季刊, 11(1), 109-138. 曾昭玲, & 林政緯. (2005). 調整股市信用交易條件對股價報酬率與波動性影響之探討. 風險管理學報, 7(1), 53-77. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/21557 | - |
| dc.description.abstract | 「急售獲利、惜售損失」為一般投資人時常發生的投資決策偏誤，學術上稱為處分效果（Disposition Effect）。然而，當投資人是以高槓桿的信用交易方式進行投資，便可能改變其決策進而影響處分效果的程度。信用交易又包含融資與融券交易，因此，本研究將進一步拆分出此兩種交易形式，觀察其對處分效果的影響。另外，當政府實施政策改革或放寬過往信用交易限制時，處分效果可能隨之改變，亦即投資人的決策可能隨政策轉換而有所差異。
本研究利用台灣上市公司作為樣本，研究區間為1992 至2018 年，並參考Grinblatt and Han（2005）提出的論點，利用處分效果解釋未實現利得/損失預測未來報酬的影響力，與融資融券餘額進行交互作用之觀察以進行實證。結果顯示，融資交易與處分效果間為正相關，融券交易則與處分效果為負相關，且兩者的的影響力並不對稱，此現象應與槓桿交易放大利得和損失、追繳保證金，以及融資融券保證金成數有關；另一方面，根據實證結果，2013 年開放平盤以下可融券，和2015年融資融券限額鬆綁之政策能減緩處分效果。整體而言，本研究發現交易機制的不同為影響投資人處分效果的因素之一，且政府可透過政策來改變交易機制，進而改善投資人非理性的投資行為。 | zh_TW |
| dc.description.abstract | The disposition effect is the tendency to sell winners too early and keep losers too long, commonly happened to investors. However, when investors use a high-leverage way, like margin trading, to trade, their disposition behavior might change. In this paper, I separate the two forms of transactions included in margin trading and observe their impact on disposition effect. Besides, when the government executes a policy reform related to margin trading, this could also affect the disposition effect. By observing listed companies in Taiwan from 1992 to 2018, we adopt Grinblatt and Han’s (2005) methodology and observe how margin trading interact with the disposition effect’s implication on the relationship between unrealized gains/losses and future stock return. The results show that with more margin purchasing (securities lending) balance, disposition effect’s implication on the relationship of unrealized gains/losses and future stock return is significantly stronger (weaker) and that these two opposing forces may be asymmetric. Accordingly, the association between the power of leverage, margin call, and margin requirement could be our explanation. Furthermore, I select two recent policy changes in Taiwan (“releasing short sales Restriction in 2013” and “further releasing of margin trading restriction in 2015”) and discover that both changes have significant negative influences on the disposition effect. Overall, the trading mechanism could be one of the factors affecting disposition effect and the government could change the trading mechanism through policies to refrain investors’ disposition behavior. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T03:37:51Z (GMT). No. of bitstreams: 1 ntu-108-R06723022-1.pdf: 863991 bytes, checksum: 5266998892faa863b3aaeca7dfac9991 (MD5) Previous issue date: 2019 | en |
| dc.description.tableofcontents | Contents
口試委員會審定書……………………………………………………………………ii 誌謝 ……………………………………………………………………………………iii 中文摘要………………………………………………………………………………iv Abstract…………………………………………………………………………………v 1. Introduction………………………………………………………………………1 2. Literature Review………………………………………………………………3 2.1.The Disposition Effect………………………………………………………3 2.2. Investor Characteristics with the Disposition Effect………………………4 2.3. Underlying Security’s Characteristic with the Disposition Effect…………5 2.4. Further Research of the Disposition Effect……………………………6 3. Hypothesis Development…………………………………………………………7 3.1. The Effect of Margin Trading………………………………………………7 3.2. The Effect of the Policy Change……………………………………………9 4. Methodology and Data…………………………………………………………11 4.1. Unrealized Capital Gains/Losses Measure………………………………11 4.2. Baseline Regression…………………………………………………………13 4.3. Extended Regression………………………………………………………14 4.4. Data…………………………………………………………………………15 5. Results……………………………………………………………………………17 5.1. Disposition Effect in Taiwan………………………………………………17 5.2. Margin Trading’s Impact…………………………………………………20 5.3. Do Related Policies Effectively Impact the Market?……………………24 5.4. Further Research in Firm Size……………………………………………26 6. Conclusion………………………………………………………………………29 Reference…………………………………………………………………32 | |
| dc.language.iso | en | |
| dc.title | 信用交易與相關政策對處分效果之影響 | zh_TW |
| dc.title | Margin Trading and Related Policy’s Effect on Disposition Effect | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 107-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 林岳祥,莊文議 | |
| dc.subject.keyword | 行為財務,信用交易,處分效果,融資融券餘額,融資融券保證金成數, | zh_TW |
| dc.subject.keyword | Behavioral finance,margin trading,disposition effect,margin purchase,securities lending,margin requirement, | en |
| dc.relation.page | 34 | |
| dc.identifier.doi | 10.6342/NTU201901673 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2019-07-19 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-108-1.pdf 未授權公開取用 | 843.74 kB | Adobe PDF |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。