設定停損或停利對投資者行為之影響

Abstract

本研究利用某基金公司客戶交易資料庫，探討投資人的屬性會如何影響其設定停損或停利之舉動，且設定停損或停利之舉動會如何影響投資人的行為，以及其是否確實執行之影響。再者，由於設定停損為一損失防止機制，可減少投資者繼續持有虧損的投資組合，也就是防止錯置效果之產生。 實證結果有以下之發現：首先，教育程度較高及收入較多的投資者使用停利損機制的可能性較高。第二，本研究樣本之投資者存在著反錯置效果，與平常所認知之投資者存在錯置效果之觀念相違背，但若將設定的停損點大於或等於設立的停利點時(本研究歸類為設立停利者)挑出，其確實存在顯著的錯置效果。第三，停損之設立者延後執行的比例相較於停利之設定者多，「保虧」的情況的確存在在本研究的投資者中。第四，若將停損設定在較高的停損點，或將停利設定在較低的停利點，容易產生錯置效果。第五，有使用停利損機制之投資者其報酬率會較高，周轉率也會較高，持有期間因此較短。最後，若投資者有確實按照自己所訂定的停利損點執行，其報酬率會最高；若有錯置效果的行為產生，即延後執行停損或提前執行停利，則此兩種行為在其所屬群組中報酬率皆為最低。

This paper investigates different types of investors to see those who would use the “stop-loss” and “stop-gain” mechanisms, and how they affect their behavior. Furthermore, whether investors execute the mechanism or not is also an important factor concerning the effectiveness of those two mechanisms. This study also looks at the “disposition effect”, by which setting stop-loss could prevent investors from holding the losers too long. The main findings are as following: 1. Highly-educated or high-income investors would be more likely to use the stop-loss order or stop-gain order. 2. Contrary to the usual understanding, we find a “reverse disposition effect” exist in our sample, however, if we looked at only the investors who set the stop-loss point higher than stop-gain point, the disposition effect will indeed appear. 3. There are more investors who will postpone executing the stop-loss orders than stop-gain orders. 4. Investors who set higher stop-loss point or lower stop-gain point would be more likely to face disposition effect. 5. Investors who use the stop-loss or stop-gain mechanisms would have higher return, higher sell-turnover and lower holding period. 6. Comparing to investors who didn’t execute the orders duly, those who execute the orders around the point (±3%) they had set would make the highest return. Comparatively, the behavior of disposition effect would result in the lowest return.