以行為財務學架構分析臺灣股王漲勢動能

Abstract

臺灣的股票市場一向是個非常活絡的資本市場。投資人時常緊盯著股市的局勢變化，只要一有風吹草動，投資人莫不繃緊神經地進行操作，深怕稍一遲疑就錯失了稍縱即逝的投資良機。 本論文擬從行為財務學理論架構出發，涵蓋展望理論、心理帳戶、處分效果、短期動能與長期反轉等，進而分析股王的價格漲勢動能。 當散戶投資人不再如經濟學中所假設的理性自利，而是根據其心理狀態做出非理性之投資決策，則由於展望理論與心理帳戶同時作用，會使得散戶投資人衍生出「急售獲利、惜售損失」的處分行為，此時股王的股價遭到市場低估，而機構投資人因為認識股王的基本價值而在此時進場投資，將致使股王的股價再產生後續的價格漲勢動能。

The stock market in Taiwan is always in prosperity. Individual investors and institutional investors often keep their eyes on the fluctuations of the stock market so as to seize the opportunity for investment. The following chapters would be analyzed by behavioral finance framework, including prospect theory, mental accounting, disposition effect, short-term momentum and long-term reversals. When the individual investors are no longer rational and self-interest as economists had assumed, then it would be probable that they tend to make investment decisions based upon the mental states of their own. Owing to the interaction between prospect theory and mental accounting, individual investors would be inclined to “sell winners too early and ride losers too long”, which was defined as disposition effect. Meanwhile, the stock prices of the stock leaders would therefore be undervalued, leaving room for the institutional investors to invest on these undervalued ones. The phenomenon described above contributes to the following momentum of the stock leaders.