| Summary: | 碩士 === 雲林科技大學 === 財務金融系碩士班 === 96 === In order to research the momentum of the king stocks, based on institutional and individual investors’different psychology, we use the prospect theory, mental account, and disposition effect to analyze. We refer to Grinblatt and Han (2005) for the dynamic model of the momentum derived from realized capital gains. We apply the model of Huang, Han-Chung（2006）that he does one advisement on the assumption of altering growth of the fundamental value to our empirical analysis. We want to test the variable of the unrealized capital gains if it can predict expected returns of king stocks at the next date.
According to the findings, it is evident that unrealized capital gains are positive and significant to expected returns of the king stocks at the next date. It indicates that mental account has effect. When individual investors own some unrealized capital gains, they tend to sell the king stocks’shares and realize unrealized capital gains. The activity makes the stock leaders’price decline and undervalued. In the meantime, institutional investors buy the undervalued king stocks’ shares with low price, and produce the momentum effect of the king stocks’return. The investors’behavior is the same as the results of Grinblatt and Keloharju（2000）that the institutional investors pursuit the momentum strategies and individual investors pursuit contrarian strategies.
We also do some analysis on the blue chip stocks. We find the momentum effect don’t exist in king stocks’return. It indicate that whether individual investors or institutional investors will possess these blue chip stocks with long-term investment.
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