Individual narrow framing and diversification

• Main Authors: Yueh-Lun, Tsai, 蔡岳倫
• Other Authors: Dr. Pei-Gi, Shu
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/99316984111581950972

碩士 === 輔仁大學 === 管理學研究所 === 97 === This study investigated the effect of the narrow framework on the degree of the individual investor's portfolio. Individual investors are limited by less assets for him to configure, and their rational boundaries are too narrow to systematically think about investment tools and channels available, and they cannot determine the relation between the asset return or adjust the portfolio in response to changes in risk and reward, these factors form the individual investor's asset allocation framework, so when they make decisions, they easy to commit errors deviating from rational thinking. Lack of portfolio diversification is one the most serious error among the many mistakes. It causes great damage to the assets of individual investors. The information was provided by a famous domestic financial holding company, including 56,486 unincorporated, non-RSP customers' transaction data. At first, this study used TCi(trade concentration) to measure the degree of investors in the framework, then used NVp to measure the level of portfolio diversification of the individual investors. According to Pearson correlation, can get that there is a positive relationship between the two, that is, the higher degree of trading concentration (low frame effect), the higher level of diversification. Because there might be of endogeneity problem between NVp and TCi, this study used endogeneity test to confirm whether the variables were exogenous. The result was indeed, that the degree of trading concentration would affect the level of investors' diversification. And the degree of trading concentration was not affect by other factors, therefore the conclusion was, the higher degree of the trading concentration, the lower effect of the framework on the investors, as well as the more rational and independent decision the investors would make, so the higher multi-level of the asset allocation. In addition, linked with the personal property, found that the investors of higher age and family income were affected by the narrow effect in lower degree than the investors of lower age and family income. And men were affected by the narrow effect in lower degree than women.