| Summary: | 碩士 === 國立臺北大學 === 企業管理學系 === 106 === Behavioral finance studies the irrational behavior of investors through the perspective of psychology. The disposition effect is an important phenomenon in the field of behavioral finance. The disposition effect refers to the tendency of investors investing in stocks to sell profitably and, thus, to continue to hold losses. It is a psychological bias. Institutional investors are often considered to be more rational in their investment behavior, and because they have more information and professional capabilities, their investment trends are more concerned. In this study, we discussed whether institutional investors have a disposition effect, and analyzed the influence of investment behavior on stock performance.
In the present study, we collected data during January 1, 1995 to December 31, 2017, a total of 23 years. We used a longer period of time in order to collect sufficient data to conduct our study. We adopted Odean's (1998) method of examining the disposition effect, using the proportion of gain realized (PGR) and the proportion of loss realized (PLR) to analyze whether institutional investors had a disposition effect, and studied whether the behavioral behavior affected stock performance. If the strength of the disposition effect was stronger, that is, the more serious the psychological bias, the worse the relative performance of its stock performance. We adopted the company characteristics of the speculative stocks constructed by Baker and Wurgler (2006), classifying stocks invested by institutional investors into seven categories: scale, age, risk, profit, dividend, net value to market ratio, and external financing, and analyzed the differences of the disposition effect in these seven categories.
This empirical research found that dealers generally have a psychological bias in the disposition effect, and that the disposition effect doesn’t have a directly impact on future stock performance. In addition, among the seven categories, the “net value to market ratio" and the “age of corporation" are the characteristic variables with a higher level of speculation in stocks and a stronger disposition effect.
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