查詢結果分析
來源資料
頁籤選單縮合
題 名 | 好公司的股票是好股票?--認知偏誤假說的驗證=Is a Good Company a Good Stock?--Test of Cognitive Biases Hypothesis |
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作 者 | 陳一如; | 書刊名 | 商管科技季刊 |
卷 期 | 6:2 2005.06[民94.06] |
頁 次 | 頁313-333 |
分類號 | 563.54 |
關鍵詞 | 行為財務學; 認知偏誤; Behavioral finance; Cognitive biases; |
語 文 | 中文(Chinese) |
中文摘要 | 認知偏誤(cognitive biases),是行為財務學中對投資人異常行為所解釋的現象之一。本研究即試圖以此行為財務學的觀點,利用橫斷面分析法中的固定效果模型(fixed effect model),探討台灣股票市場中投資人在投資股票時,對「好公司」的股票與「好股票」之間是否存有認知偏誤的現象,以了解投資人是否會因此認知偏誤而影響股票報酬表現的情形。 本研究利用天下雜誌所舉辦第三屆到第八屆「台灣百大標竿企業聲望調查」資料庫中的各項指標,分別以十項指標平均值及企業「前瞻能力」、「創新能力」與「顧客導向及服務品質」來評量是否為「好公司」,再利用「長期投資價值」指標來評量是否為「好股票」,並以一年期股票投資(買進持有)的年報酬率來衡量「好公司」的股票或「好股票」的投資表現。本研究同時配合公司規模、權益市值比、本益比等變數,比較「好公司」和「好股票」公司特質之差異,並且最後以上列實證結果探討認知偏誤假說。本研究提出認知偏誤假說,主張「好公司」和「好股票」公司特質與認知偏誤有關,某一公司特質產生實現報酬之差異是因投資人認知偏誤造成的,而使報酬預期高的股票產生較低實現報酬。 研究發現財金專家與企業專業經理人容易傾向認為「好公司」的股票即為「好股票」且大公司規模與低權益市值比的公司較容易被視為「好公司」或「好股票」的公司,不過其所認為之好公司或好股票的相對股票實現報酬並沒有明顯較高的現象。因此,本研究結果發現因投資人對好公司和好股票的認知相似所造成認知上的偏誤,使得投資人常選擇規模較大之公司股票投資,卻忽略其他影響報酬之因素,使所投資的股票沒有顯著的報酬表現。實證結果也發現,真正可使投資人有較高股票報酬的重要因素,卻是投資人在一開始便不重視的市場風險,唯有同時考量市場風險此因素,才可使投資人具有較高的股票實現報酬。 |
英文摘要 | This study aims to test whether the cognitive biases exist among experienced experts in Taiwan stock market. The relationship between the experts' perceptions on the stocks and stock realized return is expected to generate. The data collected from the annual survey of company reputations conducted by Common Wealth Magazine from 1997 are used in this study. The financial data, including weekly stock return, weighted market return, book to market equity ratio, transaction volume, turnover ratio and price earning ratio, are collected from TEJ database. The fix effect model is then used to estimate the effect of respondents' perceptions on good companies or good stocks. The empirical results indicate that companies that are perceived as good companies have the special characters, like larger size, higher transaction volume, higher price earning ratio and lower book-to-market ratio. The results also illustrate that the experienced investors rank stocks as if they believe that good stocks are stocks of good companies. Moreover, the study shows that these investors rank stocks as if they are indifferent to market risk (beta) ,while this is the major factorwhich causes the high stock return. Therefore, it is concluded that the cognitive biases lead investors to the belief that good stocks are stocks of good companies. It also makes companies that are perceived as good companies or good stocks will not have high stock returns. |
本系統中英文摘要資訊取自各篇刊載內容。