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投資人對於本益比之定錨效應 = Anchoring Effect of ...

國立高雄大學金融管理學系碩士班

投資人對於本益比之定錨效應 = Anchoring Effect of Earnings-to-Price Ratios in Taiwanese Market : 以台灣市場為例

Record Type:	Language materials, printed : monographic
Paralel Title:	Anchoring Effect of Earnings-to-Price Ratios in Taiwanese Market
Title Information:	以台灣市場為例
Author:	紀怡禎,
Secondary Intellectual Responsibility:	國立高雄大學
Place of Publication:	高雄市
Published:	國立高雄大學;
Year of Publication:	2013[民102]
Description:	64葉圖，表格 : 30公分;
Subject:	本益比
Subject:	Earnings-to-price ratios
Online resource:	https://hdl.handle.net/11296/84x5qr
Notes:	107年11月1日公開
Notes:	參考書目：葉56-58
Notes:	附錄：去除本益比上下5%極端值之等值加值組合...等3種
Summary:	投資人在投資決策過程中，多使用某一財務指標來對目標股票的價格進行調整，且易以產業或大盤平均值做為參考點，此即為行為財務學派所提出的「定錨效應」。本研究從此觀點出發，首先測試台灣投資人是否在本益比上具有定錨效應。實證結果發現投資人的確會將個股股票的本益比朝產業平均值做調整。更進一步，吾人於每月月初針對本益比定錨因子進行排序，建立零投資組合，研究結果發現此投資策略可以得到穩健的超額報酬，且此超額報酬無法被三因子所解釋。此實證結果顯示投資人的定錨效應會造成市場不效率的現象。 Investors commonly use some financial ratios to evaluate the value of a firm and thereby adjust its price. The benchmark is commonly the mean ratio of industry or the whole market. If investors use the mean ratio of the industry as the benchmark to decide whether to buy or sell a stock, we should observe that the financial ratio of that stock will converge to the industry average. This is so called "anchoring effect" or "anchoring bias". This study uses the earnings-to-price as an example to investigate whether the investors in Taiwan posses the anchoring bias and whether such bias can be used to obtain significant risk-adjusted returns. The empirical results present that the investors in Taiwan indeed adjust the earnings-to price ratio of a stock towards the industry average. Further, such behavior can also be exploited to earn significant risk-adjusted returns by constructing a zero-investment portfolio. In sum, this study not only confirms the existence of anchoring effect in Taiwanese market but also shows that the anchoring effect would lead to market inefficiency.

投資人對於本益比之定錨效應 = Anchoring Effect of Earnings-to-Price Ratios in Taiwanese Market : 以台灣市場為例
紀, 怡禎

投資人對於本益比之定錨效應 = Anchoring Effect of Earnings-to-Price Ratios in Taiwanese Market : 以台灣市場為例 / 紀怡禎撰 - 高雄市 : 國立高雄大學, 2013[民102]. - 64葉 ; 圖，表格 ; 30公分.
107年11月1日公開參考書目：葉56-58附錄：去除本益比上下5%極端值之等值加值組合...等3種.
本益比Earnings-to-price ratios

投資人對於本益比之定錨效應 = Anchoring Effect of Earnings-to-Price Ratios in Taiwanese Market : 以台灣市場為例
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