處分效果檢驗，存股策略顯現

Abstract

本研究旨在探討台灣股市個人投資者之投資行為是否具有處分效果，特別是針對近年來在台灣股市中很熱門的名詞「存股」。存股是一種投資策略，旨在利用定期定額之投資策略，採取穩定領取股息，而不賺取價差之投資策略。本文根據 Ferris, Haugen,and Makhija (1988) 之研究檢驗台灣投資者在中小型交易量大的熱門股上是否具有處分效果，且為了符合時空背景，減少其他因素干擾，本研究選擇了1995年的熱門股以及2020年的熱門股進行比較，最後再檢視2020年各大券商推薦的存股標的是否具有處分效果。研究結果顯示：1. 1995年熱門股之處分效果程度與2020年熱門股之處分效果程度有落差；2. 兩組熱門股大部分皆符合處分效果之預期；3. 存股標的中多數符合存股預期，不具有處分效果的特性。

This study investigates whether the disposition effect exists in Taiwanese stock market; we especially focus on investors with the systematic investment plans (SIP). SIP is an investment strategy that aims to earn annual dividends instead of the gap of prices. We follow Ferris, Haugen, and Makhija (1988) to examine whether Taiwanese investors have the disposition effect in stocks with high volumes. To control the interference of other factors such as the change of circumstances, we compare the stocks with high volumes in 1995 with those in 2020. Then, we investigate the stocks recommended to be the target of SIP by securities firms. There are three main results. First, the level of the disposition effect in 1995 and that in 2020 is different. Second, most of the high volumes stocks in both of the 1995 and 2020 groups have the expected disposition effect. Finally, the disposition effect does not exist in the stocks recommended to be the target of SIP, which is consistent with the theoretical prediction.