| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 95 === Under the current influence of the behavioral finance, there are many papers about the disposition effect and overconfidence issued by many scholars. The main purpose of this study is to discuss how to profit by these behavioral biases when Taiwan stock market has the disposition effect and overconfidence. Furthermore, we discuss whether the strategies can get significant returns and momentum effect. The period of this study is during January 1991 to November 2006. We collect 653 companies of financing data from Taiwan Economic Journal. There are several results we found in this study. First, no matter the disposition effect or overconfidence, investors can make profits when using the trading strategies opposite to the investors who have behavioral biases. Second, there is the same conclusion in the cross trading strategies. Third, in the cross trading strategies, the influences of overconfidence are bigger than the influences of the disposition effect. Last, according to the return curves, the volatility is big when holding returns shortly, but it will become stable when holding returns long. In other words, when holding returns long, the profited strategies will have more returns and more significant momentum effect.
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