The relation between disposition effect and size effect-based on up or down trend , retail investor and institutional investors

• Main Authors: Mu-lin Cheng, 鄭木林
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/81409066990278041449

碩士 === 國立高雄第一科技大學 === 金融研究所 === 100 === Abstract Many people study technical analysis and fundamental analysis intensively , but they still can’t make lots of money in the stock market .The key factor is much more information constantly interference investor sentiment.They often hesitant to buy or sell ,and worried about buying high and selling low.As soon as they have small profit ,it makes them delighted. But if they have lose ,they are unwilling to realize lose . The goal of investors in the stock market is to make lots of money, and have small loss. But why the behavior of investors often contrary to their objectives. It is worth to research. There are two types of investors in Taiwan stock market: retail and institutional investors.Retail investors are majority, accounting for about 60% of all trading members. Because of the investment strategies of most retail investors are short-term, the investment behavior of individual investors result in bias. But whether institutional investors with professional researchers to do investment analysis, they can make rational investment decisions or not . The purpose of this thesis on the disposition effect is to help us understand: 1. whether investors are engaged in a rational investment or not. 2. the relationship between disposition effect and size effect. 3. whether retail investors compare to institutional investors have more stronger disposition effects . This thesis analyzed during the period from2006.08.01 to 2011.12.09, we use the method of Ferris, Haugen andMmakhija (1998) .The empirical results show that the disposition effect is exist in Taiwan stock market in general. Especially, in the sector if retail investors or institutional investors have made profit. It means that they both know profit-taking and stop-lossing.Specifically in bear market ,the disposition effect of retail investors is more stronger than institutional investors. The reason could be that retail investors do not execute stop-lossing seriously.In bull market, the disposition effect of retail and institutional investors are both strong than bear market.Finally,the disposition effect of small size firms are stronger than large size firms.Particularly in the sector of retail investors have lose .