探討處分效果於不同公司之差異性：以台灣股票市場為例

Abstract

過往研究較少將處分效果與公司特徵一同探討，然而有文獻顯示投資人的風險態度可能因交易不同公司特徵的股票而出現差異，因此投資人可能會在處分效果上產生差異性，這亦是本研究欲探討的主軸：投資人是否在交易不同公司特徵的股票時產生處分效果且在處分效果的程度上是否具差異性。本研究採用臺灣上市公司普通股的交易資料為樣本，其中公司特徵包含帳面市值比、股利殖利率和本益比，再根據三種公司特徵將股票分別分為五等份並採最高與最低的兩組進行分析。本文依循Grinblatt& Han(2005)提出的未實現利得 (Capital gains overhang, CGO)進行迴歸分析以衡量處分效果，並使用Chow test比較處分效果於不同公司的差異性。 實證結果顯示，投資人在交易不同特徵的股票時確實存在處分效果。此外，在公司特徵虛擬變數與CGO交乘項部分，高帳面市值比、低本益比對報酬皆為負向顯著影響，低帳面市值比、高股息則為正向顯著，低股息、高本益比則是未達顯著性。最後從Chow test的結果得到三種結論：(1)低帳面市值比公司的處分效果大於高帳面市值比公司。(2)高股息公司的處分效果大於低股息公司。(3)低本益比公司的處分效果大於高本益比公司。In existing research, scant attention has been paid to the correlation between the disposition effect and corporate characteristics. Nonetheless, it has been reported that investors’ risk attitudes may vary with the characteristics of the stocks traded, which may lead to the difference of investors in the disposition effect. With the disposition effect as the research theme, this study focuses on addressing two problems, i.e., do investors generate a disposition effect when trading stocks of firms having different characteristics? Is there any difference in the intensity of the disposition effect?This study took the trading data of the common stocks listed on the Taiwan Stock Exchange as the sample. The characteristics of the stocks analyzed include book-to-market (B/M) ratio, dividend yield ratio, and price-to-earnings (P/E) ratio. Then, the stocks were divided into quintiles based on the three different characteristics, using the highest and the lowest quantiles for analysis. Regression analysis was conducted based on the capital gains overhang (CGO) proposed by Grinblatt& Han (2005), so as to measure the disposition effect. Additionally, we use the Chow test to identify the heterogeneous disposition effects across distinct companies. The empirical results showed that investors exhibited disposition effects when trading stocks with different characteristics. With respect to the term of interaction between firm characteristics as the dummy variable and CGO, both the high B/M ratio and the low P/E ratio were found to significantly negatively affect the return, while the low B/M ratio and the high dividend yield were found to exert a significant positive effect; for the low dividend yield and the high P/E ratio, the effect was insignificant. In the end, three conclusions were drawn from the Chow test results, including a) the firms with a low B/M ratio exhibited a stronger disposition effect than those with a high B/M ratio; b) high dividend yield firms had a stronger disposition effect than low dividend yield ones; and c) the firms with a low P/E ratio had a stronger disposition effect than those with a high P/E ratio.