到目前為止，國內還未有一個嚴謹的方法來衡量台股市場的風險胃納。在本研究中，我們嘗試研究股票市場和風險胃納指標的關係。我們利用Kumar和Persaud 在2002年所提出的方法建立台股市場的外資、散戶和投信的風險胃納指標，並檢視它們和台股加權指數的報酬率之間的連動關係。 實證結果發現，外資、散戶和投信每日的風險胃納相關程度相當高並且對於台股市場的報酬率有顯著的解釋能力。同時，散戶的風險胃納在解釋每日的台股市場報酬率的係數是最高的。但在每月和每季中，我們發現唯有外資每月的風險胃納對台股市場報酬率有顯著的影響。歸納原因，我們認為在較長的期間外資在台股市場擁有較大的影響力有關。 / At present, there is no rigorous method of measuring risk appetite in Taiwan stock market. In this paper, we want to discuss the relationship between equity market and risk appetite index (RAI). Moreover, we create the RAI for foreign investors, retail investors and domestic investors. We use Kumar and Persaud’s method’s concept in 2002 and adjust them to measure the risk appetite in Taiwan equity market and try to examine that does the risk appetite have any explaining powers on Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) return. From our empirical result, we could find that the RAIs of them have very high correlation and the ranges of them also are very close in a day. In addition, the parameters of explanatory variables are very significant in explaining the daily return of TAIEX and the coefficient of retail investors’ RAI is the largest. However, in month and quarter, we find only foreign investors’ monthly risk appetite has impact on monthly TAIEX return. We think that daily outcomes maybe reveal retail investors’ investment ratio in Taiwan stock market was higher in the last ten years. However, the monthly and quarterly results probably reveal that the foreign investment institutions may have a greater effect on Taiwan stock market in the longer period.

台灣的證券市場中，散戶投資人佔高達八成的比例，其在市場的參與程度影響證券市場的發展；本研究針對自民國七十九年市場崩盤後，散戶投資人繼續參與市場或離開市場的情況進行長達15年的追蹤分析。 研究發現民國79年2月12日的崩盤跌幅雖然曾高達83%，但是離開市場的比例並不大，高達九成的人在後續的年度仍然繼續進出市場，且其交易次數與平均交易金額都逐漸增強，顯示持續積極參與市場外，也是市場主要的穩定投資人；在分析中可以發現，不論在交易金額或交易次數的分析上，樣本群在市場崩盤後的各波段交易上，反應程度都比整體大盤投資人大。 對存活者、非存活者在崩盤前的交易次數、交易金額分析中，發現存活者為平均交易次數、金額較高者，但是變異數很大，且崩盤後後續交易記錄也顯示存活者群中，存在高交易次數、低單次交易金額與低交易次數、高單次金額兩類，與台灣證券市場散戶實證研究中，周轉率與報酬率呈U型分配，交易次數特別高及特別低的兩群樣本投資人，可能報酬較佳，所以得以存活於市場的情況相呼應。 / 80% investors in Taiwan Stock Market are individual investors. In that, their participations have great impacts to the stock market prosperity. This research focuses on the market crash which has happened since 1990 and tracks the individual investors’ trading activities of the following fifteen years. In research we found that, although the market index has decreased 83% since Feb.12, 1990, there are 90% individual investors remained trading in the market. Besides, we found the individual investors who keep trading (the survivor) increase both in their trading frequency and in trading amount which shows the survivors play an important role in the stock market during the following years. In further analysis, we also found the survivors had greater responses to the rises and falls of the stock market than total market individual investors’ average. When we analyze the survivors’ pre-crash characters, which showed survivors were those who had greater average trading frequency and average trading volume. Besides, there also existed big variances in the survivor group. Both evidences showed there existed survivors who were high trading frequency with low trading volume and those who were low trading frequency with high trading volume. These proved the prior research evidence of individual investors’ character that the return and trading frequency distribute as U shape in Taiwan stock market. Investors in highest trading frequency group and lowest trading frequency group could get better return to survive.

根據台灣證券交易所(TWSE)證券統計資料年報顯示，2010年台灣股票市場中散戶投資人交易成交值比重約為68%，外國機構投資人約為18.5%。一般而言，外國機構投資人被視為具有專業分析能力的交易者，散戶投資人則為雜訊交易者。在本文中我們將藉由觀察各類型投資人的交易行為，探討台灣股票市場中不具有資訊內涵的散戶投資人是否會跟隨具有資訊的外國機構投資人的交易行為。 為了瞭解散戶投資人是否有跟隨外國機構投資人的情況，我們在本文中分別使用事件研究法與向量自我迴歸模型(VAR)模型加以分析各類型投資人的交易行為。我們發現，外國機構投資人為正向回饋的動能交易者，本國機構投資人及散戶投資人為反向操作者；然而當發生金融風暴時，外國機構投資人轉變為反向操作者，散戶投資人轉為正向回饋的動能交易者。透過向量迴歸模型，我們發現散戶投資人的交易行為並不會受到前期外國機構投資人交易行為的影響，顯示散戶投資人並未跟隨外國機構投資人的交易行為。 / According to Taiwan Stock Exchange Corporation (TWSE), individual investors accounted for 68% trading volume and foreign institutional investors accounted for 18.5% in stock market in 2010. In general, we regard foreign institutional investors as traders with professional analysis abilities. However, we thought individual investors are noise trader. We would like to know whether the individual investors follow foreign institutional investors’ transactions and elaborate their transaction behavior. In order to understand whether individual investors follow the foreign institutional investors, we used event study and VAR to analyze their transaction behavior. We observed that foreign institutional investors are momentum traders. On contrary, we noticed that domestic institute investors and individuals are contrarian traders. Nevertheless, during financial crisis, foreign institutional investors became contrarian traders and individual turned to momentum traders. Through VAR model, we found that individual did not follow foreign institutional investors.

本文以2008年金融海嘯為分界點，由於在事前並沒有一個投資大師以及機構法人能夠精準的預測金融海嘯發生，海嘯發生之後幾乎使得市場上所有的投資人 都面臨虧損，不但金融權威一夕崩解，一向以報導「大師投資法」的媒體業也必須重新找尋新的出路，透過尋找神奇致富的素人取代失寵的名人與大師，報導其相關投資方法，來吸引一般投資大眾，以刺激其銷量。隨後，報章雜誌也相繼報導許多神奇致富故事，媒體一時之間變成「富翁製造機」，透過電視媒體加以延伸、渲染，閱聽大眾眼之所見、耳之所聞，都是唾手可得的賺錢妙方與密技，時下投資人紛紛起而效尤，期待自己能成為下一個大戶，投資市場上充滿了「樂透式」的投資氛圍。 本研究係作者本人長期的觀察與調查，發現很多名人或是素人，固然也有腳踏 實力，努力鑽研，創造財富的案例，也有不少案例在媒體的報導與引用上，因為採取「隱惡揚善」，甚至誇大賺錢、神奇致富的一面，對於賠錢部分卻是絕口不提，其次，大部分散戶投資人都希望能有捷徑或是透過學習、複製的方式，來進行投資理財，殊不知是用自己一知半解的想法進行投資，期待能於股市中發點小財，而且只看「結果」下的投資決策，會讓投資大眾產生錯覺，很容易失之偏頗。 所以，本研究的進行，期望達到下列目的： 1. 收集與整理相關媒體銷售的資料，了解目前散戶偏好的投資意見為何。 2. 針對受訪談的媒體從業人員所提供之意見進行歸納比較，進而探討名人與素人透過媒體管道所提供給散戶的投資建議，是否為一正確、可信之投資意見。 3. 最後，根據本研究之相關結論，並提出適當意見，做為媒體自律與散戶在投資理財上的建議。 / This study will investigate and analyze the changed role of the media industry as a 'rich making machine' since the financial crisis of 2008. The financial meltdown served as a turning point for the media since there were no investment gurus or corporate bodies that accurately had predicted the development. Virtually all investors in the market faced losses and many investment celebrities lost their credibility. Subsequently newspapers and magazines turned to rich and successful people to replace them and stimulating their sales by reporting miraculous rich stories. They are selling recipes how to make money to a willing audience, members of the investing public eager to become the next investment guru. Stimulated by this, the 'lottery' type of investment is in full swing on the market. Through long‐term observation and investigation we found that, first, many of the business celebrities actually based their success on a solid foundation, strove to study and then created wealth. Many of the media reports, however, tend to overly focus on the virtues and exaggerate the money making 'magic rich' side, while on the other hand neglecting or even covering up failures and bad deeds. Secondly, many investors are looking for a shortcut to create riches and try to copy others supposedly successful investment models without real understanding of market mechanisms and easily become misled by biased media reporting. This study is expected to achieve the following purposes: (1) Collect and collate information related to media sales, retail preferences in order to understand the preferences of all investors. (2) Conduct interviews with media practitioners, collect their opinions, summarize and compare them. Then discuss the advise given by investment celebrities given through the media pipeline and check if this advise is correct or credible. (3) Based on the findings of this study propose a self‐regulating body for the media and give recommendations for potential investors.

券商分析師的研究報告、投資者的個人特質、參考資訊皆會影響投資者的投資決策與策略，而投資決策的差異會影響到投資者的投資報酬與績效。而現行投資學理論中，較偏重於對證券的風險與報酬的分析或投資組合的分析，故本研究試著以散戶投資者之個人特質與參考資訊為出發點，對投資者的投資行為作一探索，希望能藉此分析出投資者在哪些特質上或是何種資訊上能夠獲取較高的報酬。 本研究主要在探討投資者的個人特質與參考資訊，對於投資者的操作策略、投資績效之影響。另外，亦探討券商分析師報告對於投資者是否具有資訊價值、是否真能幫助散戶投資者獲取較高的報酬。本研究以台灣地區證券市場自然人(散戶)為主要研究對象，採問卷法進行研究，資料分析結果與結論如下： 一、投資者的個人特質變數(風險態度、投資自信程度)與參考資訊變數(主要消息來源、推薦資訊重視內容)大致上是彼此獨立、互相不影響，只有在主要消息來源變數會對投資自信程度變數會有些許的干擾與影響。 二、投資人重視的推薦資訊內容會顯著的影響投資者在操作策略的使用以及影響其投資績效；另外，在不同的投資自信程度上，則會對投資者的績效報酬有所影響。而投資者在操作策略上的不同，並不會就能帶來較高的報酬，反而是採用追漲殺跌策略較為頻繁者，容易有投資損失。 三、投資人不論是否有依據分析師研究報告都無法獲得較高的報酬；同時分析也發現，聽取外資的研究報告並無法顯著的可以得到較高的報酬。但是，分析結果也指出，仍有很高比率的散戶投資人，即使依據研究報告投資失利後，日後仍願意繼續參考該券商或分析師的研究報告，顯示分析師及研究報告在散戶投資者心中仍佔有一定的參考價值與指標作用。

Who can survive longer and what factors could prolong the trading life of individual investors in the market? This is the questions we ask in the dissertation. Based on our knowledge, there is not any research about the issue of survival analysis on analyzing individual investors in stock market. The paper classifies three possibilities could affect the trading life of investors: personal characteristics, trading behavior, and market condition. In the dissertation, we use tick-by-tick transaction data from the Taiwan Stock Exchange to profile survivors versus non-survivors, to investigate how the traders’ characteristics (such as, gender), trading behaviors (such as the degree of diversification, trading amount and trading frequency) and market condition affect the trading life of investors. We borrow the proportional hazard models proposed by Cox (1972) who used in bio-statistics to analyze the survival rate. Using the Kaplan-Meier curves for male and female, we find that survival functions and hazard rates of female investors have better survival prognosis than the male investors. Different timing of entering results in distinct patterns of survival curves and hazard rates. Investors entering that market in the bull and bear market have a larger survival rate than those who enter the market in normal time during the trading life from 1 to 7 years. Moreover, as the trading life increases larger 7 year, the three curves of bull, bear and normal market conditions, respectively, appear to get closer, suggesting that if trading life is shorter than 7 years, the investors entering in the bull and bear markets seemly have lower hazard ratio than that in the normal market to leave the market. Finally, the results of Cox’s proportional hazard model show that female investors stay in the market 74 days longer than the male. Trading cycle increasing by one day will prolong the traders in the market by 4.8 days. Average volume per trade measured in ten thousands does not have economic effect on the trading duration, although its estimate is statistically significant. A one percentage increase of portfolio return will reduce about 151 days of the trading life. One more stock in the portfolio will prolong about 133 days in the trading life. The effect on the trading duration of trading performance of those who enter in the bull market is positive. / Who can survive longer and what factors could prolong the trading life of individual investors in the market? This is the questions we ask in the dissertation. Based on our knowledge, there is not any research about the issue of survival analysis on analyzing individual investors in stock market. The paper classifies three possibilities could affect the trading life of investors: personal characteristics, trading behavior, and market condition. In the dissertation, we use tick-by-tick transaction data from the Taiwan Stock Exchange to profile survivors versus non-survivors, to investigate how the traders’ characteristics (such as, gender), trading behaviors (such as the degree of diversification, trading amount and trading frequency) and market condition affect the trading life of investors. We borrow the proportional hazard models proposed by Cox (1972) who used in bio-statistics to analyze the survival rate. Using the Kaplan-Meier curves for male and female, we find that survival functions and hazard rates of female investors have better survival prognosis than the male investors. Different timing of entering results in distinct patterns of survival curves and hazard rates. Investors entering that market in the bull and bear market have a larger survival rate than those who enter the market in normal time during the trading life from 1 to 7 years. Moreover, as the trading life increases larger 7 year, the three curves of bull, bear and normal market conditions, respectively, appear to get closer, suggesting that if trading life is shorter than 7 years, the investors entering in the bull and bear markets seemly have lower hazard ratio than that in the normal market to leave the market. Finally, the results of Cox’s proportional hazard model show that female investors stay in the market 74 days longer than the male. Trading cycle increasing by one day will prolong the traders in the market by 4.8 days. Average volume per trade measured in ten thousands does not have economic effect on the trading duration, although its estimate is statistically significant. A one percentage increase of portfolio return will reduce about 151 days of the trading life. One more stock in the portfolio will prolong about 133 days in the trading life. The effect on the trading duration of trading performance of those who enter in the bull market is positive.

本篇論文藉由文獻探討與迴歸分析探討法人與散戶的投資偏好與行為的不同而造成的報酬上的差異，本文共收集了54篇探討法人與散戶投資行為和選股偏好的文獻並進行整理，其54篇文獻細分成三個方向探討投資人的投資行為：交易策略、認知與情緒偏誤和訊息內含。由文獻的整理中發現，法人與散戶的投資報酬差異確實與交易策略和選股偏好相關，相較於散戶，法人具有資訊與資源上的優勢，所以他們較能夠在面臨投資和選股決策時，做出正確的決定。然而，散戶在資訊的取得上相較法人處於劣勢，所以在做決策時較為不明確，並且由統計數據來看，散戶的部位通常與法人為相反的，所以散戶通常為法人提供流動性，並且因此得到較差的報酬。 而行為財務學的角度來看，法人和散戶皆有不理性的投資行為，而這些不理性的行為皆會為他們招致較低的投資報酬，而法人有較高的投資報酬率並非因為他們理性，而是因為相較於散戶，法人的不理性程度較為低的原因。既然由行為財務學的觀點來看大家皆是不理性的，便推論法人與散戶的報酬差異是來自選股的偏好，在第四部分以台灣經濟新報658家上市公司的資料進行迴歸分析以探討台灣法人、散戶與外資的選股偏好，結果顯示法人和散戶偏好依據其週轉率、公司規模、本益比、股價波動度與股利殖利率有所不同，而外資法人的偏好則與國內法人類似。 / This paper surveys the literatures relating to the investment preference and performance between institutional and individual investors in order to determine the reason of return disparity. 54 papers are surveyed to understand the preference and performance through three aspects: trading strategies, cognitive and emotional biases, and information content. Disparity of returns is due to trading behaviors and stock preferences. Institutional investors tend to be informed and make correct decision when trading. However, individual investors tend to invest in the opposite direction to institutions and provide liquidity for them. Therefore, institutional investor have better performance due to their less irrational behaviors and correct selection of underlying objects. In the fourth part, using data of 658 listed equities from Taiwan Economic Journal from Taiwan’s stock market, we investigate the relation between investors’ ownership and financial indicators. The regression analysis shows that the stock preferences between individual and institutional investor are different. Results indicate that institutional and individual investors have distinct preferences based on turnover rate, size, price to earnings per share ratio, stock volatility, and dividend yield. Foreign institutions’ stock selection preference is similar to domestic institutions.