國內外之研究發現，投資人進行股票交易決策時，存在”關注效果”、”處分效果”、等因素造成投資人產生不理性的投資決策；同時亦有學者指出，台灣市場投資人，不論法人或個體投資人皆存在處分效果，甚至此效果會導致投資造成損失，但鮮少有文章提到面對股價大幅變化時，處分效果是消失還是依然存在。本文主要為探討:極端報酬下，三大法人與融資戶之交易行為差異，是否存在處分效果?又有那些事件會帶來關注效果?本研究使用2001/12/01~2012/3/01之股市交易資料，並透過實證分析發現:(1)極端報酬下，三大法人存在處分效果，融資戶則否(2)股價上漲時，只有外資關注是否有盈餘宣告，而股價下跌時，全體投資人皆會關心盈餘宣告(3)股票觸及漲停價與跌停價，是否造成關注效果，因投資人類型而異(4)儘管三大法人受關注處分效果影響，其交易績效依然優於融資戶。 / Many studies found that “Attention Effect” and “Disposition Effect” will affect investors when they are trading, even make them loss money. In Taiwan stock market, researchers indicate that even institutional investor also affect by disposition effect. But, there is no discussion of when investors trading with extreme return, do they still have the same behavior? This article is going to study how extreme return affect “attention effect” and “disposition effect”. We grab the trading data form 2001/12/01~2012/3/01, by analyzing we find that (1) Only institutional investors affect by “disposition effect”(2) Only foreign investors will pay attention to earning announcement when trading with great appreciation, but all of investors will follow the stock whether it has announce its earning when trading with great depreciation.(3) Whether stock price hit price limit will cause “Attention effect” is depends on which type the investor is.(4) though institutional investors will affect by disposition effect, they still can make access return.

第一篇論述討論處置效果於選擇權市場的實證。處置效果係指投資人在處分資產時，傾向盡快賣出有未實現利得的投資部位，並且繼續持有有未實現損失的投資部位的行為偏誤現象。文獻上有關處置效果的實證多半集中在股票市場而少有於選擇權市場的實證。選擇權市場一般認為是具有私有資訊及較具備金融知識與經驗的投資人會選擇交易的市場。本文實證處置效果在指數選擇權市場上的影響。我們認為對於選擇權投資人來說，價內外程度是最重要且顯而易見的資訊，是很直觀可以衡量可能利得及損失的參考點。相較於傳統衡量根據過去交易價格所形成的未實現損益指標，價內外程度更能吸引投資人的注意力。以本文所提出的基於價內外程度衡量之賣出傾向指標(Moneyness-based Propensity to Sell, MPS)以及根據Grinblatt and Han (2005)所形成的調整後未實現資本利得指標(adjusted Capital Gains Overhang, ACGO)，每周將買權(賣權)排序成五等分後，我們發現持有最高等分的MPS或ACGO的買權(賣權)並賣出最低等分的買權(賣權)所形成的投資組合能夠產生超額報酬，顯示處置效果在指數選擇權市場亦存在。利用雙重排序(double sorting)的方法，我們發現MPS相較於ACGO，是較能夠在選擇權市場捕捉處置效果的指標。第二篇論述討論相似度衡量策略在期貨市場獲利的可能性。文獻上對於技術交易是否能產生顯著的報酬結果並不一致，然而實務上分析過去的價格走勢並使用技術指標所產生的訊號，是廣泛被接受的。現有測試技術交易指標獲利能力的文獻，通常假設投資人在實證測試的樣本期間一致性的參考某個交易指標產生的交易訊號並依此交易。然而實務上投資人可能同時參考不同的交易指標，每次交易可能根據不同交易指標所產生的訊號，且投資人會從歷史交易價格走勢中尋找類似於現有走勢的狀況，以這些歷史走勢接續的報酬率做為現有走勢未來報酬率的預期值。本文中我們提出一個較符合實際狀況的決策過程來描述技術交易投資人的行為，並重新檢視技術交易的獲利能力。我們提出的決策過程包含三個步驟。首先投資人建立一個特徵向量，包含投資人所認為足以預測未來報酬率並足以描述現況的指標。第二個步驟，投資人從過去某段期間中尋找相似於現有特徵向量的歷史狀況，並以這些歷史狀況接續的報酬率來作為預測的根據。最後，投資人依照過去的歷史狀況與現在有多相似，作為接續報酬率的加權權重，並以相似度權重加權平均報酬來做為未來報酬率的預測值，我們將依照相似度加權報酬所產生交易訊號所形成的策略稱為相似度衡量交易策略(Similarity-based trading rules)。我們檢視相似度衡量交易策略在九個不同的期貨市場中的獲利能力，在考量data-snooping及交易成本後，每日相似度衡量交易策略仍在其中六個市場中獲得顯著的報酬率。 / The disposition effect, which refers to the tendency of investors to selling their winning investments too soon and to hold losing investments too long, has been well-documented in the extant literature. However, while empirical researches focus on examining the behavioral bias in the stock market, little attention is paid to the option market, where most informed investors and sophisticated traders gather. This essay tests for the disposition effect on the index options market. We argue that moneyness, the most salient and readily available information for option investors, is a natural reference point for potential gains and losses, which likely attracts market participants’ attention more than traditional measures that are based on past trading prices. Based on the Moneyness-based Propensity to Sell (MPS) measure that we introduce and an adjusted capital gains overhang (ACGO) measure of Grinblatt and Han (2005), we find that a strategy formed by buying calls/puts in the highest MPS or ACGO quintile and selling those in the lowest quintile would generate significant abnormal returns, suggesting the presence of the disposition effect. Using double sorting method, we find that the MPS is better as a measure in capturing the disposition effect on the options market than the ACGO. While the literature documents mixed results for the profitability of technical trading rules, the use of technical buy/sell signals based on analyzing past prices is widely accepted by practitioners. The existing literature on testing the predictive ability of technical trading mostly assumes that a technical investor consistently makes investment decisions based on the buy/sell signals according to one particular trading rule during the entire sample period. However this may be far from reality. Technical investors may simultaneously make predictions based on different technical indicators and follow different technical signals. Furthermore, they analyze historical price patterns that are similar to the current market condition and make assessment of future returns based on the subsequent returns of these similar patterns. The process is known as charting. We attempt to propose a more realistic decision-making process that incorporates the similarity-based predictors to account for technical investors’ decisions in the real world and reexamine the profitability of technical trading rules. The proposed process includes three steps. First, the investor attempts to predict future returns based on a vector of current characteristics that is sufficient for his assessment of the future returns and to depict the present scenario of the stock market. Second, the investor searches for the similar patterns in a specific time window prior to the current date and make an assessment of the future returns based on how similar these past patterns and the current pattern are and how rewarding the subsequent returns of the similar patterns are. Third, the investor is assumed to form a similarity-based indicator which is an assessment of the future returns depended on the similarity-weighted average of all previously observed values of the subsequent returns. The technical investor is then assumed to buy/sell according to the signals generated by the similarity-based trading rules (SBTR). We examine the profitability of the SBTR in nine futures markets and find significantly positive and robust returns after considering the data-snooping adjustments and transaction costs in six of the nine markets.