公司績效與融資對散戶過度自信的影響

The imapct of performance and margin transaction on overconfidence of individual investors

投資人並非完全理性，因此容易產生偏差的投資行為，其中又以過度自信最常被探討。而散戶投資人由於資訊相對缺乏，相對於法人較容易有偏差行為。公司績效為散戶較容易取得與常用於投資決策的指標，其次散戶也較重視交易量。因此，本研究以台灣股市2005-2016年資料為樣本，運用VAR模型，探討公司績效與融資比重對散戶過度資信的影響。實證結果發現：（1）台灣股市散戶投資人顯著存在過度自信現象。（2）公司績效較低的企業過度自信現象較明顯。（3）融資比重較高的企業過度自信現象亦較為顯著。（4）融資比重對過度自信的影響效果大於公司績效。

Investors are not entirely rational and therefore tend to have biased investment behavior of which the overconfidence is the most widely discussed one to date. And individual investors also tend to make wrong decisions due to their information set not as complete as institutional investors. As a result, firm performance and trading volume, which are easily available to individual investors, are the information commonly used in their investment decision. Therefore, this study select the data of Taiwan stock market from 2005 to 2016 as a sample to explore the impact of firm performance and margin transaction on overconfidence of individual investors. We find that (1) there does exist overconfidence in Taiwan stock market for individual investors; (2) worse performance of firms have more investors with significant overconfidence; (3) the higher the margin purchase ratio becomes, the higher the overconfidence is; (4) the effect of margin purchase on overconfidence is larger than the firm performance on overconfidence.