--

--
:
:

1
251~100
3
1~310
4

Study of Investment Performance Affected by Psychological

Biases from Taiwan Stock Market.
Student:Yu-Min,Chang

AdvisorDr. Li-Ching, Chiu

Abstract

The purpose of this study attempts to address the factors of psychological biases of
investors in Taiwan stock market via questionnaire inquisition based on investors financial
behavior; and to re-evaluate how the psychological biases of investors affect investment
behavior and performance.

The empirical study indicates 1) the gender did impact the investment performance;
the decision-making of female would be easily affected by psychological biases and results
in poor performance; 2) the investors whose annual income between $510,000 and
$1,000,000 cannot have better investment performance due to mentality mislead; 3) the
decision-making of the investors whose investment experience within 3 years or over 10
years would be easily affected by psychological biases; 4) the decision-making of investors
whose risk tolerance is conservative and moderate would be easily affected by
psychological biases and result in poor performance. The future examination indicates that
investor could get rid of their overconfidence and self-misunderstanding or lower their
effects from negative emotions might help them get better investment performance.
However, investors

have some correct

tendency of invest or effect from positive

emotions , their invest performance might be improved also. Therefore, our research proves
not all of the effects of emotions would endanger the invest return.

Keywords: Psychological biases, Behavioral finance, Investment performance,

Investment attributes

II

III

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IV


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4-4-2 ..................................................................... 74

 4-4-3 ................................................................. 75
4-4-4 ............................................................. 76
4-5

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3-1 ........................................................................................................... 29

VI

20

Kahneman and Riepe, 1998

2002Kahneman

Kahneman and Tversky1979prospect theory

Shefrin and Statman(1985)

mental
accountingregret aversionself-control

Fama,
1965
Anomalies
Efficient Market Hypothesis, EMH

Kahneman and Tversky Shefrin and Statman 1985

disposition effectThaler (1985)
(mental account)

Karlsson, 1998Thaler, 1999Shefrin, 2000Strobl, 2003Karlsson,

2003 Mineto and Silva, 2006
1980

Costa Jr, Mineto and Silva, 2006

, 2005

(Odean, 1998)

()
()
()

Shiller1998
prospect theory
regret and cognitive dissonancemental account compartments
overconfidenceover-and underreaction
biased self-attributiondisjunction effect


Nofsinger,
2003
(anomaly)

Lo, 2002, p.81

efficient market hypothesis, EMH

EMH
EMH
1.
2.
3.
4.

(anomaly)

()

Shiller2001

()

()

1976Jensen and Meckling

()

1.

Cutler, Poterba, and

Summers (1990, 1991)DeLong et al. (1990b)
Bange(2000)Choe et al. (1999)Grinblatt and
Keloharju (2000)
2.Barberis, Shleifer and
Vishny (1998)Daniel, Hirshleifer and
Subrahmanyam (1998)Gervais and Odean (2001)

3.
Delong et al. (1990a)
Shleifer and Vishny(1997)

(Johnson and Tversky, 1983)

Nofsinger, 2003

2-1

Pompian (2006)(congintive
biases)(sentiment biases)

(overconfidence bias)


De Bondt and Thaler (1995)

Lichtenstein, Fischhoff and Philips (1982)

20%
Shefrin and Statman (1994)
Odean (1998)

Odean (1999)

Barber and Odean (2001)

Gervais
and Odean (2001)

(2005)

Logit

(2006)
1991 2006
11
10

Daniel , Hirshleifer and Subrahmanyam (1998)

Fisher & Statman (2000)

(2006) 1999 4 12

(representativeness bias)

Kahneman and Tversky19731979

base
rate

Grether (1980)

(law of large numbers)

11

(regression to the mean)(gamblers fallacy)De

Bondt (1991) 3
3 De Bondt (1998)

Shefrin and Statman (1995)

(2005)

Anginer, Fisher and Statman (2007)

(affect)
(2004)

Fisher and Statman 2000illusion of validity

()()
anchoring Fisher & Statman (2000)

(anchoring and adjustment bias)

12

(anchor)

Tversky and Kahneman (1974)

Slovic and Lichtenstein (1971)

Cutler, Poterba and Summers (1989)

Cutler, Poterba and Summers (1991)

Bernard and Thomas (1992)

La Porta (1996)

()
Shefrin (2000)
()
()
Fisher and Statman 2000illusion of validity

()()
13

anchoring Fisher & Statman

(cognitive dissonance bias)

(cognitive
dissonance)

Festinger (1957)

Goetzmann and Peles (1993)

200518

2004

(availability bias)

Tverskey and Kahneman (1973) Pennington and Hastie (1988)

Lichtenstein and Fischhoff (1978)

14


DeBondt and Thaler(1985, 1986)

Barber & Odean (2002)

(self-attribution bias)

Bem (1965)

(Fischhoff, 1982;
Langer and Roth, 1975; Taylor and Brown, 1988)Daniel , Hirshleifer and Subrahmanyam
(1998)
;

(2009)

15

(illusion of control bias)

Heider,
1958Adler,1930White, 1959
1
Averill,1973; Lefcourt, 19732
Glass and Singer,1972; Keinan and Zeidner, 1987; Litt, 1988; Miller, 1979;
Rotter, 1975; Thompson,1981; Taylor and Brown, 19883
Seligman, 1975
Ayeroff andAbelson, 1976; Benassi et al., 1979; Langer, 1975; Wortman, 1975

Henslin1967
Strickland et al.1966
Langer1975
SkillLuck

(2008)

(conservatism bias)

16

Montier (2002)
()Montier

(ambiguity aversion bias)

Ellsberg (1961)

(
)()(
())
(uncertainty aversion)
Camerer (1995)

(endowment bias

(endows)

Samuelson & Zeckhauser (1988)

17

(mental accounting bias)

(mental account)
Thaler (1985)

Shefrin and Thaler (1988)

Shefrin and Statman (1994)

18

Kahneman & Tversky (1986)

;
Barberis and Huang (2001)

Barberis

and Huang (2001)

confirmation bias

""
,

Fisher and Statman 2000illusion of validity

19


()()
anchoring Fisher & Statman (2000)

(hindsight bias)

Kahneman and Riepe (1998)

Fisher & Statman (2000)

Cooper, Gutierrez & Marcum(2005)

(recency bias)

Montier2002
20

Montier

(framing bias)

(Tversky and Kahneman, 1981

Tversky
and Kahneman1981

Shefrin and Stateman (1984) (income)

(capital)

Shefrin and Statman1985

self-control bias

21

Glick (1957)
Thaler and Shefrin (1981)
(planer)(doer)Shefrin and
Statman (1985)(self-control)
Manju and
Robinson (2007)Thaler and Shefrin (1981)

(2007)

optimism bias

De Bondt (1991) 3
3 Lakonishok, Shleifer and
Vishny (1994)

22

Kahneman and Riepe (1998)

Farrell (2003)

5 15%(2005)

(2005)

(2006)

Manju and Robinson(2007)

(loss aversion bias)

A100%85B85%
10025%AA100%
85B85%10025%BA
BAB
A

AA(
23

(
)

Shefrin & Statman (1985)

(regret aversion bias)

Kahneman and Tverskey (1982)

Shefrin (2000)

24

Shefrin and Statman (1985)(ex post)

Shefrin
and Statman (1985)

Shefrin and Statman (1985)

Ferris, et
al. (1987) Odean(1998)

(2003)

(status quo bias)

Samuelson and Zeckhauser (1988)

(Status Quo Bias)

Hershey, Johnson, Maszaros, and Robinson (1990) New Jersey

Pennsylvania
25


New Jersey23%
Pennsylvania53%

Kahneman, Knetch & Thaler (1991)

Shefrin and Statman1985

disposition effect

Grossman and Stiglitz, 1980

Odean (1998)

Odean1998
1

26


2Select Bias

3Survivorship Bias
Cohen, 1964; Feather, 1969;Kelley, 1967; Langer and Roth, 1975; Miller
and Ross, 1975; Streufert and Streufert,1969; Weiner et al., 1971; Wortman et al., 1973

Varian, 1989; Harris and

Raviv,1993
Benos1998

Barber and Odean2000

1991 1996 66,465
11.4%
18.5% 17.9%

27

11TEJ

(2006)1999412

Barber and Odean (2000)

28

Logitsic(Multilogistic regression)

3-1
(3-1)

3-1
29

()

()

()

800
2200912
20102
800
71621
695

30

SPSS 13.0

Pompian (2006)
1
17

1822

31

1. 1980 2008 10.5%

a. 10.5%

b. 10.5%

c. 10.5%

d. 10.5%

cd

2.2009 11 7582 10/1~10/30 7575.75

a.6823 (-10%)
b.6824 ~7202 (-10%-5%)
c.7203 ~7582 (-5% 0 %)
d.7583 ~7961 ( 0% 5%)
e.7962 ~8343 ( 5% 10%)
f.8344 ( 10%)
(c)(d)

7582

3.
?
a.

b.

c.

d.

(c)

32

4.
?
a.
b.
c.
(a)

5.
a.

b.

d.

c.
e.

(c)(d)

6.
a. 3

b. 1

c. 3

d. 5

(a)(b)

33

7.
a.

b.

c.

e.

f.

(a)

8.
a.
b.
c.
d.
(a)

9.
a.

b.

c.

(b)(c)

10.

a.
b.
c.
d.
34

(a)(b)

11.

a.

b.

c.
d.
e.
(a)(c)

12.

a.
b.
c.
(a)

13.()
?
a.

b.

c.
35

(a)

14.
$1,000
a.100%

b.50%

c.0%

15.$1,000
$1,000(ATM)
a.100%

b.50%

c.0%

13(c)14(a)(b)
1314
$100013
$100014
1314

16. 10 6% 10%
66%-4% 16%

a.

b.

c.

d.

17. 10 6% 10%
95%-14% 26%

a.

b.

c.

d.

16 17

18.
?
a.

b.
36

c.
(b)

19.

a.

b.

c.

d.

e.

(a)(b)

20. 10%

a.
b.
c.
(a)(b)

21.( 20%)?
a.

b.

c.

d.

e.
(a)(b)(d)(e)

37

22.$70,000

a. 50$75,000 50$50,000
b. 70$75,000 30$50,000
c.$60,000
(a)(b)

()

1.
a. 0% ~9.9%

b. 10% ~19.9%

d. 0% ~9.9%

e. 10% ~19.9%

c. 20%
f. 20%

g.
2.
a. 0% ~9.9%
d. 0% ~9.9%

b. 10% ~19.9%
e. 10% ~19.9%

c. 20%
f. 20%

g.

()
:

38

1. 1=2=
2. 1=252=26~353=36~454=46~55
5=56
3. 1=2=3=4=
4. 1=2=3=
5. 1= 2=3=4=5=
6=
6.1=2=30 ()3=31 ~50 ()
4=51 ~100 ()5=101 ~200 ()6=201
7. 1.1=12=1~33=4~64=7~9
5=10()
8.1=2=
3=
9.1=2=3=
4=

(, 2008)

39

40

SPSS 10.0 for Windows

Chi-Square Test(Correlation Analysis)

Goodness of FitCMIN 2
0.1Probability Level PL 0.05 2
PL

1.
2.
3.

Pearson Correlation Coefficient

41

()
4-1-1 4-1-1695
32546.837053.253.2%
46.8%
4-1-1

(%)

325

46.8

370

53.2

()
4-1-2 4-1-2 695
25537.6%26~35274
39.436~4524435.146~55106
15.356182.6
26353.936~4535.1

42

4-1-2

(%)

25

53

7.6

26~35

274

39.4

36~45

244

35.1

46~55

106

15.3

56

18

2.6

()
4-1-3 4-1-3 695
30844.338054.7%
40.6%30.4
4-1-3

(%)

308

44.3

380

54.7

0.6

0.4

()
4-1-4 4-1-4 695
568.1500
71.913920.0
7

4-1-4

(%)

()

56

8.1

500

71.9

139

20.0

43

()
4-1-5 4-1-5 695
517.3385
55.414220.446
6.613 1.9588.3

4-1-5

(%)

51

7.3

385

55.4

142

20.4

46

6.6

13

1.9

58

8.3

()
4-1-6 4-1-6 695
30537.6%31 ~50
17625.350~10031645.5
101~200 9613.8201
111.6
4-1-6

(%)

40

5.8

30

53

7.6

31~50

176

25.3

51 ~100

316

45.5

101 ~200

96

13.8

201

11

1.6

44

4-1-74-1-7
4-1-7

(%)

325

46.8

25
26~35
36~45
46~55
56

()

30
31 ~50
51 ~100

370
695
53
274
244
106
18
695
308
380
4
3
695
56
500
139
639
51
385
142
46
13
58
695
40
53
176
316

53.2
100
7.6
39.4
35.1
15.3
2.6
100
44.3
54.7
0.6
0.4
100
8.1
71.9
20
91.9
7.3
55.4
20.4
6.6
1.9
8.3
99.9
5.8
7.6
25.3
45.5

101 ~200

96

13.8

201

11
692

1.6
99.6

45


()
4-1-8 4-1-8 695
19914.2%1~3176
25.3%4~612618.1%7~991
13.1%1020329.2%
101~325.3%
4-1-8

(%)

99

14.20%

1~3

176

25.30%

4~6

126

18.10%

7~9

91

13.10%

10 ()

203

29.20%

695

100%

()
4-1-9 4-1-9 695
25937.3%
20229.1%
23433.7%
4-1-9

(%)

259

37.3%

202

29.1%

234

33.7%

695

100%

46

()
4-1-10 4-1-10 695
22231.9%329
47.3%588.3%86
12.4%
4-1-10

(%)

222

31.9

329

47.3

58

8.3

86

12.4

695

100

4-1-11
4-1-11

(%)

99

14.20%

1~3

176

25.30%

4~6

126

18.10%

7~9

91

13.10%

10 ()

203

29.20%

695

100%

259

37.3

202

29.1

234

33.7

695

100

222

31.9

329

47.3

58

8.3

86

12.4

695

100

47


4-1-12 4-1-12
695
51073.4%53577%
58984.7%517
74.6%60486.9%
64692.9%56981.9%
64192.2%
51774.4%48069.1%
4-1-12

() ()

185

26.60%

510

73.4%

600

86.30%

95

13.7%

160

23.00%

535

77.0%

106

15.30%

589

84.7%

176

25.30%

517

74.6%

217

31.20%

478

68.8%

205

29.50%

490

70.5%

91

13.10%

604

86.9%

424

61.00%

271

39.0%

401

57.70%

293

42.2%

49

7.10%

646

92.9%

126

18.10%

569

81.9%

285

41.00%

410

59.0%

604

86.90%

91

13.1%

406

58.40%

289

41.6%

617

88.80%

78

11.2%

442

63.60%

253

36.4%

54

7.80%

641

92.2%

178

25.60%

517

74.4%

215

30.90%

480

69.1%

48


()
4-1-13 4-1-13
695 20%59
8.5%10% ~19.9%10515.1%0% ~9.9%188
27.1%8312%0% ~9.9%109
15.7%10% ~19.9%10615.3%20%44
6.3%0% ~9.9%
4-1-13

(%)

20%

59

8.5

10% ~19.9%

105

15.1

0% ~9.9%

188

27.1

83

12

0% ~9.9%

109

15.7

10% ~19.9%

106

15.3

20%

44

6.3

694

100

()
4-1-14 4-1-14
695 20%74
10.6%10% ~19.9%9313.4%0% ~9.9%156
22.4%7911.4%0% ~9.9%120
17.3%10% ~19.9%10415.0%20%69
9.9%0% ~9.9%

49

4-1-14

(%)

20%

74

10.6

10% ~19.9%

93

13.4

0% ~9.9%

156

22.4

79

11.4

0% ~9.9%

120

17.3

10% ~19.9%

104

15.0

20%

69

9.9

695

100

4-1-15

20%
10% ~19.9%
0% ~9.9%

0% ~9.9%
10% ~19.9%
20%

20%
10% ~19.9%
0% ~9.9%

0% ~9.9%
10% ~19.9%
20%

50

59
105
188
83
109
106
44
694
74
93
156
79
120
104
69
695

(%)
8.5
15.1
27.1
12
15.7
15.3
6.3
100
10.6
13.4
22.4
11.4
17.3
15
9.9
100

4-2-1
1.

2.

3.

4.

5.

6.

51

4-2-1

9.050

15.283

5.101

1.166

15.245

1.957

0.165

0.558

0.009***

0.855

1.523

4.528

0.952

0.355

3.531

5.334

0.217

0.339

0.813

0.837

0.619

0.376

1.246

7.300

8.321

1.138

7.321

12.666

0.264

0.121

0.04**

0.566

0.198

0.027**

31.239

21.060

6.132

1.739

15.815

8.331

0.105

0.419

0.007***

0.139

0.000*** 0.000***
9.408

1.506

.242

5.731

17.140

15.895

0.002***

0.826

0.971

0.057*

7.350

5.026

1.446

2.477

4.308

4.709

0.007***

0.285

0.695

0.29

0.506

0.452

3.285

7.491

1.270

1.283

8.410

9.223

0.070*

0.112

0.736

0.526

0.135

0.1*

3.280

2.842

3.367

2.124

13.451

2.031

0.07*

0.585

0.338

0.346

0.019**

0.845

0.106

4.174

2.096

7.611

10.855

3.281

0.745

0.383

0.553

0.022**

0.054*

0.657

0.260

6.629

4.004

5.918

17.996

11.562

0.61

0.157

0.261

0.052*

0.003*** 0.004***

0.004*** 0.007***

0.003*** 0.041**

: * : =0.05** : =0.01*** : =0.001

52

4-2-1 ()

1.600

5.674

1.903

0.359

3.330

2.672

0.206

0.225

0.593

0.836

0.649

0.75

0.323

1.129

3.835

0.266

7.663

2.933

0.57

0.89

0.28

0.875

0.176

0.71

0.369

12.821

5.070

7.869

4.138

4.972

0.543

0.012**

0.167

0.02**

0.53

0.419

1.053

1.883

2.496

1.825

1.671

7.896

0.305

0.757

0.476

0.402

0.892

0.162

0.109

3.524

4.883

0.247

1.273

1.177

0.741

0.474

0.181

0.884

0.938

0.947

24.049

4.570

4.182

1.910

29.397

5.742

0.000***

0.334

0.242

0.385

0.000***

0.332

0.181

7.540

1.525

0.016

7.366

8.601

0.671

0.11

0.676

0.992

0.195

0.126

1.133

3.969

4.910

0.496

7.377

6.881

0.287

0.41

0.179

0.78

0.194

0.23

7.537

14.230

8.214

1.501

7.272

9.282

0.472

0.201

0.098*

0.006*** 0.007*** 0.042**

25.099

19.245

2.482

3.218

14.769

12.648

0.479

0.200

0.011**

0.027**

0.000*** 0.001***

: * : =0.05** : =0.01*** : =0.001

53

(56.7%)(57.7%)
(56.7%)(51.0%)
(61.0%)(56.3%)(59.6%)
(50.3%)(56.4%)4-2-2

4-2-2

221

289

510

43.30%

56.70%

100.00%

249

340

589

42.30%

57.70%

100.00%

260

257

517

50.30%

49.70%

100.00%

207

271

478

43.30%

56.70%

100.00%

44

34

78

56.40%

43.60%

100.00%

240

250

490

49.00%

51.00%

100.00%

160

250

410

39.00%

61.00%

100.00%

226

291

517

43.70%

56.30%

100.00%

194

286

480

40.40%

59.60%

100.00%

4-2-326~35
36~45(36.1%,36.3%)(38.4%,35.3%)
(41.7%,34.4%)(42.7%,33.3%)
(37.9%,34.6%)26~3536~45
54

4-2-3
25

36
%
7.10%

52
%
8.80%

45
%
7.90%

43
%
8.30%

47
%
9.80%

26-35

36-45

46-55

184
36.10%
226
38.40%
237
41.70%
221
42.70%
182
37.90%

185
36.30%
208
35.30%
196
34.40%
172
33.30%
166
34.60%

89
17.50%
93
15.80%
80
14.10%
69
13.30%
78
16.30%

56

16
3.10%
10
1.70%
11
1.90%
12
2.30%
7
1.50%

4-2-4
(45.6%,53.6%)
(46.8%,51.8%)

4-2-4

244

287

535

45.60%

53.60%

0.20%

0.60%

100.00%

242

268

517

46.80%

51.80%

0.80%

0.60%

100.00%

4-2-5
(71.4%)
(73.3%)(66.8%)(73.8%)

55

4-2-5

()

36

369

112

517

7.00%

71.40%

21.70%

100.00%

50

443

111

604

8.30%

73.30%

18.40%

100.00%

25

181

65

271

9.20%

66.80%

24.00%

100.00%

39

420

110

569

6.90%

73.80%

19.30%

100.00%

52.2%56.7%
58.8%57.1%57.0%
46.5%49.0%
56.0%
4-2-6
4-2-6

38

266

116

30

12

48

510

7.50%

52.20%

22.70%

5.90%

2.40%

9.40%

100.00%

38

335

110

42

13

51

589

6.50%

56.90%

18.70%

7.10%

2.20%

8.70%

100.00%

38

304

90

38

38

517

7.40%

58.80%

17.40%

7.40%

1.70%

7.40%

100.00%

31

280

101

34

40

490

6.30%

57.10%

20.60%

6.90%

0.80%

8.20%

100.00%

48

344

118

37

11

46

604

7.90%

57.00%

19.50%

6.10%

1.80%

7.60%

100.00%

25

126

59

22

32

271

9.20%

46.50%

21.80%

8.10%

2.60%

11.80%

100.00%

33

201

102

21

45

410

8.00%

49.00%

24.90%

5.10%

2.00%

11.00%

100.00%

30

269

92

40

12

37

480

6.30%

56.00%

19.20%

8.30%

2.50%

7.70%

100.00%

56


4-2-731~50
30.6%51~10045.6%
47.2%32.1%40.2%
45.2%43.6%
51~100
4-2-7
4-2-7

101
30
31~50 51~100
201
~200
() () ()

()
44
136
243
64
11

35

6.60%

8.30%

25.50%

45.60%

12.00%

2.10%

100.00%

33

41

112

243

77

515

6.40%

8.00%

21.70%

47.20%

15.00%

1.70%

100.00%

22

25

15

78

7.70%

9.00%

28.20%

32.10%

19.20%

3.80%

100.00%

20

23

83

109

33

271

7.40%

8.50%

30.60%

40.20%

12.20%

1.10%

100.00%

30

42

141

233

62

515

5.80%

8.20%

27.40%

45.20%

12.00%

1.40%

100.00%

31

43

130

208

57

477

6.50%

9.00%

27.30%

43.60%

11.90%

1.70%

100.00%

533

:
263550~100

4-2-8
1.

2.

57

3.

4-2-8

5.537

0.900

14.201

df

0.236

0.638

0.003***

2.876

1.620

7.011

0.579

0.445

0.072*

10.072

0.491

0.605

0.039**

0.782

0.895

9.959

5.549

3.361

0.041**

0.062*

0.339

17.561

7.609

1.815

0.002***

0.022**

0.612

7.298

2.936

3.608

0.121

0.23

0.307

3.610

0.277

4.252

0.461

0.871

0.236

14.753

3.058

1.192

0.005***

0.217

0.755

10.777

3.523

5.327

0.029**

0.172

0.149

17.304

3.361

5.111

0.002***

0.186

0.164

: * : =0.05** : =0.01*** : =0.001

58

4-2-8 ()

6.815

1.519

5.623

0.146

0.468

0.131

4.140

4.973

1.758

0.387

0.083*

0.624

12.494

3.621

.980

0.014**

0.164

0.806

3.175

0.207

0.746

0.529

0.902

0.862

1.927

1.950

1.506

0.749

0.377

0.681

4.063

2.252

16.505

0.398

0.324

0.001***

6.755

3.512

4.872

0.149

0.173

0.181

1.488

1.081

1.842

0.829

0.583

0.606

15.965

1.800

1.525

0.003***

0.407

0.677

18.596

0.821

4.000

0.001***

0.663

0.261

: * : =0.05** : =0.01*** : =0.001

59

4-2-9
1~310
(27.6%27.3%)(26.5%28.5%)(24.6%32.3%)
(24.7%30.6%)(25.7%30.6%)
(31.7%21.8%)(26.9%26.5%)
(27.3%27.1%)(27.1%26.9%)
1~310

4-2-9

1~3

4~6

83

145

91

70

146

535

15.50%

27.10%

17.00%

13.10%

27.30%

100.00%

84

156

112

69

168

589

14.30%

26.50%

19.00%

11.70%

28.50%

100.00%

61

127

91

71

167

517

11.80%

24.60%

17.60%

13.70%

32.30%

100.00%

60

121

83

76

150

490

12.20%

24.70%

16.90%

15.50%

30.60%

100.00%

77

155

109

78

185

604

25.70%

18.00%

12.90%

30.60%

100.00%

% 12.70%

7~9 10()

43

86

45

38

59

271

15.90%

31.70%

16.60%

14.00%

21.80%

100.00%

80

153

108

77

151

569

26.90%

19.00%

13.50%

26.50%

100.00%

141

101

57

140

517

27.30%

19.50%

11.00%

27.10%

100.00%

130

86

53

129

480

27.10%

17.90%

11.00%

26.90%

100.00%

% 14.10%

78

% 15.10%

82

% 17.10%

60


4-2-10
35.5%38.5%
38.4%
35.0%35.4%33.1%

4-2-10

209

174

206

589

35.50%

29.50%

35.00%

100.00%

199

135

183

517

38.50%

26.10%

35.40%

100.00%

248

184

214

646

38.40%

28.50%

33.10%

100.00%

4-2-11
(34.5%,47.3%)
(29.5%,41.1%)
(35.6%,48.5%)

4-2-11

176

241

43

50

510

34.50%

47.30%

8.40%

9.80%

100.00%

28

39

14

14

95

29.50%

41.10%

14.70%

14.70%

100.00%

146

199

24

41

410

35.60%

48.50%

5.90%

10.00%

100.00%

61

:10
1~3

4-3-1

4-3-1

10.726

18.377

df

0.097*

0.005***

28.841

28.885

24

24

0.226

0.224

19.279

44.143

18

18

0.375

0.001***

12.074

4.219

12

12

0.44

0.979

34.085

54.999

30

30

0.277

0.004***

54.185

41.539

30

30

0.004***

0.078*

: * =0.05 ** =0.01 *** =0.001

62

4-3-24-3-3
:
1.
(52.1%=10.6+17.2+24.3)
(50.5%)
(4-2-2)

2.
31~5051-100(49.8%;45.6%)
51-100
(46.8%)(42.4%)
0~9.9%(4-2-7)
51~100

4-3-2

30

31~50

51~100

101~200

201

20%

35
10.80%
59.30%
24
6.50%
40.70%
59
8.50%
100.00%
5
12.50%
8.50%
3
5.70%
5.10%
16
9.10%
27.10%
27
8.60%
45.80%
6
6.30%
10.20%
2
18.20%
3.40%
59
8.50%
100.00%

0% ~9.9%
10%

~19.9%
56
79
17.20%
24.30%
53.30%
42.00%
49
109
13.30%
29.50%
46.70%
58.00%
105
188
15.10%
27.10%
100.00%
100.00%
8
6
20.00%
15.00%
7.70%
3.20%
3
19
5.70%
35.80%
2.90%
10.10%
23
49
13.10%
27.80%
22.10%
26.10%
41
82
13.00%
26.00%
39.40%
43.60%
25
32
26.00%
33.30%
24.00%
17.00%
4
0
36.40%
0.00%
3.80%
0.00%
104
188
15.10%
27.20%
100.00%
100.00%

63

41
12.60%
49.40%
42
11.40%
50.60%
83
12.00%
100.00%
4
10.00%
4.80%
3
5.70%
3.60%
20
11.40%
24.10%
41
13.00%
49.40%
11
11.50%
13.30%
4
36.40%
4.80%
83
12.00%
100.00%

10%
0% ~9.9%
20%

~19.9%
48
51
15
14.80%
15.70%
4.60%
44.00%
48.10%
34.10%
61
55
29
16.50%
14.90%
7.90%
56.00%
51.90%
65.90%
109
106
44
15.70%
15.30%
6.30%
100.00%
100.00%
100.00%
10
6
1
25.00%
15.00%
2.50%
9.20%
5.70%
2.30%
12
11
2
22.60%
20.80%
3.80%
11.00%
10.50%
4.70%
31
22
15
17.60%
12.50%
8.50%
28.40%
21.00%
34.90%
49
54
21
15.60%
17.10%
6.70%
45.00%
51.40%
48.80%
6
12
4
6.30%
12.50%
4.20%
5.50%
11.40%
9.30%
1
0
0
9.10%
0.00%
0.00%
0.90%
0.00%
0.00%
109
105
43
15.80%
15.20%
6.20%
100.00%
100.00%
100.00%

325
100.00%
46.80%
369
100.00%
53.20%
694
100.00%
100.00%
40
100.00%
5.80%
53
100.00%
7.70%
176
100.00%
25.50%
315
100.00%
45.60%
96
100.00%
13.90%
11
100.00%
1.60%
691
100.00%
100.00%

4-3-3

30

31~50

51~100

101~200

201

20%

50
15.40%
67.60%
24
6.50%
32.40%
74
10.60%
100.00%
33
10.70%
44.60%
41
10.80%
55.40%
0
0.00%
0.00%
0
0.00%
0.00%
74
10.60%
100.00%
4
7.80%
5.40%
43
11.20%
58.10%
15
10.60%
20.30%
3
6.50%
4.10%
1
7.70%
1.40%
8
13.80%
10.80%
74
10.60%
100.00%
4
10.00%
5.40%
3
5.70%
4.10%
14
8.00%
18.90%
36
11.40%
48.60%
13
13.50%
17.60%
4
36.40%
5.40%
74
10.70%
100.00%

10%
0% ~9.9%
~19.9%

41
12.60%
44.10%
52
14.10%
55.90%
93
13.40%
100.00%
36
11.70%
38.70%
57
15.00%
61.30%
0
0.00%
0.00%
0
0.00%
0.00%
93
13.40%
100.00%
7
13.70%
7.50%
63
16.40%
67.70%
11
7.70%
11.80%
1
2.20%
1.10%
0
0.00%
0.00%
11
19.00%
11.80%
93
13.40%
100.00%
2
5.00%
2.20%
3
5.70%
3.20%
26
14.80%
28.00%
43
13.60%
46.20%
18
18.80%
19.40%
1
9.10%
1.10%
93
13.40%
100.00%

64

73
22.50%
46.80%
83
22.40%
53.20%
156
22.40%
100.00%
70
22.70%
44.90%
86
22.60%
55.10%
0
0.00%
0.00%
0
0.00%
0.00%
156
22.40%
100.00%
11
21.60%
7.10%
90
23.40%
57.70%
30
21.10%
19.20%
11
23.90%
7.10%
3
23.10%
1.90%
11
19.00%
7.10%
156
22.40%
100.00%
9
22.50%
5.80%
15
28.30%
9.60%
38
21.60%
24.40%
69
21.80%
44.20%
24
25.00%
15.40%
1
9.10%
0.60%
156
22.50%
100.00%

35
10.80%
44.30%
44
11.90%
55.70%
79
11.40%
100.00%
49
15.90%
62.00%
30
7.90%
38.00%
0
0.00%
0.00%
0
0.00%
0.00%
79
11.40%
100.00%
3
5.90%
3.80%
39
10.10%
49.40%
20
14.10%
25.30%
8
17.40%
10.10%
0
0.00%
0.00%
9
15.50%
11.40%
79
11.40%
100.00%
7
17.50%
8.90%
4
7.50%
5.10%
23
13.10%
29.10%
34
10.80%
43.00%
9
9.40%
11.40%
2
18.20%
2.50%
79
11.40%
100.00%

0% ~9.9%
10%
20%

~19.9%
59
18.20%
49.20%
61
16.50%
50.80%
120
17.30%
100.00%
51
16.60%
42.50%
65
17.10%
54.20%
1
25.00%
0.80%
3
100.00%
2.50%
120
17.30%
100.00%
16
31.40%
13.30%
51
13.20%
42.50%
26
18.30%
21.70%
10
21.70%
8.30%
5
38.50%
4.20%
12
20.70%
10.00%
120
17.30%
100.00%
9
22.50%
7.60%
12
22.60%
10.10%
34
19.30%
28.60%
51
16.10%
42.90%
10
10.40%
8.40%
3
27.30%
2.50%
119
17.20%
100.00%

42
12.90%
40.40%
62
16.80%
59.60%
104
15.00%
100.00%
48
15.60%
46.20%
53
13.90%
51.00%
3
75.00%
2.90%
0
0.00%
0.00%
104
15.00%
100.00%
4
7.80%
3.80%
63
16.40%
60.60%
18
12.70%
17.30%
11
23.90%
10.60%
4
30.80%
3.80%
4
6.90%
3.80%
104
15.00%
100.00%
8
20.00%
7.80%
13
24.50%
12.60%
24
13.60%
23.30%
43
13.60%
41.70%
15
15.60%
14.60%
0
0.00%
0.00%
103
14.90%
100.00%

25
7.70%
36.20%
44
11.90%
63.80%
69
9.90%
100.00%
21
6.80%
30.40%
48
12.60%
69.60%
0
0.00%
0.00%
0
0.00%
0.00%
69
9.90%
100.00%
6
11.80%
8.70%
36
9.40%
52.20%
22
15.50%
31.90%
2
4.30%
2.90%
0
0.00%
0.00%
3
5.20%
4.30%
69
9.90%
100.00%
1
2.50%
1.50%
3
5.70%
4.40%
17
9.70%
25.00%
40
12.70%
58.80%
7
7.30%
10.30%
0
0.00%
0.00%
68
9.80%
100.00%

325
100.00%
46.80%
370
100.00%
53.20%
695
100.00%
100.00%
308
100.00%
44.30%
380
100.00%
54.70%
4
100.00%
0.60%
3
100.00%
0.40%
695
100.00%
100.00%
51
100.00%
7.30%
385
100.00%
55.40%
142
100.00%
20.40%
46
100.00%
6.60%
13
100.00%
1.90%
58
100.00%
8.30%
695
100.00%
100.00%
40
100.00%
5.80%
53
100.00%
7.70%
176
100.00%
25.40%
316
100.00%
45.70%
96
100.00%
13.90%
11
100.00%
1.60%
692
100.00%
100.00%


4-3-4

4-3-4

84.222

85.335

df

24

24

0***

0***

16.955

23.175

12

12

0.151

0.026**

34.252

31.127

18

18

0.012**

0.028**

: * : =0.05** : =0.01 *** : =0.001

4-3-54-3-6
:
1.
10%~9.9%

1~310
(51.5%; 54.7%)

0~9.9%
4-2-91~310
65


2.

52.6%61.6%(46.1%)
(41.6%)0~9.9%
4-2-11

4-3-5

1
%
3
%

1~3
%
3
%

4~6
%

7~9
%
3
%

10()
%
3
%

%
3
%

%
3
%

%
3
%

%
3
%

%
3
%

20%
4
4.00%
6.80%
11
6.30%
18.60%
20
15.90%
33.90%
10
11.00%
16.90%
14
6.90%
23.70%
59
8.50%
100.00%
10
4.50%
16.90%
29
8.80%
49.20%
7
12.10%
11.90%
13
15.10%
22.00%
59
8.50%
100.00%

10% ~19.9% 0% ~9.9%

0% ~9.9% 10% ~19.9%

20%

4
19
26
31
13
2
4.00%
19.20%
26.30%
31.30%
13.10%
2.00%
3.80%
10.10%
31.30%
28.40%
12.30%
4.50%
26
53
13
27
34
11
14.90%
30.30%
7.40%
15.40%
19.40%
6.30%
24.80%
28.20%
15.70%
24.80%
32.10%
25.00%
17
29
13
20
21
6
13.50%
23.00%
10.30%
15.90%
16.70%
4.80%
16.20%
15.40%
15.70%
18.30%
19.80%
13.60%
18
30
8
5
10
10
19.80%
33.00%
8.80%
5.50%
11.00%
11.00%
17.10%
16.00%
9.60%
4.60%
9.40%
22.70%
40
57
23
26
28
15
19.70%
28.10%
11.30%
12.80%
13.80%
7.40%
38.10%
30.30%
27.70%
23.90%
26.40%
34.10%
105
188
83
109
106
44
15.10%
27.10%
12.00%
15.70%
15.30%
6.30%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%
32
60
27
41
37
14
14.50%
27.10%
12.20%
18.60%
16.70%
6.30%
30.50%
31.90%
32.50%
37.60%
34.90%
31.80%
49
95
42
53
40
21
14.90%
28.90%
12.80%
16.10%
12.20%
6.40%
46.70%
50.50%
50.60%
48.60%
37.70%
47.70%
6
11
3
9
18
4
10.30%
19.00%
5.20%
15.50%
31.00%
6.90%
5.70%
5.90%
3.60%
8.30%
17.00%
9.10%
18
22
11
6
11
5
20.90%
25.60%
12.80%
7.00%
12.80%
5.80%
17.10%
11.70%
13.30%
5.50%
10.40%
11.40%
105
188
83
109
106
44
15.10%
27.10%
12.00%
15.70%
15.30%
6.30%
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%

66

99
100.00%
14.30%
175
100.00%
25.20%
126
100.00%
18.20%
91
100.00%
13.10%
203
100.00%
29.30%
694
100.00%
100.00%
221
100.00%
31.80%
329
100.00%
47.40%
58
100.00%
8.40%
86
100.00%
12.40%
694
100.00%
100.00%

4-3-6
10%
20% ~19.9%

1~3
%

4~6
%

7~9
%

10()
%

4
4.00%
5.40%
15
8.50%
20.30%
14
11.10%
18.90%
10
11.00%
13.50%
31
15.30%
41.90%
74
10.60%
100.00%
29
11.20%
39.20%
19
9.40%
25.70%
26
11.10%
35.10%
74
10.60%
100.00%
13
5.90%
17.60%
42
12.80%
56.80%
6
10.30%
8.10%
13
15.10%
17.60%
74
10.60%
100.00%

6
6.10%
6.50%
17
9.70%
18.30%
17
13.50%
18.30%
17
18.70%
18.30%
36
17.70%
38.70%
93
13.40%
100.00%
37
14.30%
39.80%
21
10.40%
22.60%
35
15.00%
37.60%
93
13.40%
100.00%
23
10.40%
24.70%
42
12.80%
45.20%
9
15.50%
9.70%
19
22.10%
20.40%
93
13.40%
100.00%

0%

~9.9%
17
17.20%
10.90%
45
25.60%
28.80%
28
22.20%
17.90%
22
24.20%
14.10%
44
21.70%
28.20%
156
22.40%
100.00%
69
26.60%
44.20%
34
16.80%
21.80%
53
22.60%
34.00%
156
22.40%
100.00%
52
23.40%
33.30%
77
23.40%
49.40%
10
17.20%
6.40%
17
19.80%
10.90%
156
22.40%
100.00%

67

24
24.20%
30.40%
14
8.00%
17.70%
12
9.50%
15.20%
9
9.90%
11.40%
20
9.90%
25.30%
79
11.40%
100.00%
30
11.60%
38.00%
25
12.40%
31.60%
24
10.30%
30.40%
79
11.40%
100.00%
24
10.80%
30.40%
44
13.40%
55.70%
3
5.20%
3.80%
8
9.30%
10.10%
79
11.40%
100.00%

0%

~9.9%
33
33.30%
27.50%
35
19.90%
29.20%
19
15.10%
15.80%
11
12.10%
9.20%
22
10.80%
18.30%
120
17.30%
100.00%
48
18.50%
40.00%
33
16.30%
27.50%
39
16.70%
32.50%
120
17.30%
100.00%
50
22.50%
41.70%
49
14.90%
40.80%
9
15.50%
7.50%
12
14.00%
10.00%
120
17.30%
100.00%

10%

~19.9% 20%

13
13.10%
12.50%
38
21.60%
36.50%
23
18.30%
22.10%
9
9.90%
8.70%
21
10.30%
20.20%
104
15.00%
100.00%
27
10.40%
26.00%
46
22.80%
44.20%
31
13.20%
29.80%
104
15.00%
100.00%
40
18.00%
38.50%
43
13.10%
41.30%
12
20.70%
11.50%
9
10.50%
8.70%
104
15.00%
100.00%

2
2.00%
2.90%
12
6.80%
17.40%
13
10.30%
18.80%
13
14.30%
18.80%
29
14.30%
42.00%
69
9.90%
100.00%
19
7.30%
27.50%
24
11.90%
34.80%
26
11.10%
37.70%
69
9.90%
100.00%
20
9.00%
29.00%
32
9.70%
46.40%
9
15.50%
13.00%
8
9.30%
11.60%
69
9.90%
100.00%

99
100.00%
14.20%
176
100.00%
25.30%
126
100.00%
18.10%
91
100.00%
13.10%
203
100.00%
29.20%
695
100.00%
100.00%
259
100.00%
37.30%
202
100.00%
29.10%
234
100.00%
33.70%
695
100.00%
100.00%
222
100.00%
31.90%
329
100.00%
47.30%
58
100.00%
8.30%
86
100.00%
12.40%
695
100.00%
100.00%

4-4-1

4-4-24-4-34-4-4

1.
0%~9.0%
0%~9.0%27.5%
0%~9.0%22.7%
4-4-4

68

4-4-1

48.031

74.231

df

0.000***

0.000***

17.335

9.860

0.008***

0.131

10.292

14.150

0.113

0.028**

14.514

15.658

0.024**

0.016**

14.563

19.418

0.024**

0.004***

4.264

5.811

0.641

0.445

10.154

13.157

0.118

0.041**

11.692

5.581

0.069*

0.472

4.589

6.667

0.597

0.353

11.063

9.869

0.086*

0.13

: * : =0.05** : =0.01*** : =0.001

69

4-4-1 ()

0.533

8.474

0.997

0.205

4.234

6.324

0.645

0.388

9.049

3.872

0.171

0.694

1.054

3.327

0.983

0.767

9.115

19.930

0.167

0.003***

15.301

15.762

0.018**

0.015**

19.081

31.952

0.004***

0.000***

5.514

4.386

0.48

0.625

16.605

20.219

0.011**

0.003***

8.602

21.735

0.197

0.001***

: * : =0.05** : =0.01*** : =0.001

70

2.
10%~19.9%
10%~19.9%24.2%0%~9.0%
20.9%4-4-4

3.4-4-3
0%~9.0%
0%~9.0%23.7%

4-4-4

4.
4-4-24-4-30%~9.0%
0%~9.0%27.8%
0%~9.0%22.4%

5.
4-4-24-4-30%~9.0%
0%~9.0%28.1%0%~9.0%
71

23.6%

4-4-4

6.4-4-2
0%~9.0% 28.6%

4-4-4

7.4-4-24-4-4

0%~9.0%0%~9.0%
25.1%

8. 4-4-3

0%~9.0% 20% 19.2% 20% 15.4%

9.
4-4-24-4-3
72

0%~9.0%0%~9.0%
30.0% 0%~9.0%24.9%

4-4-4

10.
4-4-24-4-30%~9.0%
0%~9.0%31.3%0%~9.0%
27.7%

4-4-4

11.
4-4-24-4-34-4-4
0%~9.0%
0%~9.0%26.0%0%~9.0%
20.3%

12.4-4-3
0%~9.0%
0%~9.0%20.6%

73

4-4-2

10% ~19.9% 0% ~9.9%

0% ~9.9% 10% ~19.9%

20%

27

63

140

66

93

81

39

509

5.30%

12.40%

27.50%

13.00%

18.30%

15.90%

7.70%

100.00%

11

16

14

19

23

95

11.60%

9.50%

16.80%

14.70%

20.00%

24.20%

3.20%

100.00%

44

92

164

71

90

96

32

589

7.50%

15.60%

27.80%

12.10%

15.30%

16.30%

5.40%

100.00%

44

89

145

64

78

69

27

516

8.50%

17.20%

28.10%

12.40%

15.10%

13.40%

5.20%

100.00%

37

82

140

50

77

70

33

489

7.60%

16.80%

28.60%

10.20%

15.70%

14.30%

6.70%

100.00%

19

37

68

33

39

51

24

271

7.00%

13.70%

25.10%

12.20%

14.40%

18.80%

8.90%

100.00%

29

60

123

42

59

63

34

410

7.10%

14.60%

30.00%

10.20%

14.40%

15.40%

8.30%

100.00%

27

48

79

22

28

35

13

252

10.70%

19.00%

31.30%

8.70%

11.10%

13.90%

5.20%

100.00%

41

69

134

62

92

88

30

516

7.90%

13.40%

26.00%

12.00%

17.80%

17.10%

5.80%

100.00%

20%

74

4-4-3

20%

10% 0% ~9.9%
0% ~9.9% 10%

20%
~19.9%
~19.9%

29

56

116

61

104

83

61

510

5.70%

11.00%

22.70%

12.00%

20.40%

16.30%

12.00%

100.00%

48

64

127

62

93

87

54

535

9.00%

12.00%

23.70%

11.60%

17.40%

16.30%

10.10%

100.00%

54

83

132

63

103

96

58

589

9.20%

14.10%

22.40%

10.70%

17.50%

16.30%

9.80%

100.00%

62

79

122

60

80

70

44

517

12.00%

15.30%

23.60%

11.60%

15.50%

13.50%

8.50%

100.00%

15

15

15

12

78

10.30%

19.20%

6.40%

19.20%

10.30%

15.40%

100.00%

% 19.20%

27

29

60

29

50

52

42

289

9.30%

10.00%

20.80%

10.00%

17.30%

18.00%

14.50%

100.00%

34

48

102

43

67

70

46

410

8.30%

11.70%

24.90%

10.50%

16.30%

17.10%

11.20%

100.00%

39

41

70

18

34

36

15

253

16.20%

27.70%

7.10%

13.40%

14.20%

5.90%

100.00%

64

105

63

95

89

54

517

12.40%

20.30%

12.20%

18.40%

17.20%

10.40%

100.00%

58

99

58

94

81

50

480

12.10%

20.60%

12.10%

19.60%

16.90%

10.40%

100.00%

% 15.40%

47

% 9.10%

40

% 8.30%

75

4-4-4

Pearson

-0.198***

-0.244***

()

0.000

0.000

Pearson

-0.053

-0.082**

()

0.166

0.030

Pearson

-0.083**

-0.09**

()

0.029

0.018

Pearson

-0.062

-0.135***

()

0.101

0.000

Pearson

-0.012

-0.029

()

0.762

0.448

Pearson

0.138***

0.195***

()

0.000

0.000

Pearson

0.073*

0.113***

()

0.055

0.003

Pearson

0.061

0.02

()

0.111

0.602

Pearson

-0.015

0.049

()

0.690

0.197

Pearson

0.065*

0.065*

()

0.089

0.089

Pearson

0.015

0.043

()

0.687

0.260

Pearson

-0.085**

-0.079**

()

0.025

0.039

Pearson

0.021

0.057

()

0.589

0.132

Pearson

-0.07*

-0.137***

()

0.066

0.000

Pearson

0.007

0.028

()

0.845

0.462

Pearson

0.1***

0.019

()

0.008

0.609

Pearson

-0.008

-0.067*

()

0.827

0.080

Pearson

-0.018

-0.005

()

0.641

0.895

Pearson

0.068*

0.043

()

0.073

0.253

Pearson

-0.035

-0.096**

()

0.359

0.012

* 10% ()

** 5% () *** 1% ()

4-4-1
4-4-24-4-34-4-4

0~9.9%:
1.0%~9.0%
()(
)

76

2.0%~9.0%
()
3.0%~9.0%
()()
()
0%~9.0%20%

4-5
4-5

77

Barber and
Odean2001b
(2005)

31~5051~100

51~100
31~5051-100
78

0~9.9%
51~100

1~310

Larkin et al.1980Johnson1985Hershey et al.1990

Hong2000

0~9.9%

()(
)
0%~9.0%
20%

79

()

()

0%~9.0%
()()

80

(overconfidence)
2

(snake bite effect)(pride)

(house money effect)

81

82

1.2008ISBN
978-957-729-682-5
2.2006

3.2000
19153-190
4.2001

5.2005
8 1 1-25
6.2004
2004
1210
7.,200466-75
8.2005

9.2003

10.2005
22185-107
11.2004

12.2006

13.2004
83


14.2005

15. (2003)

16.2007

17.(2006)

18.(2003)
19.(2006)?-

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16. Shiller, Robert J., 1998, Human Behavior and the Efficiency of the Financial System,
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85