本研究直接觀察委託簿資訊透明度對於散戶報酬率的影響，藉此來分析散戶能否因為透明度增加而增加獲利。本研究將影響報酬率的因子分成資訊面和行為面因素，這麼做除了可以拆解透明度對於散戶報酬率的影響外，更可以藉此知道究竟是哪種因素使得散戶投資績效在透明度之後有所改變。結果證明在五檔揭示後對於散戶的投資績效的確較有利，並且發現散戶在增加資訊揭露後的報酬改變主要是受到資訊面因素的影響。另外，也發現在增加委託簿資訊揭露後的確使得散戶擁有更多的資訊，而這也使得散戶的不理性行為有下降的趨勢。

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第 1 章 緒論 ................................................................................7
1.1 研究背景 ................................................................................7
1.2 研究動機與目的 ....................................................................8
1.3 研究貢獻 ................................................................................8
第 2 章 文獻探討 ........................................................................9
2.1 透明度相關文獻....................................................................9
2.1.1 透明度對於市場績效的影響 ....... ...................................10
2.1.2 透明度對於投資人的影響 ...............................................11
2.2 行為面因素對於投資人績效的影響 ...................................12
2.2.1 過度自信與報酬率 ........................ ...................................12
2.2.2 從眾行為與報酬率 ............................................................13
第 3 章 研究假說 ...................................................................... 14
3.1 透明度對資訊交易機率的影響 ...........................................14
3.2 透明度對投資人行為因素的影響 .... ..................................16
3.2.1 透明度對於投資人過度自信的影響 ................................17
3.2.2 透明度對於投資人從眾行為的影響 ................................18
3.3 透明度對於投資人報酬率的影響 .......................................19
3.3.1 資訊交易機率對於投資人報酬率的影響 ....................... 19
3.3.2 行為面因素對於投資人報酬率的影響 ............................20
第 4 章 資料與研究方法 .......................................................... 22
4.1 樣本描述 .............................................................................. 22
4.1.1 資料來源 ........................................................................... 22
4.1.2 資料篩選 ........................................................................... 22
4.1.3 台灣證劵交易所委託簿透明度變革 ............................... 22
4.2 研究主題與研究方法大要 ...................................................23
4.2.1 研究目的 ........................................................................... 23
4.2.2 研究方法概要 ................................................................... 23
4.3 變數定義 .............................................................................. 24
4.2.1 投資人持有期間報酬 ....................................................... 24
4.2.2 資訊交易機率 ................................................................... 25
4.2.3 投資人過度自信 ............................................................... 26
4.2.4 投資人從眾行為 ............................................................... 30
4.4 實證模型 .............................................................................. 31
4.3.1 透明度對於投資人報酬率的影響 ................................... 31
4.3.2 透明度對於資訊交易機率、從眾、過度自信的影響 ....32
4.3.3 資訊交易機率、過度自信、與從眾行為對投資人報酬率的影響.......................................................................................... 33
第 5 章 實證結果與分析 .......................................................... 34
5.1 敘述統計 .............................................................................. 34
5.1.1 加權平均價格 ................................................................... 34
5.1.2 投資人平均持有期間報酬 ............................................... 36
5.1.3 資訊交易機率 .................................................................. 39
5.1.4 投資人過度自信分數 ....................................................... 40
5.1.5 投資人從眾行為分數 ....................................................... 45
5.2 實證結果 .............................................................................. 47
5.2.1 透明度對於投資人報酬率的影響 ................................... 47
5.2.2 透明度對於資訊交易機率、過度自信、與從眾行為的影響 ................................................................................................. 51
5.2.3 影響投資人報酬率之因素探討 ........................................54
第 6 章 結論與建議 .................................................................. 63
參考文獻 ..................................................................................... 66

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