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研究生:張俊評
研究生(外文):Jin-ping Zhang
論文名稱:動態資訊揭露下最適投資支出與從眾行為之研究
論文名稱(外文):Optimal Investment and Herding Behavior Through Dynamic Information Revelation
指導教授:黃金生黃金生引用關係
指導教授(外文):Chin-sheng Huang
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:財務金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2003
畢業學年度:91
語文別:中文
論文頁數:54
中文關鍵詞:實質選擇權訊號賽局從眾行為報酬外部性
外文關鍵詞:Real Option、Signaling Game、Herding Behavior、P
相關次數:
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  • 下載下載:64
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以N人動態賽局和資訊有效揭露與否做為本研究的基本分析模型,並利用實質選擇權方法剖析個別經理人是否有從眾行為發生。研究發現立即投資或是延遲投資,不完全只是巿場不確定因素所帶來的機會價值,也和先行動者的資訊流量或報酬外部性有關,亦即,所有行動者的投資門檻是資訊訊號和報酬外部性的函數。
就漸近性質而言,在不考慮外部性報酬因子下,資訊瀑布流會隨著人數的增加則以機率一出現而不容易被打斷。此外,當把外部性報酬因子併入資產價值時,報酬外部性會和最適支出無關,且未執行者容易因已執行者的錯誤決策而產生虛假的從眾行為現象。
I model optimal investment as an N-player dynamic game, under the availability of information and payoff externality, and use real option to analyze the herding behavior of project managers. The results show that to exercise now or to wait to see, is not only opportunity value arising from market uncertainty, but also depends on the predecessor’s information flows or payoff externality. The critical value of all decision makers would be the function of information signals and payoff externality.
For asymptotic properties, without externality factors, investment cascades appear with probability one as N increases and are not easily interrupted by extreme signal. In addition, when externality factors are incorporated into information adjustment mechanism, payoff externality is independent of optimal investment, and spurious herding phenomenon arises in the market due to certain predecessors’ error decisions.
中文摘要 - ------------------------------------------------ i
英文摘要 ------------------------------------------------- ii
目錄 -------------------------------------------------- iii
壹、 前言 ---------------------------------------------- 1
一、 研究動機 ------------------------------------------ 4
二、 研究目的-------------------------------------------- 5
貳、 文獻探討--------------------------------------------------- 6
一、 國外文獻------------------------------------------ 6
二、 國內文獻------------------------------------------ 13
參、 研究假設和模型架構-------------------------------------- 14
一、 隨機支出的假設------------------------------------ 14
二、 實質資產的假設------------------------------------ 16
三、 平均期望時間和瀑布流發生的機率-------------------- 17
肆、 序列賽局的最適支出和均衡選擇權價值---------------------- 22
一、 史坦克伯格策略下最適支出和選擇權價值-------------- 22
二、 庫諾策略下的最適支出和選擇權價值------------------ 25
伍、 正負報酬外部性的最適支出和選擇權價值-------------------- 27
陸、 結論---------------------------------------------------- 35
參考文獻 ---------------------------------------------------- 37
一、 國外文獻------------------------------------------ 37
二、 國內文獻------------------------------------------ 42
附錄 --------------------------------------------------- 43
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