臺灣博碩士論文加值系統

從眾行為一直是金融市場的一個有趣現象。本研究基於聲譽與薪酬的觀點，架構一個兩期的從眾模型。本模型中有兩位參賽者，每位參賽者有兩種可能的型態--聰明與單純，在本模型中，第一期期初參賽者會接受到一個私有訊息，之後，參賽者會依第二期薪酬極大化的原則採取行為策略；本研究的分析結果發現:(1)不存在兩位參賽者皆告知以實的均衡。(2)不論私有訊息相同或相異，只要市場給於唯一成功者的薪酬低於可以補償忽略本身私有訊息的損失下，就會存在從眾的完美貝氏均衡。(3)只要市場給於唯一成功者的薪酬高於可以補償忽略本身私有訊息的損失下，不論私有訊息相同或相異，就會存在有反從眾的完美貝氏均衡。

Herding behavior is an interesting phenomenon in financial markets. We build a two-period model based on the consideration of reputation and compensation to analyze herding behavior. In our model there are two players with two prior types, including smart and dump. In the beginning of the first period, each player has private information and then players will adopt their behavior strategies to maximize their second period compensations. Our study findings include: (1) there doesn’t exist the equilibrium in which both player tell the truth; (2) no matter what the private information that the second player got, the herding behavior emerges as a perfect Bayesian equilibrium if the payoff of the only winner in the second period is not enough to compensate the loss of giving up his private information; and (3) on the contrary, if the only winner gains is high enough for the loss of information, then anti-herding prevails as a perfect Bayesian equilibrium in our model.

中文摘要----------------------------------------------i
英文摘要----------------------------------------------ii
謝辭----------------------------------------------iii
目錄----------------------------------------------iv
表/圖目錄----------------------------------------------v
第一章、緒論------------------------------------------1

第一節研究動機與目的-------------------------------1
第二節研究架構--------------------------------------2

第二章、文獻探討--------------------------------------3
第一節從眾行為國外相關文獻之探討--------------------3
第二節從眾行為國內相關文獻之探討--------------------6

第三章、研究方法--------------------------------------8
第一節賽局理論之簡介--------------------------------8
第二節賽局中特定均衡解的概念------------------------10

第四章、模型分析--------------------------------------18
第一節模型設定--------------------------------------18
第二節
第三節賽局模型推導----------------------------------
探討變數對均衡解影響--------------------------30
32
第五章、結論與未來研究建議----------------------------34
第一節結論------------------------------------------34
第二節未來研究與建議--------------------------------35

附錄----------------------------------------------36
參考文獻----------------------------------------------39

一、中文部份
1.杜樹森，1996，機構投資人交易行為對股票市場之影響：以國內共同基金為例，政治大學財務管理研究所碩士論文。
2.林伊玫，1995，機構投資人從眾行為研究－以封閉型基金為例，中山大學企業管理研究所碩士論文。
3.吳孟君，2000，共同基金從眾行為與價格發現之研究，中正大學財務金融研究所碩士論文。
4.柯靜君，1997，機構投資人從眾行為之研究－以國內共同基金為例，成功大學企業管理研究所碩士論文。
5.陳柄宇，2002，聲譽、訊息模糊與從眾行為之研究，雲林科技大學財務金融所碩士論文。
6.張維迎，1999，賽局理論與信息經濟學，一版，茂昌圖書發行，台北。
7.劉中惠，2002，資訊不對稱下最適稽核決策之探討—以權利金制度為例，東吳大學會計學系碩士論文。
8.劉坤青，2000，外國法人、證券自營商、投信鉅額交易對台灣上櫃市場股價影響，台北大學企業管理研究所碩士論文。
9.謝淑貞，1995，賽局理論，二版，謝淑貞發行，台北。
10.蘇惟宏，2000，機構法人從眾行為之研究－以國內股市集中交易市場為例，政治大學企業管理研究所碩士論文。

二、英文部份
1.Avery, C. N. and J. A. Chevalier, 1999, “Herding over the career”, Economics Letters 63, 327-333.
2.Banerjee, A., 1992, “A simple model of herd behavior”, Quarterly Journal of Economics 107, 797-817.
3.Bikhchandani, S., D., Hirshleifer, and I., Welch, 1992, “A theory of fads, fashion, custom, and cultural change as informational cascades”, Journal of Political Economy 100, 992-1026.
4.Borland, J., 1992, “Career concerns: Incentives and endogenous learning in labour markets”, Journal of Economic Surveys 6, 251-270.
5.Brandenburger, A. and B. Polak, 1996, “When managers cover their posteriors: Making the decisions the market wants to see”, RAND Journal of Economics 27, 523-541.
6.Bulow, J. and P. Klemperer, 1994, “Rational frenzies and crashes”, Journal of Political Economy 102, 1-23.
7.Cote, J. M. and D. L. Sanders, 1997, “Herding behavior: Explanations and implications”, Behavior Research in Accounting 9, 20-45.
8.De Bondt, W. F. M., and W. P. Forbes, 1999, “Herding in analyst earnings forecasts: Evidence from the United Kingdom”, European Financial Management 5, 143-163.
9.Effinger, M. R. and M. K. Polborn, 2001, “Herding and anti-herding” A model of reputational differentiation”, European Economic Review 45, 385-403.
10.Gale, D., 1996, “What have we learned from social learning? ”, European Economic Review 40, 617-628.
11.Graham, J., 1999, “Herding among investment newsletters: Theory and evidence”, Journal of Finance 54, 237-268.
12.Grant, S., S., King, and B., Polak, 1996, “Information externalities, share-price based incentives and managerial behavior”, Journal of Economic Surveys 10, 1-21.
13.Hirshleifer, D., 1993, “Managerial reputation and corporate investment decisions”, Financial Management 22, 145-160.
14.Nofsinger, J. and R. Sias, 1999, “Herding and feedback trading by institutional and individual investors”, Journal of Finance 54, 2263-2295.
15.Scharfstein, D. and J., Stein, 1990, “Herd behavior and investment”, American Economic Review 80, 465-479.
16.Tirole, J., 1999, “Incomplete contracts: Where do we stand? ”, Mimeo., IDEI, Toulose.
17.Trueman, B., 1994, “Analysts forecasts and herding behavior”, The Reviews of Finance Studies 7, 97-124.
18.Vives, X., 1996, “Social learning and rational expectations”, European Economic Review 40, 589-601.
19.Welch, I., 1992, “Sequential sales, learning, and cascades”, Journal of Finance 47, 695-732.
20.Zwiebel, J., 1995, “Corporate conservatism and relative compensation”, Journal of Political Economy 103, 1-25.