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研究生:張哲輔
研究生(外文):Che-fu Chang
論文名稱:動態展望理論價值函數與投資人處置效應之相關性研究
論文名稱(外文):Correlations between the value function of the inter-temporal prospect theory and disposition effect
指導教授:黃日鉦黃日鉦引用關係
指導教授(外文):Jih-jeng Hung
學位類別:碩士
校院名稱:東吳大學
系所名稱:資訊管理學系
學門:電算機學門
學類:電算機一般學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:中文
論文頁數:71
中文關鍵詞:處置效應價值函數羅吉斯迴歸麥內瑪檢定動態展望理論
外文關鍵詞:disposition effectvalue functionlogistic regressionMcNemar testinter-temporal prospect theory
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在金融市場中,投資人的投資行為是否具有處置效應,對整體金融市場的交易有很大的影響,故國內外有許多研究文獻皆探討相關議題。過去的研究中均指出,投資人頻繁賣出的利得股票事後報酬率相較於仍持有的損失股票為高,且持續持有損失的股票會擴大其損失,表示處置效應將會對投資人的投資報酬率產生負面影響。過去在探討金融市場有關展望理論價值函數的研究,多在探討單期遊戲,但價值函數在金融市場的變動應該不是單期遊戲,價值函數的曲線及參考點會隨著前一次的結果而變動。且人們在投資證券市場中,往往會根據過去的股價、消息等等,在進入市場之前就對價格做出預期,同時參考點也會隨著時間、報酬或訊息的影響而變動進而影響展望理論的價值函數改變,原先凸函數的部分反而變成凹函數,與展望理論所探討的價值曲線有所差異。本研究歸納出市場走勢與相對股價、訊息正負面程度等外生因素以及自我控制、自信程度、風險偏好程度等內生因素共5個構面,建立各因素構面與投資人處置效應之關係與探討投資人在動態展望理論中參考點及曲線的變動,並透過羅吉斯迴歸及麥內瑪檢定來找出內、外生因素影響處置效應發生或不發生的原因與差異。
In the financial markets, the disposition effect plays an important impact on the investment decisions. Thus, many studies have proposed different issues to explore and explain the phenomenon of the disposition effect. In the past, studies on the value function of the prospect theory usually focused on one-shot games, i.e. static situations. However, the nature of the financial markets should not be considered as one-shot games. The curves and reference points of the value function would vary with the previous investment results. Therefore, this study considers different variables, including exogenous variables (such as the market trend and relative strength of the stock) and endogenous variables (such as self-control, the level of self-confidence and the level of the risk preferences). This study also established the correlations between the variables and disposition effect to explore the variation of the reference points and curves of the value function in the inter-temporal prospect theory through logistic regression and McNemar test.
誌謝 i
中文摘要 ii
英文摘要 iii
目錄 iv
表目錄 vi
圖目錄 vii
1.緒論 1
1.1 研究背景與動機 1
1.2 研究目的 2
1.3 章節結構與研究流程 2
1.3.1 章節結構 2
1.3.2 研究流程 2
2.文獻探討 4
2.1 展望理論(prospect theory) 4
2.2 處置效應(disposition effect) 14
2.3 影響處置效應的因素 16
2.3.1 內生因素 16
2.3.2 外生因素 21
3.研究方法與模型 23
3.1 研究方法 23
3.1.1 因素分析 23
3.1.2 羅吉斯迴歸模型 27
3.1.3 麥內瑪檢定 29
3.2 問卷設計 31
3.2.1 問卷尺度及調查方式說明 31
3.2.2 研究模型架構 31
3.3 構面之操作性定義與衡量 33
4.實證結果與分析 38
4.1 內生因素與處置效應關係 38
4.1.1 自我控制與處置效應關係 38
4.1.2 自信程度與處置效應關係 39
4.1.3 風險偏好程度與處置效應關係 40
4.2 內生因素與處置效應之羅吉斯迴歸分析 41
4.2.1 獲利時處置效應與內生因素的差異 41
4.2.2 損失時處置效應與內生因素的差異 41
4.3 外生因素與處置效應之麥內瑪檢定分析 42
5.結論與建議 44
5.1 研究結果與意涵 44
5.2 研究限制 45
5.3 後續研究建議 45
參考文獻 47
附錄一問卷內容 56
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