Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/31183
DC Field | Value | Language |
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dc.contributor.advisor | 沈中華 | zh_TW |
dc.contributor.author | 吳俊諺 | zh_TW |
dc.creator | 吳俊諺 | zh_TW |
dc.date | 2006 | en_US |
dc.date.accessioned | 2009-09-14T01:29:29Z | - |
dc.date.available | 2009-09-14T01:29:29Z | - |
dc.date.issued | 2009-09-14T01:29:29Z | - |
dc.identifier | G0094352013 | en_US |
dc.identifier.uri | https://nccur.lib.nccu.edu.tw/handle/140.119/31183 | - |
dc.description | 碩士 | zh_TW |
dc.description | 國立政治大學 | zh_TW |
dc.description | 金融研究所 | zh_TW |
dc.description | 94352013 | zh_TW |
dc.description | 95 | zh_TW |
dc.description.abstract | 本文探討基金投資人的投資行為是否存在處分效果(disposition effect),以台灣開放式股票型基金來作檢定,研究資料期間從2001年7月至2006年7月,與以往研究文獻不同之處,本研究將基金區分為高、低風險兩類,再分別去檢驗投資人在不同風險下,其投資行為是否會有所差異。\r\n本文採用變數門檻模型(threshold model in variable),主要研究變數有研究變數為基金流入( )、基金流出( )、基金原始月報酬率( )、基金原始風險( )、基金市場調整後月報酬率( )、基金市場調整後風險( )、基金規模( )、基金月週轉率( )、基金經理費用率( )、其他項費用率( )共十個變數,每個變數分別有7503筆資料。\r\n本研究發現,基金投資人在高風險下,其處分效果相當明顯,即投資人會急售獲利或是加碼績效佳的基金,但對於績效差的基金卻延遲贖回;而投資人在低風險下,其處分效果就變得不明顯。\r\n此外,投資人在高風險下,對於基金規模大小以及基金費用率的高低會比較敏感,即在高風險下,投資人不偏好申購規模較大的基金及費用率較高的基金。 | zh_TW |
dc.description.tableofcontents | 第一章 緒論…………………………………………………5\r\n第一節 研究背景…………………………………………………5\r\n第二節 研究動機與目的…………………………………………7\r\n第三節 研究流程…………………………………………………9\r\n第四節 論文架構…………………………………………………10\r\n第二章 文獻回顧…………………………………………….11\r\n第一節 處分效果相關介紹……………………………………….11\r\n第二節 實證文獻探討…………………………………………….14\r\n第三章 實證模型與資料說明………………………………19\r\n第一節 變數門檻模型…………………………………………….19\r\n第二節 實證模型建立…………………………………………….22\r\n第三節 變數定義與說明………………………………………….24\r\n第四節 資料來源與敘述性統計………………………………….28\r\n第四章 實證結果與分析…………………………………….31\r\n第五章 結論………………………………………………….45\r\n參考文獻……………………………………………………...46 | zh_TW |
dc.language.iso | en_US | - |
dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#G0094352013 | en_US |
dc.subject | 處分效果 | zh_TW |
dc.subject | disposition effect | en_US |
dc.title | 不同風險水準下基金處分效果的探討--Panel Threshold Model的應用 | zh_TW |
dc.type | thesis | en |
dc.relation.reference | 英文文獻 | zh_TW |
dc.relation.reference | Chevalier, J. and G. Ellison (1997), “Risk taking by mutual funds as a response incentives,” Journal of Political Economy, Vol. 105, 1167-1200. | zh_TW |
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dc.relation.reference | Harris, L. (1988), “Discussion of predicting contemporary volume with historic volume at differential price levels: Evidence supporting the disposition effect,” Journal of Finance, Vol. 43, 698-699. | zh_TW |
dc.relation.reference | Hansen, B.E. (1999), “Threshold effects in non-dynamic panels: Estimation , testing, and inference,” Journal of Econometrics 93, 345-368. | zh_TW |
dc.relation.reference | Ippolito, R. A. (1992), “Consumer reaction to measures of poor quality: Evidence from the mutual fund industry,” Journal of Law and Economics, Vol. 35, 45-70. | zh_TW |
dc.relation.reference | Kaustia, M. (2004), “Market-wide impact of the disposition effect: Evidence from IPO trading volume,” Journal of Financial Markets, Vol. 7, 207-235. | zh_TW |
dc.relation.reference | Lakonishok, J. and S. Smidt (1986), “Volume for winners and losers: Taxation and other motives for stock trading,” Journal of Finance,Vol. 41, 951–974. | zh_TW |
dc.relation.reference | Odean, T. (1998), “Are investors reluctant to realize their losses?” Journal of Finance, Vol. 53, 1775-1798. | zh_TW |
dc.relation.reference | Shefrin,H.and Statman,M.(1985), “The Disposition to Sell Winners Too Early and Ride Losers Too Long:Theory and Evidence”,The Journal of Finance.Vol.40,777-190 | zh_TW |
dc.relation.reference | Sirri E.R. and P. Tufano (1998), “Costly search and Mutual Fund Flows,” Journal of Finance, Vol. 53, 1589 -1622. | zh_TW |
dc.relation.reference | Sinha, R. and V. Jog (2005), “Fund flows and performance: A study of Canadian equity funds,” Working paper, University of Windsor, Canada. | zh_TW |
dc.relation.reference | Weber, M. and C. F. Camerer (1998), “The disposition effect in securities trading: An experimental analysis,” Journal of Economic Behavior and Organization, Vol. 33, 167-184. | zh_TW |
dc.relation.reference | Wermers R. (1999), “Mutual Fund Herding and the Impact on Stock Prices,” The Journal of Finance, Vol. 54, 581-622. | zh_TW |
dc.relation.reference | 中文文獻 | zh_TW |
dc.relation.reference | 白芳苹 (2002),「基金投資人之錯置效果-台灣地區實證研究」,未出版碩士論文,國立台灣大學財務金融研究所。 | zh_TW |
dc.relation.reference | 李建興、沈中華與彭琪祿 (2005),「基金投資人錯置效果之再檢定:以台灣開放式股票型基金為例」,《證券市場發展季刊》審稿中。 | zh_TW |
dc.relation.reference | 林秋雲 (2002),「股票投資人錯置效果之研究」,未出版碩士論文,輔仁大學應用統計學研究所。 | zh_TW |
dc.relation.reference | 許祐瑞 (2002),「台灣股市散戶與三大法人處分效果之研究」,未出版碩士論文,高雄第一科技大學金融營運研究所。 | zh_TW |
dc.relation.reference | 許光華與林秉瑋 (2003),「台灣股市散戶投資人處分效果之實證研究」,未出版碩士論文,朝陽科技大學財務金融研究所。 | zh_TW |
dc.relation.reference | 黃國鳴 (2006),「不同風險程度下基金投資人錯置效果之檢定:以台灣開放式股票型基金為例」,未出版碩士論文,義守大學財務金融研究所。 | zh_TW |
dc.relation.reference | 彭琪祿 (2005),「台灣開放式股票型基金投資人行為之研究」,未出版碩士論文,義守大學財務金融研究所。 | zh_TW |
dc.relation.reference | 顏信輝與張孟婷 (2005),「投資決策處置效應之實驗證據:市場走勢與風險態度之影響」,世新大學2005年行為財務學理論與實證研討會論文,台北。 | zh_TW |
item.openairetype | thesis | - |
item.grantfulltext | open | - |
item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
item.languageiso639-1 | en_US | - |
item.cerifentitytype | Publications | - |
item.fulltext | With Fulltext | - |
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