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題名 前期損益對投資人風險行為的影響
The effects of prior gains and losses on investors` risk taking behavior作者 陳怡君 貢獻者 周行一
陳怡君關鍵詞 行為財務學
風險行為
behavioral finance
risk taking behavior日期 2010 上傳時間 9-May-2016 16:25:57 (UTC+8) 摘要 Studies showed that prior outcomes do influence current decisions while we are interested in how prior performance affects individual investors’ risk taking behavior. Tracking 2,947 individual investors’ transaction in Taiwan Top50 Tracker Fund from June 2003 till December 2006, our empirical results indicate both the former risk taking and prior profits have significant influences on individual investors’ later risk taking behavior. We find a positive relation between later risk taking and prior gains but a negative relation between later risk taking and prior losses. Furthermore, according to the amount of prior gains and losses, we find those who experience large sum of gains or losses take far higher risks than those who have modest prior gains or losses. 參考文獻 Allais, M. (1953). Le Comportement de l`Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l`Ecole Americaine. Econometrica, 21(4), 503-546. Arkes, H. R., & Blumer, C. (1985). The psychology of sunk cost. [doi: DOI: 10.1016/0749-5978(85)90049-4]. Organizational Behavior and Human Decision Processes, 35(1), 124-140. Barber, B. M., Lee, Y.-T., Liu, Y.-J., & Odean, T. (2007). Is the Aggregate Investor Reluctant to Realise Losses? Evidence from Taiwan. [Article]. European Financial Management, 13(3), 423-447. Bernoulli, D. (1954). Exposition of a New Theory on the Measurement of Risk. Econometrica, 22(1), 23-36. Coval, J. D., & Shumway, T. (2005). Do Behavioral Biases Affect Prices? The Journal of Finance, 60(1), 1-34. Feng, L., & Seasholes, M. (2005). Do Investor Sophistication and Trading Experience Eliminate Behavioral Biases in Financial Markets? [Article]. Review of Finance, 9(3), 305-351. Garvey, R., Murphy, A., & Wu, F. (2007). Do Losses Linger? Journal of Portfolio Management, 33(4), 75-83. Kahneman, D., & Tversky, A. (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47(2), 263-291. Neumann, J. V., & Morgenstern, O. (1947). Theory of games and economic behavior Princeton, N.J. : Princeton University Press. Odean, T. (1998). Are Investors Reluctant to Realize Their Losses? The Journal of Finance, 53(5), 1775-1798. Powell, M., & Ansic, D. (1997). Gender differences in risk behaviour in financial decision-making: An experimental analysis. [doi: DOI: 10.1016/S0167-4870(97)00026-3]. Journal of Economic Psychology, 18(6), 605-628. Shefrin, H., & Statman, M. (1985). The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence. The Journal of Finance, 40(3), 777-790. Shu, P.-G., Yeh, Y.-H., Chiu, S.-B., & Chen, H.-C. (2005). Are Taiwanese individual investors reluctant to realize their losses? [doi: DOI: 10.1016/j.pacfin.2004.08.001]. Pacific-Basin Finance Journal, 13(2), 201-223. Slovic, P. (1972). Psychological Study of Human Judgment: Implications for Investment Decision Making. The Journal of Finance, 27(4), 779-799. Staw, B. M. (1976). Knee-deep in the big muddy: a study of escalating commitment to a chosen course of action. [doi: DOI: 10.1016/0030-5073(76)90005-2]. Organizational Behavior and Human Performance, 16(1), 27-44. Staw, B. M. (1981). The Escalation of Commitment to a Course of Action. The Academy of Management Review, 6(4), 577-587. Thaler, R. (1980). Toward a positive theory of consumer choice. [doi: DOI: 10.1016/0167-2681(80)90051-7]. Journal of Economic Behavior & Organization, 1(1), 39-60. Thaler, R. H. (1985). Mental Accounting and Consumer Choice. Marketing Science, 4(3), 199-214. Thaler, R. H. (1999). Mental Accounting Matters. Journal of Behavioral Decisional Making, 12(3), 183-206. Thaler, R. H., & Johnson, E. J. (1990). Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice. Management Science, 36(6), 643-660. Tversky, A., & Kahneman, D. (1981). The Framing of Decisions and the Psychology of Choice. Science, 211, 453-458. Tversky, A., & Kahneman, D. (1986). Rational Choice and the Framing of Decisions. The Journal of Business, 59(4), S251-S278. Weber, M., & Camerer, C. F. (1998). The disposition effect in securities trading: an experimental analysis. [doi: DOI: 10.1016/S0167-2681(97)00089-9]. Journal of Economic Behavior & Organization, 33(2), 167-184. 描述 碩士
國立政治大學
財務管理研究所
96357017資料來源 http://thesis.lib.nccu.edu.tw/record/#G0096357017 資料類型 thesis dc.contributor.advisor 周行一 zh_TW dc.contributor.author (Authors) 陳怡君 zh_TW dc.creator (作者) 陳怡君 zh_TW dc.date (日期) 2010 en_US dc.date.accessioned 9-May-2016 16:25:57 (UTC+8) - dc.date.available 9-May-2016 16:25:57 (UTC+8) - dc.date.issued (上傳時間) 9-May-2016 16:25:57 (UTC+8) - dc.identifier (Other Identifiers) G0096357017 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/95524 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 96357017 zh_TW dc.description.abstract (摘要) Studies showed that prior outcomes do influence current decisions while we are interested in how prior performance affects individual investors’ risk taking behavior. Tracking 2,947 individual investors’ transaction in Taiwan Top50 Tracker Fund from June 2003 till December 2006, our empirical results indicate both the former risk taking and prior profits have significant influences on individual investors’ later risk taking behavior. We find a positive relation between later risk taking and prior gains but a negative relation between later risk taking and prior losses. Furthermore, according to the amount of prior gains and losses, we find those who experience large sum of gains or losses take far higher risks than those who have modest prior gains or losses. zh_TW dc.description.tableofcontents CHAPTER 1 INTRODUCTION...............................1 CHAPTER 2 LITERATURE REVIEW..........................5 2.1 THEORIES OF DECISION MAKING UNDER RISK.....5 2.2 FRAMING AND MENTAL ACCOUNTING..............6 2.3 INFLUENCES OF PRIOR OUTCOMES...............8 CHAPTER 3 DATA AND METHODOLOGY......................11 3.1 DATA......................................11 3.2 METHODOLOGY...............................12 CHAPTER 4 EMPIRICAL RESULT..........................15 4.1 SUMMARY STATISTICS........................15 4.2 REGRESSION RESULTS........................17 4.3 SORTING...................................18 CHAPTER 5 CONCLUSION................................20 REFERENCES...........................................22 TABLES...............................................24 FUGURES..............................................30 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0096357017 en_US dc.subject (關鍵詞) 行為財務學 zh_TW dc.subject (關鍵詞) 風險行為 zh_TW dc.subject (關鍵詞) behavioral finance en_US dc.subject (關鍵詞) risk taking behavior en_US dc.title (題名) 前期損益對投資人風險行為的影響 zh_TW dc.title (題名) The effects of prior gains and losses on investors` risk taking behavior en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Allais, M. (1953). Le Comportement de l`Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l`Ecole Americaine. Econometrica, 21(4), 503-546. Arkes, H. R., & Blumer, C. (1985). The psychology of sunk cost. [doi: DOI: 10.1016/0749-5978(85)90049-4]. Organizational Behavior and Human Decision Processes, 35(1), 124-140. Barber, B. M., Lee, Y.-T., Liu, Y.-J., & Odean, T. (2007). Is the Aggregate Investor Reluctant to Realise Losses? Evidence from Taiwan. [Article]. European Financial Management, 13(3), 423-447. Bernoulli, D. (1954). Exposition of a New Theory on the Measurement of Risk. Econometrica, 22(1), 23-36. Coval, J. D., & Shumway, T. (2005). Do Behavioral Biases Affect Prices? The Journal of Finance, 60(1), 1-34. Feng, L., & Seasholes, M. (2005). Do Investor Sophistication and Trading Experience Eliminate Behavioral Biases in Financial Markets? [Article]. Review of Finance, 9(3), 305-351. Garvey, R., Murphy, A., & Wu, F. (2007). Do Losses Linger? Journal of Portfolio Management, 33(4), 75-83. Kahneman, D., & Tversky, A. (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47(2), 263-291. Neumann, J. V., & Morgenstern, O. (1947). Theory of games and economic behavior Princeton, N.J. : Princeton University Press. Odean, T. (1998). Are Investors Reluctant to Realize Their Losses? The Journal of Finance, 53(5), 1775-1798. Powell, M., & Ansic, D. (1997). Gender differences in risk behaviour in financial decision-making: An experimental analysis. [doi: DOI: 10.1016/S0167-4870(97)00026-3]. Journal of Economic Psychology, 18(6), 605-628. Shefrin, H., & Statman, M. (1985). The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence. The Journal of Finance, 40(3), 777-790. Shu, P.-G., Yeh, Y.-H., Chiu, S.-B., & Chen, H.-C. (2005). Are Taiwanese individual investors reluctant to realize their losses? [doi: DOI: 10.1016/j.pacfin.2004.08.001]. Pacific-Basin Finance Journal, 13(2), 201-223. Slovic, P. (1972). Psychological Study of Human Judgment: Implications for Investment Decision Making. The Journal of Finance, 27(4), 779-799. Staw, B. M. (1976). Knee-deep in the big muddy: a study of escalating commitment to a chosen course of action. [doi: DOI: 10.1016/0030-5073(76)90005-2]. Organizational Behavior and Human Performance, 16(1), 27-44. Staw, B. M. (1981). The Escalation of Commitment to a Course of Action. The Academy of Management Review, 6(4), 577-587. Thaler, R. (1980). Toward a positive theory of consumer choice. [doi: DOI: 10.1016/0167-2681(80)90051-7]. Journal of Economic Behavior & Organization, 1(1), 39-60. Thaler, R. H. (1985). Mental Accounting and Consumer Choice. Marketing Science, 4(3), 199-214. Thaler, R. H. (1999). Mental Accounting Matters. Journal of Behavioral Decisional Making, 12(3), 183-206. Thaler, R. H., & Johnson, E. J. (1990). Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice. Management Science, 36(6), 643-660. Tversky, A., & Kahneman, D. (1981). The Framing of Decisions and the Psychology of Choice. Science, 211, 453-458. Tversky, A., & Kahneman, D. (1986). Rational Choice and the Framing of Decisions. The Journal of Business, 59(4), S251-S278. Weber, M., & Camerer, C. F. (1998). The disposition effect in securities trading: an experimental analysis. [doi: DOI: 10.1016/S0167-2681(97)00089-9]. Journal of Economic Behavior & Organization, 33(2), 167-184. zh_TW
