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題名 混合利得與混合損失對處分效果的影響
Mixed Gain and Mixed Loss affects the Disposition Effect
作者 劉淑華
貢獻者 周冠男
劉淑華
關鍵詞 展望理論
處分效果
快樂編輯理論
日期 2016
上傳時間 1-Sep-2016 23:44:47 (UTC+8)
摘要 We try to provide reasonable explanations for the equity premium puzzle by the mental account, prospect theory, disposition effect and hedonic editing. This study examine how do investor trade in relation to their holding portfolio gains and losses? The empirical evidence suggests that investor are more likely to segregated gains and integrated losses, in accordance with disposition effect and hedonic edition. In other words, investor are more likely to longer holding losing trade than winning trade, because selling at losing trades would cause great suffering. We find that investor tend to longer holding mixed gains than mixed big losses. In face of mixed big losses, they are relatively rational, inconsistent disposition effect. Our empirical find that highest wealth level‘s traders and experienced traders suffer loss, they are relatively rational.
參考文獻 Barber, M., Y. T. Lee, Y. J. Liu, T. Odean, 2007, Is the Aggregate Investor Reluctant to Realize Losses? Evidence from Taiwan. European Financial Management 13 (3): 423-447.
Barberis, N., W. Xiong, 2009, What Drive the Disposition Effect? An Analysis of Long-Standing Preference-Based Explanation. Journal of Finance 64 (2): 751-784.
Ben-David, I., and D. Hirshleifer, 2012, Are Investors Really Reluctant to Realize Their Losses? Trading Responses to Past Returns and the Disposition Effect. Review of Financial Studies 25 (8): 2485-2532.
Coval, J. D., T. Shumway, 2005, Do Behavioral Biases Affect Prices? Journal of Finance 60(1): 1-34.
Dhar, R., N. Zhu, 2006, Up Close and Personal: An Individual Level Analysis of the Disposition Effect. Management Science 52 (5): 726-740.
Genesove, D., C. Mayer, 2001, Nominal Loss Aversion and Seller Behavior: Evidence from the Housing Market. Quarterly Journal of Economics 116 (4): 1233-1260.
Haigh, M., J. List, 2005, Do Professional Traders Exhibit Myopic Loss Aversion? An Experimental Analysis. Journal of Finance 9 (1): 523-535.
Heath, C., H. Steven, L. Mark, 1999, Paychological Factors and Stock Option Expenditure. Quarterly Journal of Economics 114 (2):601-627.
Kahneman, D., A. Tversky, 1979, Prospect theory: An Analysis of Decision Making under Risk. Econometric 47 (2): 263-291.
Lim, S. S., 2006, Do Investors Integrate Losses and Segregate Gains? Mental Accounting and investor Trading Decision. Journal of Business 79 (5): 2539-2573.
Liu, Y. J., C. K. Tsai, M.C. Wang, and N. Zhu, 2010, Prior Consequences and Subsequent Risk Taking: New Field Evidence from then Taiwan Futures Exchange. Management Science 56 (4): 606-620.
O’Connell, P., M. Teo, 2009, Institutional Investors, Past Performance, and Dynamic Loss Aversion. Journal of Finacial and Quantitative Analysis 44 (1):155-188.
Odean, T., 1998, Are Investors Reluctant to Realized Their Losses? Journal of Finance 53 (5): 1775-1798.
Odean, T., 1999, Do investors Trade too Much? American Economic Review 89 (5):1279-1298.
Shefrin, H., and M. Statman, 1985, The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence. Journal of Finance 40 (3): 777-790.
Thaler, R. H., 1985 Mental Accounting and Consumer Choice. Marketing Science 4 (3): 199-214.
Thaler, R. H. and Johnson E. J., 1990, Gambling with then House Money and Trying to Break Even: Then Effects of Prior Outcomes on Risky Choice. Management Science 36 (6): 643-660.
描述 博士
國立政治大學
財務管理研究所
97357505
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0973575051
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.author (Authors) 劉淑華zh_TW
dc.creator (作者) 劉淑華zh_TW
dc.date (日期) 2016en_US
dc.date.accessioned 1-Sep-2016 23:44:47 (UTC+8)-
dc.date.available 1-Sep-2016 23:44:47 (UTC+8)-
dc.date.issued (上傳時間) 1-Sep-2016 23:44:47 (UTC+8)-
dc.identifier (Other Identifiers) G0973575051en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/101073-
dc.description (描述) 博士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) 97357505zh_TW
dc.description.abstract (摘要) We try to provide reasonable explanations for the equity premium puzzle by the mental account, prospect theory, disposition effect and hedonic editing. This study examine how do investor trade in relation to their holding portfolio gains and losses? The empirical evidence suggests that investor are more likely to segregated gains and integrated losses, in accordance with disposition effect and hedonic edition. In other words, investor are more likely to longer holding losing trade than winning trade, because selling at losing trades would cause great suffering. We find that investor tend to longer holding mixed gains than mixed big losses. In face of mixed big losses, they are relatively rational, inconsistent disposition effect. Our empirical find that highest wealth level‘s traders and experienced traders suffer loss, they are relatively rational.en_US
dc.description.tableofcontents Introduction...........................................1
Literature Review......................................4
Data and Methodology...................................8
Empirical Results.....................................13
Robust Test...........................................19
Conclusion............................................21
Reference.............................................22		zh_TW
dc.format.extent 696835 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0973575051en_US
dc.subject (關鍵詞) 展望理論zh_TW
dc.subject (關鍵詞) 處分效果zh_TW
dc.subject (關鍵詞) 快樂編輯理論zh_TW
dc.title (題名) 混合利得與混合損失對處分效果的影響zh_TW
dc.title (題名) Mixed Gain and Mixed Loss affects the Disposition Effecten_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Barber, M., Y. T. Lee, Y. J. Liu, T. Odean, 2007, Is the Aggregate Investor Reluctant to Realize Losses? Evidence from Taiwan. European Financial Management 13 (3): 423-447.
Barberis, N., W. Xiong, 2009, What Drive the Disposition Effect? An Analysis of Long-Standing Preference-Based Explanation. Journal of Finance 64 (2): 751-784.
Ben-David, I., and D. Hirshleifer, 2012, Are Investors Really Reluctant to Realize Their Losses? Trading Responses to Past Returns and the Disposition Effect. Review of Financial Studies 25 (8): 2485-2532.
Coval, J. D., T. Shumway, 2005, Do Behavioral Biases Affect Prices? Journal of Finance 60(1): 1-34.
Dhar, R., N. Zhu, 2006, Up Close and Personal: An Individual Level Analysis of the Disposition Effect. Management Science 52 (5): 726-740.
Genesove, D., C. Mayer, 2001, Nominal Loss Aversion and Seller Behavior: Evidence from the Housing Market. Quarterly Journal of Economics 116 (4): 1233-1260.
Haigh, M., J. List, 2005, Do Professional Traders Exhibit Myopic Loss Aversion? An Experimental Analysis. Journal of Finance 9 (1): 523-535.
Heath, C., H. Steven, L. Mark, 1999, Paychological Factors and Stock Option Expenditure. Quarterly Journal of Economics 114 (2):601-627.
Kahneman, D., A. Tversky, 1979, Prospect theory: An Analysis of Decision Making under Risk. Econometric 47 (2): 263-291.
Lim, S. S., 2006, Do Investors Integrate Losses and Segregate Gains? Mental Accounting and investor Trading Decision. Journal of Business 79 (5): 2539-2573.
Liu, Y. J., C. K. Tsai, M.C. Wang, and N. Zhu, 2010, Prior Consequences and Subsequent Risk Taking: New Field Evidence from then Taiwan Futures Exchange. Management Science 56 (4): 606-620.
O’Connell, P., M. Teo, 2009, Institutional Investors, Past Performance, and Dynamic Loss Aversion. Journal of Finacial and Quantitative Analysis 44 (1):155-188.
Odean, T., 1998, Are Investors Reluctant to Realized Their Losses? Journal of Finance 53 (5): 1775-1798.
Odean, T., 1999, Do investors Trade too Much? American Economic Review 89 (5):1279-1298.
Shefrin, H., and M. Statman, 1985, The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence. Journal of Finance 40 (3): 777-790.
Thaler, R. H., 1985 Mental Accounting and Consumer Choice. Marketing Science 4 (3): 199-214.
Thaler, R. H. and Johnson E. J., 1990, Gambling with then House Money and Trying to Break Even: Then Effects of Prior Outcomes on Risky Choice. Management Science 36 (6): 643-660.		zh_TW