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題名 投資者對樂透型基金與持有樂透股基金之投資決策及績效
The Investment Decision and the Investment Performance on Lottery-like Funds and Lottery-holding Funds作者 陳俊諺
Chen, Chun-Yen貢獻者 陳鴻毅
Chen, Hong-Yi
陳俊諺
Chen, Chun-Yen關鍵詞 樂透型基金
市場情緒
投資者行為
Lottery-like funds
Market sentiment
Investor behavior日期 2020 上傳時間 1-七月-2020 13:37:22 (UTC+8) 摘要 本研究藉由金融商品的獨特性波動度與獨特性偏態，提出新的指標來衡量金融商品的樂透程度。本研究發現基金投資者會偏好持有樂透型股票的基金而非樂透型基金；但當市場情緒較高時，基金投資者則偏好投資樂透型基金。在獲利能力方面，無論是持股有較高樂透性質的基金亦或是表現出樂透性質的基金皆帶來負報酬。然而在市場情緒高漲時，基金投資者較有能力選出較好之樂透型股票，因此基金投資者所選之持有樂透股的基金有較佳的表現。
In this study, I introduce a new indicator to measure the lottery-like degree of financial products by considering their idiosyncratic volatility and their idiosyncratic skewness. I find that investors tend to buy funds which hold lottery-like stocks, while investors prefer lottery-like funds when the market sentiment is high. In terms of profitability, both funds which hold lottery-like stocks and funds which exhibit lottery traits will experience relatively lower adjusted returns in the next quarter. However, I find that, when the market sentiment is high, investors can only obtain better performance from funds which hold lottery-like stocks, suggesting that investors can select lottery-like stocks better than select lottery-like funds during the high sentiment period.參考文獻 Alldredge, D.M., 2019. Institutional trading, investor sentiment and lottery-like stock preferences. Available at SSRN: https://ssrn.com/abstract=3128588.Baker, M., Wurgler, J., 2006. Investor sentiment and the cross‐section of stock returns. The Journal of Finance, 61(4), 1645-1680.Baker, M., Wurgler, J., 2007. Investor sentiment in the stock market. The Journal of Economic Perspectives, 21(2), 129-152.Baker, S.R., Bloom, N., Davis, S.J., 2016. Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.Bali, T.G., Cakici, N., Whitelaw, R.F., 2011. Maxing out: Stocks as lotteries and the cross-section of expected returns. The Journal of Financial Economics, 99(2), 427-446.Bali, T.G., Brown, S.J., Murray, S., Tang, Y., 2017. A lottery-demand-based explanation of the beta anomaly. The Journal of Financial and Quantitative Analysis, 52(6), 2369-2397.Cremers, M., Ferreira, M.A., Matos, P., Starks, L., 2016. Indexing and active fund management: International evidence. The Journal of Financial Economics, 120(3), 539-560.Kumar, A., 2009. Who gambles in the stock market? The Journal of Finance, 64(4), 1889-1933.Fama, E.F., & French, K.R., 1993. Common risk factors in the returns on stocks and bonds. The Journal of Financial Economics, 33, 3–56.Goldie, B.A., Henry, T.R., Kassa, H., 2019. Does MAX matter for mutual funds? The European Financial Management, 25(4), 777-806. 描述 碩士
國立政治大學
財務管理學系
107357001資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107357001 資料類型 thesis dc.contributor.advisor 陳鴻毅 zh_TW dc.contributor.advisor Chen, Hong-Yi en_US dc.contributor.author (作者) 陳俊諺 zh_TW dc.contributor.author (作者) Chen, Chun-Yen en_US dc.creator (作者) 陳俊諺 zh_TW dc.creator (作者) Chen, Chun-Yen en_US dc.date (日期) 2020 en_US dc.date.accessioned 1-七月-2020 13:37:22 (UTC+8) - dc.date.available 1-七月-2020 13:37:22 (UTC+8) - dc.date.issued (上傳時間) 1-七月-2020 13:37:22 (UTC+8) - dc.identifier (其他 識別碼) G0107357001 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130523 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 107357001 zh_TW dc.description.abstract (摘要) 本研究藉由金融商品的獨特性波動度與獨特性偏態，提出新的指標來衡量金融商品的樂透程度。本研究發現基金投資者會偏好持有樂透型股票的基金而非樂透型基金；但當市場情緒較高時，基金投資者則偏好投資樂透型基金。在獲利能力方面，無論是持股有較高樂透性質的基金亦或是表現出樂透性質的基金皆帶來負報酬。然而在市場情緒高漲時，基金投資者較有能力選出較好之樂透型股票，因此基金投資者所選之持有樂透股的基金有較佳的表現。 zh_TW dc.description.abstract (摘要) In this study, I introduce a new indicator to measure the lottery-like degree of financial products by considering their idiosyncratic volatility and their idiosyncratic skewness. I find that investors tend to buy funds which hold lottery-like stocks, while investors prefer lottery-like funds when the market sentiment is high. In terms of profitability, both funds which hold lottery-like stocks and funds which exhibit lottery traits will experience relatively lower adjusted returns in the next quarter. However, I find that, when the market sentiment is high, investors can only obtain better performance from funds which hold lottery-like stocks, suggesting that investors can select lottery-like stocks better than select lottery-like funds during the high sentiment period. en_US dc.description.tableofcontents 1. Introduction 12. Data and Variable Definitions 32.1 Data 32.2 Variable Definitions 42.2.1 MAX Constructed by IVOL and ISKEW 4A. Stock’s MAX Constructed by Stock’s IVOL and Stock’s ISKEW 4B. Fund’s MAX Constructed by Stock’s MAX 5C. Fund’s MAX Constructed by Fund’s IVOL and Fund’s ISKEW 62.2.2 Control Variables 63. Empirical Results 93.1 Does MAX Change Investor’s Preference for Lottery-like Mutual Funds? 103.2 Does MAX Change Investor’s Preference for Lottery-like Mutual Funds Under Different Market Sentiments? 113.3 Profit from Investing in Lottery-like Mutual Funds 154. Conclusion 20References 22Appendix A. Alternative method to deal with missing value 41 zh_TW dc.format.extent 6887821 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107357001 en_US dc.subject (關鍵詞) 樂透型基金 zh_TW dc.subject (關鍵詞) 市場情緒 zh_TW dc.subject (關鍵詞) 投資者行為 zh_TW dc.subject (關鍵詞) Lottery-like funds en_US dc.subject (關鍵詞) Market sentiment en_US dc.subject (關鍵詞) Investor behavior en_US dc.title (題名) 投資者對樂透型基金與持有樂透股基金之投資決策及績效 zh_TW dc.title (題名) The Investment Decision and the Investment Performance on Lottery-like Funds and Lottery-holding Funds en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Alldredge, D.M., 2019. Institutional trading, investor sentiment and lottery-like stock preferences. Available at SSRN: https://ssrn.com/abstract=3128588.Baker, M., Wurgler, J., 2006. Investor sentiment and the cross‐section of stock returns. The Journal of Finance, 61(4), 1645-1680.Baker, M., Wurgler, J., 2007. Investor sentiment in the stock market. The Journal of Economic Perspectives, 21(2), 129-152.Baker, S.R., Bloom, N., Davis, S.J., 2016. Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.Bali, T.G., Cakici, N., Whitelaw, R.F., 2011. Maxing out: Stocks as lotteries and the cross-section of expected returns. The Journal of Financial Economics, 99(2), 427-446.Bali, T.G., Brown, S.J., Murray, S., Tang, Y., 2017. A lottery-demand-based explanation of the beta anomaly. The Journal of Financial and Quantitative Analysis, 52(6), 2369-2397.Cremers, M., Ferreira, M.A., Matos, P., Starks, L., 2016. Indexing and active fund management: International evidence. The Journal of Financial Economics, 120(3), 539-560.Kumar, A., 2009. Who gambles in the stock market? The Journal of Finance, 64(4), 1889-1933.Fama, E.F., & French, K.R., 1993. Common risk factors in the returns on stocks and bonds. The Journal of Financial Economics, 33, 3–56.Goldie, B.A., Henry, T.R., Kassa, H., 2019. Does MAX matter for mutual funds? The European Financial Management, 25(4), 777-806. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000579 en_US
