| dc.contributor | 國貿系 | |
| dc.creator (作者) | 郭維裕 | |
| dc.date (日期) | 2016-10 | |
| dc.date.accessioned | 7-Apr-2026 13:29:04 (UTC+8) | - |
| dc.date.available | 7-Apr-2026 13:29:04 (UTC+8) | - |
| dc.date.issued (上傳時間) | 7-Apr-2026 13:29:04 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=181965 | - |
| dc.description.abstract (摘要) | 自從 Kahneman and Tversky (1979)提出展望理論挑戰傳統的理性效用期望值理論的論點後，財務學者便開始積極研究各式各樣的人類行為偏誤(behavioural biases)對投資人投資行為以及整個金融市場效率性的影響，至今研究成果相當豐碩，也使得行為財務學漸漸成為一支可與傳統理性資產定價理論分庭抗禮的重要學派。展望理論包含兩個主要成分：價值函數（the value function）與權重函數（the weighting function）。其中價值函數尤其受到財務學者的重視，紛紛研究其對投資人投資決策與行為的影響。價值函數與傳統的效用函數有兩點顯著的不同。一、傳統的效用函數往往建立在期末財富水準上，但價值函數卻假設投資人的效用乃來自於根據某個參考點（the reference point）所計算而得的損益。二、傳統的效用函數透過其凹性（concavity）來表達投資人的風險趨避（risk aversion）特性。惟，展望理論的價值函數卻假設：當投資部位呈現獲利狀態時，投資人會表現出趨避風險的行為；當投資部位處於虧損狀態時，投資人卻會表現出積極承擔風險的行為。換言之，在參考點以上的獲利區間內，價值函數具備與傳統效用函數一樣的凹性；但是，在參考點以下的虧損區間內，價值函數卻是具備與傳統效用函數截然不同的凸性（convexity）。由上述的討論可知，損益參考點對投資人的投資決策與行為具有相當的重要性，也成為近幾年來行為財務學界的重點研究對象之一。 | |
| dc.description.abstract (摘要) | Since Kahneman and Tversky (1979) propose the prospect theory to challenge the substitution axiom of the traditional expected utility hypothesis, the effects of various behavioural biases on investor behaviour and market efficiency have become an important and popular research area in financial economics, leading the behavioural finance to be a significant school of theory as important as the traditional rational asset pricing theory. There are two key components in the prospect theory: the value function and the weighting function. In contrast to the weighting function in the traditional expected utility theory that normally uses the objective probabilities as weights to calculate the expected utility, the weighting function in the prospect theory actually is inferred from choices between prospects much as subjective probabilities that are inferred from preferences in the Ramsey-Savage approach. However, studies on how the weighting function is inferred and affects the investment decisions of investors are relative few in the literature. In this two-year research project we will focus on the influences of the value function, as most studies in the finance literature do, on the investors’ investment decisions and behaviours. There two significant differences between the value function in the prospect theory and the expected utility function in the traditional asset pricing theory. Firstly, the value function in calculated based on the gains and losses relative to a reference point, while the utility function is usually computed according to the investors’ terminal wealth. Secondly, the value function assumes that investors are risk-averse when their positions are in profits and become risk-loving when their positions are in losses, whereas the utility function assumes a concave function to express the general risk-aversion preference of investors. In other words, when the investment positions are in profit, both the value function and the utility function assume that investors are risk-averse with a concave risk preference function. By contrast, when the investors’ positions are in losses, the value function actually assigns a convex function to describe the investors’ attitude toward the risk preference, whereas the traditional utility function still assigns a concave risk preference function to the investors. These differences manifest the importance of the reference point in the investment decisions and behaviours. How the reference point (price) actually affects the investors when they form their investment decisions, leading to investment behaviours different from that inferred from the expected utility theory has therefore become a popular and an important research area in the behavioural finance. | |
| dc.format.extent | 116 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部, MOST103-2410-H004-077-MY2, 103.08-105.07 | |
| dc.subject (關鍵詞) | 52週最高點與最低點; 共動性; 資產定價 | |
| dc.subject (關鍵詞) | 52-Week Highs and Lows; Comovement; Asset Pricing | |
| dc.title (題名) | 國際股票市場之52週最高點與最低點之共動性與資產定價實證分析 | |
| dc.title (題名) | Co-Movement and Asset Pricing of 52-Week Highs and Lows: An International Empirical Analysis | |
| dc.type (資料類型) | report | |
