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題名 行為財務基金在台灣的可行性研究
The feasibility of behavioral finance mutual fund in Taiwan作者 湯晉維
Tang, Chin Wei貢獻者 周冠男
Chou, Robin K
湯晉維
Tang, Chin Wei關鍵詞 行為財務學
Behavioral Finance日期 2011 上傳時間 24-Oct-2012 16:11:14 (UTC+8) 摘要 效率市場一直是傳統財務理論的核心，然而現實的投資環境中卻一再發現傳統財務學無法解釋的不效率現象，例如小公司效應（small firm effect）、本益比效應（price/earnings effect）、面值市值比效應（book value/market value effect）、元月效應（January effect）、週末效應（weekend effect）等。行為財務學認為投資人的行為偏誤是造成市場不效率的原因之一，而這些偏誤是會一再重複而有機可循的，因此發展出動能策略（momentum strategy）、反向策略（contrarian strategy）等，藉由研究投資人的行為對股票市場進行預測並投資。台灣市場一直是散戶居多，而且又是屬於淺碟型的小市場，理論上投資人的行為偏誤將會更加顯著，也意味著行為財務學將有更多的發展空間，雖然行為財務學的理論已經被廣泛的實證研究，但是因為投資人的行為往往會因為不同地域、不同情境、不同時空等因素而有所差別，鑒於目前台灣市場尚未有相關的投資方式，因此希望藉由本研究促進國內產學界更深入探討行為財務學在投資方面的應用，進而促使台灣投資市場的更加效率。
Efficient market has been the core of traditional financial theory. However, in real world, unexplainable phenomenon of inefficiency has been discovered, e.g., small firm effect, price/earnings effect, book value/market value effect, January effect, weekend effect, etc. According to behavioral finance, investors’ behavior biases are one of the main causes, and these biases will repeat themselves. Therefore, momentum strategy and contrarian strategy are performed in investment to try to forecast the market.Taiwan stock market is small and has been full of undisciplined individual investors. Theoretically, investors’ behavior biases are more easily to find, which means behavioral finance should apply better in Taiwan. Although the theory of behavioral finance has been widely testified, the outcomes are always different from areas, scenarios, times etc. Considered that, behavioral finance has not been applied in Taiwan stock market. This study focuses on application of behavioral finance in Taiwan. Hope that through this study to promote domestic industry and academy to deeply explore the application of behavioral finance in investment, thereby promoting more efficiency of the investment market in Taiwan.參考文獻 一、中文部分1.史凱琳，「過度反應假說在台灣股票市場之實證研究」，中央大學企業管理研究所未出版碩士論文，20002.佚名，「主題式基金的發展現況與未來展望」，金融研訓院：財務金融個案四，20093.李香瑩，「散戶交易行為與投資績效」，輔仁大學金融研究所碩士論文，20024.林美珍，「股票價格過度反應之方向、幅度與密度」，台灣大學財務金融研究碩士論文，19925.邱俞華，「中長期動能策略之研究：以台灣股市為例」，政治大學財務管理研究所碩士論文，20066.吳珍萍，「醫學及健康護理股票基金績效及持續性之研究」，國立交通大學管理學院碩士在職專班論文，20087.洪胤傑，「台灣股票市場個股與產業動量投資策略之實證研究」，政治大學企業管理研究所碩士論文，20008.陳虹霖，「國內共同基金投資人過度自信行為之研究」，台灣大學財務金融研究所碩士論文，20029.許良榮，「國內主題式基金績效實證研究」，國立台灣大學管理學院碩士在職專班財務金融組，201010.許勝吉，「台灣股市追漲殺跌策略與反向策略之實證分析比較」，輔仁大學管理研究所碩士論文，199911.陳正佑，「台股動量策略與反向策略投資績效之研究」，中山大學財務管理研究所博士論文，200212.陳正榮，「以濾嘴法則檢驗台灣股票市場弱式效率性之研究」，高雄第一科技大學財務管理系碩士論文，200113.陳光華，「台灣股市動能生命週期之再探討」，銘傳大學金融研究所碩士論文，200014.費文尚，「石油價格與金、銀、藍、綠基金之相關性分析」，淡江大學企業管理學系碩士論文，200815.游奕琪，「台灣股市產業與價格動能策略關聯性之實證研究」，政治大學財務管理研究所碩士論文，200016.楊朝成、陳勝源，「投資學」，華泰文化，200617.詹家昌，「臺灣股市過度反應之實證研究」，東海大學企業管理研究所碩士論文，199118.劉秉龍，「成長型與價值型投資策略之實證分析-以台灣股票市場為例」，靜宜大學企業管理研究所碩士學位論文，200219.蔡尚儒，「台灣店頭市場技術分析的實證研究」，中正大學財務金融研究所碩士論文，200020.蔣東益，「海外黃金基金與高科技基金國際投資組合之投資績效分析」，大葉大學管理學院碩士在職專班論文，2009 二、外文部分1.Barber, Brad M., and Lee, Yi-Tsung, and Liu, Yu-Jane, and Odean, Terrance, “Just how much do individual investors lose by trading,” The review of financial studies, vol. 22, no. 2, 20092.Barber, Brad M., and Odean, Terrance, “Trading is hazardous to your wealth: The common stock investment performance of individual investors,” The Journal of Finance, vol. 55, no. 2, pp. 773-805, 20003.Barber, Brad M., and Odean, Terrance, “Boys will be boys: Gender, overconfidence, and common stock investment,” The quarterly Journal of Economics, vol. 116, no. 1, pp. 261-292, 20014.Barberis, Nicholas and Huang, Ming and Santos, Tano, “Prospect theory and asset prices,” NBER Working Paper, No. 7220, 19995.Benou, Georgina and Richie, Nivine, “The reversal of large stock price declines: The case of large firms,” Journal of Economics and Finance, vol. 27, no. 1, Spring 20036.Brown, Stephen J. and Goetzmann, William N., “Performance persistence,” Journal of Finance, vol. 50, pp. 679~698, 19957.Chan, Louis K. C. and Jegadeesh, Narasimhan and Lakonishok, Josef, “Momentum strategies,” The Journal of Finance, vol. 51, no. 5, pp. 1681~1713, 19968.Chopra, N., Lakonishok, J. and Ritter, J. R., “Measuring abnormal performance: Do stocks overreact?” Journal of Financial Economics, vol. 31, pp. 235~268, 19929.Coutts, J. A. and Cheung, K. C., "Trading rules and stock returns: Some preliminary short run evidence from the Hang Seng 1985-1997," Applied Financial Economics, vol. 10, pp. 579~586, 200010.Conrad, Jennifer and Kaul, Gautam, "An anatomy of trading strategies," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 11(3), pp. 489~519, 199811.Daniel, Kent and Hirshleifer, David and Subrahmanyam, Avanidhar, "Investor psychology and security market under- and overreactions," The Journal of Finance, vol. 53(6), pp. 1839~1885, 199812.Daniel, Kent and Titman, Sheridan, “Market efficiency in an irrational world,” Financial Analysts’ Journal, vol. 55(6), pp. 28~40, 199913.De Bondt, Werner F. M. and Thaler, Richard, “Does the stock market overreact,” The Journal of Finance, vol. 40, pp. 795~805, 198514.De Bondt, Werner F.M. and Thaler, Richard, “Further evidence on investor overreaction and stock market seasonality,” The Journal of Finance, vol. 42, no. 3, pp. 557~581, 198715.Elton, Edwin J. and Gruber, Martin J. and Blake, Christopher R., “The persistence of risk-adjusted mutual fund performance,” Journal of Business, vol.69, pp. 133~157, 199616.Fama, E. F., “Efficient capital markets: A review of theory and empirical work,” Journal of Finance, vol. 25, pp. 383~417, 197017.Fama, E. F. and Blume, M. E., “Filter rules and stock market trading,” Journal of Business, vol. 39, pp. 226~241, 196618.Festinger, L., “A Theory of Cognitive Dissonance, Stanford,” CA, Stanford University Press, 195719.Goetzmann, W. N. and Peles, N., “Cognitive dissonance and mutual fund investors,” reproduce, Yale School of Management, 199320.Grether, David M, "Bayes rule as a descriptive model: “The representativeness heuristic," The Quarterly Journal of Economics, MIT Press, vol. 95(3), pp. 537~557, November, 198021.Gunasekarage, A. and Power, D.M., “The profitability of moving average trading rules in South Asian stock markets,” Emerging Markets Review, vol. 2 (1), pp. 17~33, 200122.Hendricks, Darryll and Patel, Jayendu and Zeckhauser, Richard, “Hot hands in mutual funds: Short-run persistence of relative performance, 1974-1988,” Journal of Finance, vol. 48, 199323.Hsu, P. H. and Kuan, C. M., “Reexamining the profitability of technical analysis with data snooping checks,” Journal of Financial Econometrics, vol. 3(4), pp. 606~628, 200524.Jegadeesh, Narasimhan and Titman, Sheridan, “Returns to buying winners and selling losers: Implications for stock market efficiency,” Journal of Finance, vol. 48, pp. 65~91, 1993 25.Jensen, M.J., “The performance of mutual fund in the period 1945~1964,” Journal of Finance, vol. 23(2), pp. 389~416, 196826.Jensen, M.J. and Bennington, G., “Random walks and technical theories: Some additional evidence,” Journal of Finance, vol. 25, pp. 469~482, 197027.Kahneman ,Daniel and Riepe, Mark W.,“Aspects of investor psychology,” Journal of Portfolio Management (summer), pp.52~65, 199828.Kahneman, Daniel and Tversky, Amos, “Prospect theory: An analysis of decision under risk,” Econometrica, vol.47 no. 2(March), pp. 263~91, 197929.Kahneman, Daniel and Tversky, Amos, “Judgment under uncertainty: heuristics and biases,” New York, Cambridge University Press, 198230.Lakonishok, Josef and Shleifer, Andrei and Vishny, Robert W., “Contrarian investment, extrapolation and risk,” The Journal of Finance, vol. 49, no.5, pp. 1541~1578, 199431.Malkiel, Burton G., “Rerturns from investing in equity mutual funds 1971 to 1991,” Journal of Finance, vol. 50, pp. 549~572, 199532.Marshall, B.R. and Young, M.R. and Rose, L.C., “Candlestick technical trading strategies: Can they create value for investors,” Journal of Banking & Finance, vol. 30, pp. 2303~2323, 200633.Nofsinger, John R, “The Psychology of Investing,” New Jersey, Prentice Hall, 200234.Pettengill, Glenn N. and Jordan, Bradford D., “The overreaction hypothesis, firm size, and stock market seasonality, Journal of Portfolio Management, vol. 16, no. 3, pp. 60~64, 199035.Sharpe, W. F., “Mutual fund performance,” Journal of Business, vol. 39(1), pp.119~138, 196636.Shefrin, Hersh, “Beyond greed and fear: Understanding behavioral finance and the psychology of investing,” Oxford, Oxford University Press, 200037.Shefrin, H., and Statman, M., “The disposition to sell winners too early and ride losers too long: theory and evidence,” Journal of Finance, pp. 777-790, 198538.Skypala, Pauline, “Variations on a theme,” FT Business, 199839.Solt, Michael E., and Statman, Meir, “Good companies, bad companies,” Journal of Portfolio Management, vol. 15 no. 4, pp. 39~44, 198940.Thaler, R., and Johnson, E. J., “Gambling with the house money and trying to break even: The effects of prior outcomes on risky choice,” Management Science, vol. 36, pp. 643-660, 199041.Treynor, J. L., “How to rate management investment funds,” Harvard Business Review, vol. 43(1), pp.63~75, 196542.Tversky, A., and Kahneman, D., “Belief in the law of small numbers,” Psychological Bulletin, vol. 76, pp. 105-110, 197143.Tversky, A., and Kahneman, D., “Availability: A heuristic for judging frequency and probability,” Cognitive Psychology, vol. 5, pp. 207-232, 197344.Tversky, A., and Kahneman, D., “Judgment under uncertainty: Heuristics and Biases,” Science, vol. 185, pp. 1124-1131, 1974 描述 碩士
國立政治大學
商管專業學院碩士學位學程(AMBA)
99380039
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099380039 資料類型 thesis dc.contributor.advisor 周冠男 zh_TW dc.contributor.advisor Chou, Robin K en_US dc.contributor.author (Authors) 湯晉維 zh_TW dc.contributor.author (Authors) Tang, Chin Wei en_US dc.creator (作者) 湯晉維 zh_TW dc.creator (作者) Tang, Chin Wei en_US dc.date (日期) 2011 en_US dc.date.accessioned 24-Oct-2012 16:11:14 (UTC+8) - dc.date.available 24-Oct-2012 16:11:14 (UTC+8) - dc.date.issued (上傳時間) 24-Oct-2012 16:11:14 (UTC+8) - dc.identifier (Other Identifiers) G0099380039 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54023 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 商管專業學院碩士學位學程(AMBA) zh_TW dc.description (描述) 99380039 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 效率市場一直是傳統財務理論的核心，然而現實的投資環境中卻一再發現傳統財務學無法解釋的不效率現象，例如小公司效應（small firm effect）、本益比效應（price/earnings effect）、面值市值比效應（book value/market value effect）、元月效應（January effect）、週末效應（weekend effect）等。行為財務學認為投資人的行為偏誤是造成市場不效率的原因之一，而這些偏誤是會一再重複而有機可循的，因此發展出動能策略（momentum strategy）、反向策略（contrarian strategy）等，藉由研究投資人的行為對股票市場進行預測並投資。台灣市場一直是散戶居多，而且又是屬於淺碟型的小市場，理論上投資人的行為偏誤將會更加顯著，也意味著行為財務學將有更多的發展空間，雖然行為財務學的理論已經被廣泛的實證研究，但是因為投資人的行為往往會因為不同地域、不同情境、不同時空等因素而有所差別，鑒於目前台灣市場尚未有相關的投資方式，因此希望藉由本研究促進國內產學界更深入探討行為財務學在投資方面的應用，進而促使台灣投資市場的更加效率。 zh_TW dc.description.abstract (摘要) Efficient market has been the core of traditional financial theory. However, in real world, unexplainable phenomenon of inefficiency has been discovered, e.g., small firm effect, price/earnings effect, book value/market value effect, January effect, weekend effect, etc. According to behavioral finance, investors’ behavior biases are one of the main causes, and these biases will repeat themselves. Therefore, momentum strategy and contrarian strategy are performed in investment to try to forecast the market.Taiwan stock market is small and has been full of undisciplined individual investors. Theoretically, investors’ behavior biases are more easily to find, which means behavioral finance should apply better in Taiwan. Although the theory of behavioral finance has been widely testified, the outcomes are always different from areas, scenarios, times etc. Considered that, behavioral finance has not been applied in Taiwan stock market. This study focuses on application of behavioral finance in Taiwan. Hope that through this study to promote domestic industry and academy to deeply explore the application of behavioral finance in investment, thereby promoting more efficiency of the investment market in Taiwan. en_US dc.description.tableofcontents 摘 要 IABSTRACT II誌 謝 III目 錄 IV表 目 錄 V目錄第一章 緒論 1第一節 研究背景 1第二節 研究動機與目的 2第二章 文獻探討 5第一節 主題式基金 5第二節 行為財務學 8第三節 技術分析 17第三章 研究方法 21第一節 投資策略 21第二節 主題式基金評估 22第四章 行為財務學在台灣的可行性分析 26第一節 主題式基金的績效評比 26第二節 動能策略分析 29第五章 結論與建議 33參考文獻 35表目錄表4-1 各類主題式基金成長動力來源表 26表4-2 傳統基金和主題式基金績效比較 27表4-3 前10%贏家組和後10%輸家組動能檢測 30表4-4 前30%贏家組和後30%輸家組動能檢測 31表4-5 前50%贏家組和後50%輸家組動能檢測 31 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099380039 en_US dc.subject (關鍵詞) 行為財務學 zh_TW dc.subject (關鍵詞) Behavioral Finance en_US dc.title (題名) 行為財務基金在台灣的可行性研究 zh_TW dc.title (題名) The feasibility of behavioral finance mutual fund in Taiwan en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 一、中文部分1.史凱琳，「過度反應假說在台灣股票市場之實證研究」，中央大學企業管理研究所未出版碩士論文，20002.佚名，「主題式基金的發展現況與未來展望」，金融研訓院：財務金融個案四，20093.李香瑩，「散戶交易行為與投資績效」，輔仁大學金融研究所碩士論文，20024.林美珍，「股票價格過度反應之方向、幅度與密度」，台灣大學財務金融研究碩士論文，19925.邱俞華，「中長期動能策略之研究：以台灣股市為例」，政治大學財務管理研究所碩士論文，20066.吳珍萍，「醫學及健康護理股票基金績效及持續性之研究」，國立交通大學管理學院碩士在職專班論文，20087.洪胤傑，「台灣股票市場個股與產業動量投資策略之實證研究」，政治大學企業管理研究所碩士論文，20008.陳虹霖，「國內共同基金投資人過度自信行為之研究」，台灣大學財務金融研究所碩士論文，20029.許良榮，「國內主題式基金績效實證研究」，國立台灣大學管理學院碩士在職專班財務金融組，201010.許勝吉，「台灣股市追漲殺跌策略與反向策略之實證分析比較」，輔仁大學管理研究所碩士論文，199911.陳正佑，「台股動量策略與反向策略投資績效之研究」，中山大學財務管理研究所博士論文，200212.陳正榮，「以濾嘴法則檢驗台灣股票市場弱式效率性之研究」，高雄第一科技大學財務管理系碩士論文，200113.陳光華，「台灣股市動能生命週期之再探討」，銘傳大學金融研究所碩士論文，200014.費文尚，「石油價格與金、銀、藍、綠基金之相關性分析」，淡江大學企業管理學系碩士論文，200815.游奕琪，「台灣股市產業與價格動能策略關聯性之實證研究」，政治大學財務管理研究所碩士論文，200016.楊朝成、陳勝源，「投資學」，華泰文化，200617.詹家昌，「臺灣股市過度反應之實證研究」，東海大學企業管理研究所碩士論文，199118.劉秉龍，「成長型與價值型投資策略之實證分析-以台灣股票市場為例」，靜宜大學企業管理研究所碩士學位論文，200219.蔡尚儒，「台灣店頭市場技術分析的實證研究」，中正大學財務金融研究所碩士論文，200020.蔣東益，「海外黃金基金與高科技基金國際投資組合之投資績效分析」，大葉大學管理學院碩士在職專班論文，2009 二、外文部分1.Barber, Brad M., and Lee, Yi-Tsung, and Liu, Yu-Jane, and Odean, Terrance, “Just how much do individual investors lose by trading,” The review of financial studies, vol. 22, no. 2, 20092.Barber, Brad M., and Odean, Terrance, “Trading is hazardous to your wealth: The common stock investment performance of individual investors,” The Journal of Finance, vol. 55, no. 2, pp. 773-805, 20003.Barber, Brad M., and Odean, Terrance, “Boys will be boys: Gender, overconfidence, and common stock investment,” The quarterly Journal of Economics, vol. 116, no. 1, pp. 261-292, 20014.Barberis, Nicholas and Huang, Ming and Santos, Tano, “Prospect theory and asset prices,” NBER Working Paper, No. 7220, 19995.Benou, Georgina and Richie, Nivine, “The reversal of large stock price declines: The case of large firms,” Journal of Economics and Finance, vol. 27, no. 1, Spring 20036.Brown, Stephen J. and Goetzmann, William N., “Performance persistence,” Journal of Finance, vol. 50, pp. 679~698, 19957.Chan, Louis K. 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