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題名 快樂編輯與投資人類型
Hedonic editing and trader types作者 朱孝宗 貢獻者 周冠男
Chou, Robin K.
朱孝宗關鍵詞 行為財務
展望理論
快樂編輯
Behavioral Finance
Prospect Theory
Hedonic Editing日期 2011 上傳時間 30-十月-2012 11:20:56 (UTC+8) 摘要 Hedonic Editing is a theory of behavioral finance based on prospect theory, attempting to predict whether individuals would segregate or integrate multiple outcomes to achieve to highest perceived value. We test the theory by an actual market data in Taiwan Futures Exchange. If the hypothesis holds, we should observe that investors would integrate losses more frequently than gains and integrate smaller losses with larger gains rather than the other way around. However, results do not support the hypotheses totally. We further test the theory by different trader types. Results show that domestic individuals exhibit the strongest biases of hedonic editing, followed by domestic corporations, and foreign institutions. 參考文獻 Barber, B.M., T. Odean, 2000, “Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors,” Journal of Finance, 55, 773-806. Barber, B.M., Y.T. Lee, Y.J. Liu, and T. Odean, 2008, “Just How Much Do Individual Investors Lose by Trading,” Review of Financial Studies, 22, 609-632 Dhar, R. and N. Zhu, 2006, “Up Close and Personal: Investor Sophistication and the Disposition Effect,” Management Science, 52, 726-740. Chou, Robin K., and Yun-Yi Wang, 2011, "A Test of the Different Implications of the Overconfidence and Disposition Hypotheses," Journal of Banking and Finance, 35(8), 2037-2046. Chou, Robin K., and Yun-Yi Wang, 2009, "Strategic Order Splitting, Order Choice and Aggressiveness: Evidence from the Taiwan Futures Exchange," Journal of Futures Markets, 29(12), 1102-1129. Chou, Robin K., Yun-Yi Wang, and Xuemin Yan, "Trader Types and Consequences of the Disposition Effect,"(Working Paper) National Chengchi University. Feng, Lei, and Mark S. Seasholes, 2005, “Do Investor Sophistication and Trading Experience Eliminate Behavioral Biases in Financial Markets?” Review of Finance, 9(3), 305-351. Frino, A., D. Johnstone, and H. Zheng, 2004, “The Propensity for Local Traders in Futures Markets to Ride Loses: Evidence of Irrational or Rational Behavior?” Journal of Banking and Finance 28, 353-372. Garvey, R., A. Murphy, and Fei Wu, 2007,”Do Losses Linger? Evidence from Proprietary Stock Traders,” Journal of Portfolio Management, 33, 75-83. Harris, L., 1988, ‘‘Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting the Disposition Effect,” Journal of Finance, 43, 698-699 Kahneman, D., and A. Tversky, 1979, “Prospect Theory: Analysis of Decision under Risk.” Econometrica, 47, 263–291. Lehenkari, M., 2009, “The Hedonic Editing Hypothesis: Evidence from the Finnish Stock Market.” The Journal of Behavioral Finance, 10, 9-18. Linville, Patricia, and Gregory Fischer, 1991, ‘‘Preferences for Separating or Combining Events,’’ Journal of Personality and Social Psychology, 60, 5–23. Lim, S. S., 2006, “Do Investors Integrate Losses and Segregate Gains? Mental Accounting and Investor Trading Decisions.” Journal of Business, 79, 2539–2574. Lockea, Peter R., and Steven C. Mannb, 2005, “Professional trader discipline and trade disposition,” Jouranl of Financial Economics, 76, 401-444. Odean, T., 1998, “Are Investors Reluctant to Realize Their Losses?” Journal of Finance, 53, 1775–1798. Read, D., G. Loewenstein, and M. Rabin, ”Choice Bracketing,” (Working Paper) Carnegie Mellon University. Thaler, R.H., 1985, “Mental Accounting and Consumer Choice.” Marketing Science, 4, 199-214. Thaler, R.H. and E.J. Johnson, 1990, “Gambling with the House Monet and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice.” Management Science, 36, 643-660. Lakonishok, J., and S. Smidt, 1986, “Volume for Winners and Losers: Taxation and Other Motives for Stock Trading,” Journal of Finance 41 (4), 951-974. Scherbina, Anna, and Li Jin, 2005. “Change is Good or the Disposition Effect Among Mutual Fund Managers,” (Working Paper) Harvard University. 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, 777-790. 描述 碩士
國立政治大學
財務管理研究所
99357018
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099357018 資料類型 thesis dc.contributor.advisor 周冠男 zh_TW dc.contributor.advisor Chou, Robin K. en_US dc.contributor.author (作者) 朱孝宗 zh_TW dc.creator (作者) 朱孝宗 zh_TW dc.date (日期) 2011 en_US dc.date.accessioned 30-十月-2012 11:20:56 (UTC+8) - dc.date.available 30-十月-2012 11:20:56 (UTC+8) - dc.date.issued (上傳時間) 30-十月-2012 11:20:56 (UTC+8) - dc.identifier (其他 識別碼) G0099357018 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54551 - 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) 99357018 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) Hedonic Editing is a theory of behavioral finance based on prospect theory, attempting to predict whether individuals would segregate or integrate multiple outcomes to achieve to highest perceived value. We test the theory by an actual market data in Taiwan Futures Exchange. If the hypothesis holds, we should observe that investors would integrate losses more frequently than gains and integrate smaller losses with larger gains rather than the other way around. However, results do not support the hypotheses totally. We further test the theory by different trader types. Results show that domestic individuals exhibit the strongest biases of hedonic editing, followed by domestic corporations, and foreign institutions. en_US dc.description.tableofcontents Chapter 1 Introduction 1 1.1 Motivation 1 1.2 Objectives 2 1.3 Outline 2 Chapter 2 Literature Review 4 2.1 Prospect Theory 4 2.2 Mental Accounting 5 2.3 Disposition Effect 6 2.4 Hedonic Editing 7 2.5 Trader Types 12 2.6 Sophistication and Trader Experience 13 Chapter 3 Data and Methodology 14 3.1 Data 14 3.2 Methodology 15 Chapter 4 Empirical Results 18 4.1 Multiple Gains and Multiple Losses 18 4.2 Multiple Gains and Multiple Losses by Trader Types 20 4.3 Multiple Gains and Multiple Losses by Trade Size 21 4.4 Multiple Gains and Multiple Losses by Trade Frequency 22 4.5 Mixed Gains and Mixed Losses 23 4.6 Mixed Gains and Mixed Losses by Trader Types 24 4.7 Mixed Gains and Mixed Losses by Trade Size 25 4.8 Mixed Gains and Mixed Losses by Trade Frequency 26 Chapter 5 Summary and Conclusion 27 5.1 Summary 27 5.2 Suggestion for Future Research 27 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099357018 en_US dc.subject (關鍵詞) 行為財務 zh_TW dc.subject (關鍵詞) 展望理論 zh_TW dc.subject (關鍵詞) 快樂編輯 zh_TW dc.subject (關鍵詞) Behavioral Finance en_US dc.subject (關鍵詞) Prospect Theory en_US dc.subject (關鍵詞) Hedonic Editing en_US dc.title (題名) 快樂編輯與投資人類型 zh_TW dc.title (題名) Hedonic editing and trader types en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Barber, B.M., T. Odean, 2000, “Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors,” Journal of Finance, 55, 773-806. Barber, B.M., Y.T. Lee, Y.J. Liu, and T. Odean, 2008, “Just How Much Do Individual Investors Lose by Trading,” Review of Financial Studies, 22, 609-632 Dhar, R. and N. Zhu, 2006, “Up Close and Personal: Investor Sophistication and the Disposition Effect,” Management Science, 52, 726-740. Chou, Robin K., and Yun-Yi Wang, 2011, "A Test of the Different Implications of the Overconfidence and Disposition Hypotheses," Journal of Banking and Finance, 35(8), 2037-2046. Chou, Robin K., and Yun-Yi Wang, 2009, "Strategic Order Splitting, Order Choice and Aggressiveness: Evidence from the Taiwan Futures Exchange," Journal of Futures Markets, 29(12), 1102-1129. Chou, Robin K., Yun-Yi Wang, and Xuemin Yan, "Trader Types and Consequences of the Disposition Effect,"(Working Paper) National Chengchi University. Feng, Lei, and Mark S. Seasholes, 2005, “Do Investor Sophistication and Trading Experience Eliminate Behavioral Biases in Financial Markets?” Review of Finance, 9(3), 305-351. Frino, A., D. Johnstone, and H. Zheng, 2004, “The Propensity for Local Traders in Futures Markets to Ride Loses: Evidence of Irrational or Rational Behavior?” Journal of Banking and Finance 28, 353-372. Garvey, R., A. Murphy, and Fei Wu, 2007,”Do Losses Linger? Evidence from Proprietary Stock Traders,” Journal of Portfolio Management, 33, 75-83. Harris, L., 1988, ‘‘Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting the Disposition Effect,” Journal of Finance, 43, 698-699 Kahneman, D., and A. Tversky, 1979, “Prospect Theory: Analysis of Decision under Risk.” Econometrica, 47, 263–291. Lehenkari, M., 2009, “The Hedonic Editing Hypothesis: Evidence from the Finnish Stock Market.” The Journal of Behavioral Finance, 10, 9-18. Linville, Patricia, and Gregory Fischer, 1991, ‘‘Preferences for Separating or Combining Events,’’ Journal of Personality and Social Psychology, 60, 5–23. Lim, S. S., 2006, “Do Investors Integrate Losses and Segregate Gains? Mental Accounting and Investor Trading Decisions.” Journal of Business, 79, 2539–2574. Lockea, Peter R., and Steven C. Mannb, 2005, “Professional trader discipline and trade disposition,” Jouranl of Financial Economics, 76, 401-444. Odean, T., 1998, “Are Investors Reluctant to Realize Their Losses?” Journal of Finance, 53, 1775–1798. Read, D., G. Loewenstein, and M. Rabin, ”Choice Bracketing,” (Working Paper) Carnegie Mellon University. Thaler, R.H., 1985, “Mental Accounting and Consumer Choice.” Marketing Science, 4, 199-214. Thaler, R.H. and E.J. Johnson, 1990, “Gambling with the House Monet and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice.” Management Science, 36, 643-660. Lakonishok, J., and S. Smidt, 1986, “Volume for Winners and Losers: Taxation and Other Motives for Stock Trading,” Journal of Finance 41 (4), 951-974. Scherbina, Anna, and Li Jin, 2005. “Change is Good or the Disposition Effect Among Mutual Fund Managers,” (Working Paper) Harvard University. 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, 777-790. zh_TW
