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題名 行為財務基金之績效與其未來展望
The Performance and Future Prospect of Behavioral Finance Mutual Funds
作者 劉慧怡
Liu, Hui Yi
貢獻者 周冠男
Chou, Robin K.
劉慧怡
Liu, Hui Yi
關鍵詞 行為財務學
Behavioral Finance
日期 2012
上傳時間 1-十一月-2013 11:40:52 (UTC+8)
摘要 行為財務學理論認為人的思維是有限的，在判斷與決策的過程中，會受到諸多心理因素所干擾，產生各種系統化的錯誤。行為財務基金即是利用人們有限心理下所產生的判斷偏見及行為弱點，在市場中創造出投資的機會，透過有紀律的操作方式，從非理性投資人行為所導致的市場異常現象中獲利。
     
      本研究以J.P. Morgan在美國發行、主要投資於美國證券市場的五檔Intrepid行為財務基金為績效表現之實證研究對象，結果發現Intrepid系列基金自成立以來，績效走勢與大盤指數基金及同類型基金指數呈同向變動，其報酬與各類型基金指數之報酬相符，證實行為財務基金之操作策略是可行的。由於目前國內尚未出現以行為財務學理論為操作策略之共同基金，而國內證券市場又是以最容易發生心理偏誤的散戶投資人為主，因此，本研究認為行為財務基金在國內之發展是有其可行性的，發展行為財務基金對於國內投資人及投信業者而言，不僅是一種新的投資思維，也是另一種投資策略的選項。
第壹章 緒論 1
     第一節 研究背景 1
     第二節 研究動機與目的 4
     第貳章 文獻探討 7
     第一節 展望理論 7
     第二節 捷思與偏誤 15
     第參章 行為財務基金績效實證表現 29
     第一節 行為財務基金投資策略 32
     第二節 J.P. MORGAN INTREPID FUNDS 34
     第三節 國內投信共同基金評比 57
     第肆章 結論與建議 61
     第一節 結論 61
     第二節 研究限制與建議 63
     參考文獻 64
     附錄一 台灣證券市場投資人類別成交值比重統計 70
     附錄二 境內基金分類統計 71
     附錄三 國內投信共同基金發行概況 72
     附錄四 SPDR S&P 500 ETF歷年報酬率 82
參考文獻 一、 中文部分
     1. 中華民國證券投資信託暨顧問商業同業公會。2012年年報。
     2. 白芳苹(2002)。基金投資人之錯置效果─台灣地區實證研究。國立臺灣大學財務金融學研究所碩士論文。
     3. 李朝明(2003)。臺灣股票市場投資人錯置效果與盈虧之細部研究。國立臺灣大學財務金融學研究所碩士論文。
     4. 周賓凰、池祥萱、周冠男、龔怡霖(2002)。行為財務學：文獻回顧與展望。證券市場發展季刊，14(2)，1-48。
     5. 周賓凰、張宇志、林美珍(2007)。投資人情緒與股票報酬互動關係。證券市場發展季刊，19(2)，153-190。
     6. 林美珍(2012)。行為財務學。台北：華泰文化。
     7. 邱顯比、許培基、葉銀華、陳軒基(2001)。散戶交易行為與投資績效。國科會補助研究計畫成果報告。計畫編號：NSC 90-2416-H002-016。
     8. 郭敏華、邱耀初、郭迺鋒、林孝恩(2004)。台灣投資人過度自信嗎？台灣投資人四期問卷調查，2004財務金融理論與實務研討會。
     9. 陳虹霖(2002)。國內共同基金投資人過度自信行為之硏究。國立臺灣大學財務金融學研究所碩士論文。
     10. 劉玉珍，劉維琪，謝政能(1993)。台灣股市過度反應之實證研究。臺大管理論叢，4(1)，105-146。
     
     二、 英文部分
     1. Baker, M.P., and A. Sesia (2007). Behavioral Finance at JP Morgan. Harvard Business School Case 9-207-084.
     2. Barber, B.M., and T. Odean (1999). The courage of misguided convictions: The trading behavior of individual investors. Financial Analyst Journal, 41-55.
     3. Barberis, N., A. Shleifer, and R. Vishny (1998). A model of investor sentiment. Journal of Financial Economics 49(3), 307-343.
     4. Benos, A.V. (1998). Overconfident speculators in call markets: Trade patterns and survival. Journal of Financial Markets 1(3-4), 353-383.
     5. Black, F. (1986). Noise. Journal of Finance 41(3), 529-543.
     6. Caballe, J. and J. Sakovics (2003). Speculating against an overconfident market. Journal of Financial Markets 6, 199-225.
     7. Daniel, K., D. Hirshleifer, and A. Subrahmanyam (1998). Investor psychology and security market under-and overreactions. Journal of Finance 53, 1839–1885.
     8. De Bondt, W.F.M. (1991). What do economists know about the stock market? Journal of Portfolio Management 17, 84-91.
     9. De Bondt, W.F.M., and R.H. Thaler (1985). Does the stock market overreact? Journal of Finance 40(3): 793-805.
     10. De Bondt, W.F.M., and R.H. Thaler (1995). Financial decision-making in markets and firms：A behavioral perspective. Robert A, Jarrow, V. Maksimovic, and W. Ziemba, ed.: Finance, Handbooks in Operations Research and Management Science 9, 385-410 (Amsterdam：North Holland).
     11. De Long, J.B., A. Shleifer, L.H. Summers, and R. Waldmann (1990). Noise trader risk in financial markets. Journal of Political Economy 98(4), 703-738.
     12. Easterwood, J.C., and S.R. Nutt (1999). Inefficiency in analysts` earnings forecasts: Systematic misreaction or systematic optimism? Journal of Finance 54(5), 1777-1797.
     13. Edwards, K.D. (1995). Prospect theory: a literature review. International Review of Financial Analysis 5(1), 19-38.
     14. Edwards, K.D. (1995). Prospect theory: A literature review. International Review of Financial Analysis 5(1), 19-38.
     15. Einhorn, H.J., and R.M. Hogarth (1978). Confidence in judgment: Persistence of the illusion of validity. Psychological Review 85, 395-416.
     16. Fama, E.F. (1998). Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics 49(3),283-306.
     17. Ferris, S.P., R.A. Haugen, and A.K. Makhija (1988). Predicting contemporary volume with historic volume at differential price levels: Evidence supporting the disposition effect. Journal of Finance 43(3), 677-697.
     18. Gervais, S., and T. Odean (2001). Learning to be overconfident. Review of Financial Studies 14(1), 1-27.
     19. Gilovich, T.R., R. Vallone, and A. Tversky (1985). The hot hand in basketball: On the misperception of random sequences. Cognitive Psychology 17, 592-596.
     20. Hirshleifer, D. (2001). Investor psychology and asset pricing. Journal of Finance 56, 1533-1597.
     21. Jegadeesh, N., and S. Titman (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance 48(1), 65-91.
     22. Kahneman, D. (2011). Thinking fast and slow. New York: Farrar, Strauss, Giroux.
     23. Kahneman, D., and A. Tversky (1974). Judgment under uncertainty: Heuristics and biases. Science 185, 1124-1131.
     24. Kahneman, D., and A. Tversky (1979). Prospect theory: An analysis of decision under risk. Econometrica 47, 263-291.
     25. Kahneman, D., and M.W. Riepe (1998). Aspects of investor psychology. Journal of Portfolio Management, 52-65.
     26. 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.
     27. Liang, Y., and D.J. Mullineaux (1994). Overreaction and reverse anticipation: two related puzzles? Journal of Financial Research 17(1), 31-43.
     28. Lichtenstein, S., B. Fischhoff, and L.D. Phillips (1982). Calibration of probabilities: The state of the art to 1980. in D. Kahneman, P. Slovic, and A. Tversky, eds.: Judgment under uncertainty: Heuristics and biases, 306-334. New York: Cambridge University Press.
     29. Mullainathan, S., and R.H. Thaler (2000). Behavioral economics. Working paper.
     30. Odean, T. (1998). Are investors reluctant to realize their losses? Journal of Finance 53(5), 1775-1798.
     31. Odean, T. (1998). Volume, volatility, price, and profit when all traders are above average. Journal of Finance 53(6), 1887-1934.
     32. Odean, T. (1999). Do investors trade too much? American Economic Review 89, 1279-1298.
     33. Rabin, M. (1998). Psychology and economics. Journal of Economic Literature 36, 11-46.
     34. Rabin, M. (2002). A perspective on psychology and economics. European Economic Review 46, 657-685.
     35. 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(4), 777-792.
     36. Shefrin, H., and M. Statman (1994). Behavioral capital asset pricing theory. Journal of Financial and Quantitative Analysis 29, 323-349.
     37. Shefrin, H., and M. Statman (2000). Behavioral portfolio theory. Unpublished paper, Santa Clara University.
     38. Shiller, R.J. (1999). Human behavior and the efficiency of the financial system. in J. Taylor, and M. Woodford, ed.: Handbook of Macroeconomics.
     39. Shleifer, A. (2000). Inefficient Market. Oxford U. Press, Oxford.
     40. Shu, P.G., Y.H. Yeh, and T. Yamada (2002). The behavior of Taiwan mutual fund investors-performance and fund flows. Pacific-Basin Finance Journal 10(5), 583-600.
     41. Tvede, L. (1999). The Psychology of Finance. Chichester: Wiley. First edition published by Norwegian University Press in hardcover in 1990.
     42. Zahorec, L., and J. Chisari (2013). Hybrid quantitative/qualitative behavioral finance equity strategies: Stepping behind the curtain. Investment strategies, JP Morgan Asset Management.
描述 碩士
國立政治大學
商管專業學院碩士學位學程(AMBA)
100380020
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100380020
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) 劉慧怡zh_TW
dc.contributor.author (作者) Liu, Hui Yien_US
dc.creator (作者) 劉慧怡zh_TW
dc.creator (作者) Liu, Hui Yien_US
dc.date (日期) 2012en_US
dc.date.accessioned 1-十一月-2013 11:40:52 (UTC+8)-
dc.date.available 1-十一月-2013 11:40:52 (UTC+8)-
dc.date.issued (上傳時間) 1-十一月-2013 11:40:52 (UTC+8)-
dc.identifier (其他 識別碼) G0100380020en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/61471-
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) 100380020zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 行為財務學理論認為人的思維是有限的，在判斷與決策的過程中，會受到諸多心理因素所干擾，產生各種系統化的錯誤。行為財務基金即是利用人們有限心理下所產生的判斷偏見及行為弱點，在市場中創造出投資的機會，透過有紀律的操作方式，從非理性投資人行為所導致的市場異常現象中獲利。
     
      本研究以J.P. Morgan在美國發行、主要投資於美國證券市場的五檔Intrepid行為財務基金為績效表現之實證研究對象，結果發現Intrepid系列基金自成立以來，績效走勢與大盤指數基金及同類型基金指數呈同向變動，其報酬與各類型基金指數之報酬相符，證實行為財務基金之操作策略是可行的。由於目前國內尚未出現以行為財務學理論為操作策略之共同基金，而國內證券市場又是以最容易發生心理偏誤的散戶投資人為主，因此，本研究認為行為財務基金在國內之發展是有其可行性的，發展行為財務基金對於國內投資人及投信業者而言，不僅是一種新的投資思維，也是另一種投資策略的選項。		zh_TW
dc.description.abstract (摘要) 第壹章 緒論 1
     第一節 研究背景 1
     第二節 研究動機與目的 4
     第貳章 文獻探討 7
     第一節 展望理論 7
     第二節 捷思與偏誤 15
     第參章 行為財務基金績效實證表現 29
     第一節 行為財務基金投資策略 32
     第二節 J.P. MORGAN INTREPID FUNDS 34
     第三節 國內投信共同基金評比 57
     第肆章 結論與建議 61
     第一節 結論 61
     第二節 研究限制與建議 63
     參考文獻 64
     附錄一 台灣證券市場投資人類別成交值比重統計 70
     附錄二 境內基金分類統計 71
     附錄三 國內投信共同基金發行概況 72
     附錄四 SPDR S&P 500 ETF歷年報酬率 82		-
dc.description.tableofcontents 第壹章 緒論 1
      第一節 研究背景 1
      第二節 研究動機與目的 4
     第貳章 文獻探討 7
      第一節 展望理論 7
      第二節 捷思與偏誤 15
     第參章 行為財務基金績效實證表現 29
      第一節 行為財務基金投資策略 32
      第二節 J.P. MORGAN INTREPID FUNDS 34
      第三節 國內投信共同基金評比 57
     第肆章 結論與建議 61
      第一節 結論 61
      第二節 研究限制與建議 63
     參考文獻 64
     附錄一 台灣證券市場投資人類別成交值比重統計 70
     附錄二 境內基金分類統計 71
     附錄三 國內投信共同基金發行概況 72
     附錄四 SPDR S&P 500 ETF歷年報酬率 82		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100380020en_US
dc.subject (關鍵詞) 行為財務學zh_TW
dc.subject (關鍵詞) Behavioral Financeen_US
dc.title (題名) 行為財務基金之績效與其未來展望zh_TW
dc.title (題名) The Performance and Future Prospect of Behavioral Finance Mutual Fundsen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 一、 中文部分
     1. 中華民國證券投資信託暨顧問商業同業公會。2012年年報。
     2. 白芳苹(2002)。基金投資人之錯置效果─台灣地區實證研究。國立臺灣大學財務金融學研究所碩士論文。
     3. 李朝明(2003)。臺灣股票市場投資人錯置效果與盈虧之細部研究。國立臺灣大學財務金融學研究所碩士論文。
     4. 周賓凰、池祥萱、周冠男、龔怡霖(2002)。行為財務學：文獻回顧與展望。證券市場發展季刊，14(2)，1-48。
     5. 周賓凰、張宇志、林美珍(2007)。投資人情緒與股票報酬互動關係。證券市場發展季刊，19(2)，153-190。
     6. 林美珍(2012)。行為財務學。台北：華泰文化。
     7. 邱顯比、許培基、葉銀華、陳軒基(2001)。散戶交易行為與投資績效。國科會補助研究計畫成果報告。計畫編號：NSC 90-2416-H002-016。
     8. 郭敏華、邱耀初、郭迺鋒、林孝恩(2004)。台灣投資人過度自信嗎？台灣投資人四期問卷調查，2004財務金融理論與實務研討會。
     9. 陳虹霖(2002)。國內共同基金投資人過度自信行為之硏究。國立臺灣大學財務金融學研究所碩士論文。
     10. 劉玉珍，劉維琪，謝政能(1993)。台灣股市過度反應之實證研究。臺大管理論叢，4(1)，105-146。
     
     二、 英文部分
     1. Baker, M.P., and A. Sesia (2007). Behavioral Finance at JP Morgan. Harvard Business School Case 9-207-084.
     2. Barber, B.M., and T. Odean (1999). The courage of misguided convictions: The trading behavior of individual investors. Financial Analyst Journal, 41-55.
     3. Barberis, N., A. Shleifer, and R. Vishny (1998). A model of investor sentiment. Journal of Financial Economics 49(3), 307-343.
     4. Benos, A.V. (1998). Overconfident speculators in call markets: Trade patterns and survival. Journal of Financial Markets 1(3-4), 353-383.
     5. Black, F. (1986). Noise. Journal of Finance 41(3), 529-543.
     6. Caballe, J. and J. Sakovics (2003). Speculating against an overconfident market. Journal of Financial Markets 6, 199-225.
     7. Daniel, K., D. Hirshleifer, and A. Subrahmanyam (1998). Investor psychology and security market under-and overreactions. Journal of Finance 53, 1839–1885.
     8. De Bondt, W.F.M. (1991). What do economists know about the stock market? Journal of Portfolio Management 17, 84-91.
     9. De Bondt, W.F.M., and R.H. Thaler (1985). Does the stock market overreact? Journal of Finance 40(3): 793-805.
     10. De Bondt, W.F.M., and R.H. Thaler (1995). Financial decision-making in markets and firms：A behavioral perspective. Robert A, Jarrow, V. Maksimovic, and W. Ziemba, ed.: Finance, Handbooks in Operations Research and Management Science 9, 385-410 (Amsterdam：North Holland).
     11. De Long, J.B., A. Shleifer, L.H. Summers, and R. Waldmann (1990). Noise trader risk in financial markets. Journal of Political Economy 98(4), 703-738.
     12. Easterwood, J.C., and S.R. Nutt (1999). Inefficiency in analysts` earnings forecasts: Systematic misreaction or systematic optimism? Journal of Finance 54(5), 1777-1797.
     13. Edwards, K.D. (1995). Prospect theory: a literature review. International Review of Financial Analysis 5(1), 19-38.
     14. Edwards, K.D. (1995). Prospect theory: A literature review. International Review of Financial Analysis 5(1), 19-38.
     15. Einhorn, H.J., and R.M. Hogarth (1978). Confidence in judgment: Persistence of the illusion of validity. Psychological Review 85, 395-416.
     16. Fama, E.F. (1998). Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics 49(3),283-306.
     17. Ferris, S.P., R.A. Haugen, and A.K. Makhija (1988). Predicting contemporary volume with historic volume at differential price levels: Evidence supporting the disposition effect. Journal of Finance 43(3), 677-697.
     18. Gervais, S., and T. Odean (2001). Learning to be overconfident. Review of Financial Studies 14(1), 1-27.
     19. Gilovich, T.R., R. Vallone, and A. Tversky (1985). The hot hand in basketball: On the misperception of random sequences. Cognitive Psychology 17, 592-596.
     20. Hirshleifer, D. (2001). Investor psychology and asset pricing. Journal of Finance 56, 1533-1597.
     21. Jegadeesh, N., and S. Titman (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance 48(1), 65-91.
     22. Kahneman, D. (2011). Thinking fast and slow. New York: Farrar, Strauss, Giroux.
     23. Kahneman, D., and A. Tversky (1974). Judgment under uncertainty: Heuristics and biases. Science 185, 1124-1131.
     24. Kahneman, D., and A. Tversky (1979). Prospect theory: An analysis of decision under risk. Econometrica 47, 263-291.
     25. Kahneman, D., and M.W. Riepe (1998). Aspects of investor psychology. Journal of Portfolio Management, 52-65.
     26. 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.
     27. Liang, Y., and D.J. Mullineaux (1994). Overreaction and reverse anticipation: two related puzzles? Journal of Financial Research 17(1), 31-43.
     28. Lichtenstein, S., B. Fischhoff, and L.D. Phillips (1982). Calibration of probabilities: The state of the art to 1980. in D. Kahneman, P. Slovic, and A. Tversky, eds.: Judgment under uncertainty: Heuristics and biases, 306-334. New York: Cambridge University Press.
     29. Mullainathan, S., and R.H. Thaler (2000). Behavioral economics. Working paper.
     30. Odean, T. (1998). Are investors reluctant to realize their losses? Journal of Finance 53(5), 1775-1798.
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