政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/101073
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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/101073


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/101073


    题名: 混合利得與混合損失對處分效果的影響
    Mixed Gain and Mixed Loss affects the Disposition Effect
    作者: 劉淑華
    贡献者: 周冠男
    劉淑華
    关键词: 展望理論
    處分效果
    快樂編輯理論
    日期: 2016
    上传时间: 2016-09-01 23:44:47 (UTC+8)
    摘要: We try to provide reasonable explanations for the equity premium puzzle by the mental account, prospect theory, disposition effect and hedonic editing. This study examine how do investor trade in relation to their holding portfolio gains and losses? The empirical evidence suggests that investor are more likely to segregated gains and integrated losses, in accordance with disposition effect and hedonic edition. In other words, investor are more likely to longer holding losing trade than winning trade, because selling at losing trades would cause great suffering. We find that investor tend to longer holding mixed gains than mixed big losses. In face of mixed big losses, they are relatively rational, inconsistent disposition effect. Our empirical find that highest wealth level‘s traders and experienced traders suffer loss, they are relatively rational.
    參考文獻: Barber, M., Y. T. Lee, Y. J. Liu, T. Odean, 2007, Is the Aggregate Investor Reluctant to Realize Losses? Evidence from Taiwan. European Financial Management 13 (3): 423-447.
    Barberis, N., W. Xiong, 2009, What Drive the Disposition Effect? An Analysis of Long-Standing Preference-Based Explanation. Journal of Finance 64 (2): 751-784.
    Ben-David, I., and D. Hirshleifer, 2012, Are Investors Really Reluctant to Realize Their Losses? Trading Responses to Past Returns and the Disposition Effect. Review of Financial Studies 25 (8): 2485-2532.
    Coval, J. D., T. Shumway, 2005, Do Behavioral Biases Affect Prices? Journal of Finance 60(1): 1-34.
    Dhar, R., N. Zhu, 2006, Up Close and Personal: An Individual Level Analysis of the Disposition Effect. Management Science 52 (5): 726-740.
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    Lim, S. S., 2006, Do Investors Integrate Losses and Segregate Gains? Mental Accounting and investor Trading Decision. Journal of Business 79 (5): 2539-2573.
    Liu, Y. J., C. K. Tsai, M.C. Wang, and N. Zhu, 2010, Prior Consequences and Subsequent Risk Taking: New Field Evidence from then Taiwan Futures Exchange. Management Science 56 (4): 606-620.
    O’Connell, P., M. Teo, 2009, Institutional Investors, Past Performance, and Dynamic Loss Aversion. Journal of Finacial and Quantitative Analysis 44 (1):155-188.
    Odean, T., 1998, Are Investors Reluctant to Realized Their Losses? Journal of Finance 53 (5): 1775-1798.
    Odean, T., 1999, Do investors Trade too Much? American Economic Review 89 (5):1279-1298.
    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 (3): 777-790.
    Thaler, R. H., 1985 Mental Accounting and Consumer Choice. Marketing Science 4 (3): 199-214.
    Thaler, R. H. and Johnson E. J., 1990, Gambling with then House Money and Trying to Break Even: Then Effects of Prior Outcomes on Risky Choice. Management Science 36 (6): 643-660.
    描述: 博士
    國立政治大學
    財務管理研究所
    97357505
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0973575051
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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