政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/32248
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113318/144297 (79%)
Visitors : 51037248      Online Users : 965
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/32248


    Title: 銀行投資決策之行為偏誤
    The Behavioral Biases of Banks’ Investment Decisions.
    Authors: 李綺文
    Contributors: 沈中華
    李綺文
    Keywords: 行為財務學
    展望理論
    賭資效應
    過度自信
    心理帳戶
    Date: 2008
    Issue Date: 2009-09-14 13:30:09 (UTC+8)
    Abstract: 本文旨在研究我國銀行長期投資行為和短期投資行為是否會因其過去投資績效所影響，而有賭資效應、過度自信及心理帳戶假說所預期不理性之現象。另外，更進一步探究此三種心理偏誤對投資行為之影響，是否依銀行業務性質的不同而有所差異，因此，也將討論商業銀行和工業銀行之長、短期投資行為。使用1994至2007年的追蹤資料進行迴歸分析，其結果發現茲臚列於下。

    1.在控制資金來源(負債)、資產獲利能力(資產報酬率和存放款利差)、股市榮枯以及過去持有的投資存量這些會影響銀行投資行為的因素後，發現前一季長期和短期投資績效愈好，當季銀行長期和短期投資行為就會承擔過多的風險而有賭資效應之現象；在投資績效分為利得和損失的設定下，銀行長期投資行為有賭資效應之傾向，而短期投資行為則否。再者，當銀行面對過去兩季長期投資績效皆為利得時，當季的長期投資風險態度更顯積極，因而銀行長期投資行為有過度自信的現象，而短期投資行為則否。最後，銀行在進行短期投資決策時，無法將前一季長期投資績效納入考量，表示銀行將短期投資視為一獨立帳戶，忽略長期投資的情況，不能綜觀全局，因此短期投資行為有心理帳戶所述現象，而長期投資行為則否。

    2.為了釐清賭資效應、過度自信與心理帳戶這些心理偏誤對投資行為的影響，是否依銀行業務性質的不同而有所差異。因此，就銀行類別而言，本文發現商業銀行長、短期投資行為皆有賭資效應與心理帳戶偏誤；工業銀行長期投資行為有賭資效應及過度自信偏誤，短期行為則無任何心理偏誤。
    Reference: 一.中文部分
    沈中華、池祥麟，2003，「從投資人保護觀點與展望理論探討各國銀行業盈餘管理之現象與動機」經濟論文季刊第31卷第3期，407-458。
    翁慈青，2004，「股市過度自信與自信不足之投資行為研究」，中原大學會計學系碩士論文。
    郭敏華譯，2002，《投資心理學》，台北：台灣培生教育 (原著：Nofsinger, J. R., 2002, The Psychology of Investing, Prentice Hall）。
    廖伯欣，2003，「損失趨避、私房錢效果與股價泡沫關係之研究」，國立雲林科技大學財務金融學系碩士論文。
    劉永欽、朱筱惠，2007，「本國銀行長期投資行為的賭資效應與損益兩平效應」，2007當代財金理論與實務研討會，台中技術學院，2007年3月23日。
    二.英文部分
    Arkes, H. R., and Blumer, C. (1985), “The psychology of sunk cost,” Organizational Behavioral and Human Decision Process, 35,124-140.
    Barber, B. M. and Odean, T. (2000), “Trading is hazardous to your wealth: The common stock investment performance of individual investors,” Journal of Finance, 55, 773-806.
    Barberis, N., Huang, M. (2001), “Mental accounting, loss aversion, and individual stock returns,” Journal of Finance, 56, 1247-1292.
    Barberis, N., Huang, M., and Santos, T. (2001), “Prospect theory and asset prices,” The Quarterly Journal of Economics, 116, 1–53.
    Coval, J. D., and Shumway, T. (2005), “Do behavioral biases affect prices?” Journal of Finance, 60, 1-34.
    Daniel, K., Hirshleifer, D., and Subrahmanyam, A.(1998), “Investor psychology and security market under- and over- reactions,” Journal of Finance ,53, 1839-1885.
    De Bondt, W. F. M., and Thaler, H. (1985), “Does the stock market overreact? ” The Journal of Finance, 40, 793-805.
    De Bondt, W. F. M., and Thaler, H. (1995), “Financial decision-making in markets and firms: A behavioral perspective,” in Robert A. Jarrow, Vojislav Maksimovic, and William T. Ziemba, Eds.: Handbooks in Operations Research and Management Science, Volume 9, Finance ,385-410.
    Gervais, S., and Odean T. (2001), “Learning to be overconfident.” Review of Financial Studies, 14, 1-27.
    Kahneman, D. ( 2003), “Maps of bounded rationality: Psychology for behavioral economics,” American Economic Review, 93, 1449–75.
    Kahneman, D., and Tverskey, A. (1979), “Prospect theory: An analysis of decision under risk,” Econometrica, 47, 263-291.
    Keasey, K., and Moon, P. (1996), “Gambling with the house money in capital expenditure decisions: An experimental analysis,” Economics Letters, 50, 105-110.
    Laughhunn, D., and Payne, J. W. (1984), “The impact of sunk cost on risky choice behavior,” INFOR (Canadian Journal of Operations Research and Information Processing), 22, 151-181.
    Liu, Y.J., Tsai, C.L., Wang M.C., and Zhu, N.(2006), “House money effect : Evidence from market at Taiwan futures exchange,” Working Paper, National Chengchi University and University of California, Davis.
    Malmendier, U., and Tate, G. (2005), “CEO overconfidence and corporate investment,” Journal of Finance, 60, 2661-2700.
    Massa, M., and Simonov, A. (2002), “Behavioral biases and investment,” Working Paper, INSEAD.
    O’Connell, P., and Teo, M. (2005), “How do institutional investors trade?” Working Paper, Singapore Management University.
    Odean, T. (1999), “Do investors trade too much,” American Economic Review, 89, 1279-1298.
    Thaler, R. H. (1999), “Mental accounting matters,” Journal of Behavioral Decision Making, 12, 183-206.
    Thaler, R., and Johnson, E. J. (1990), “Gambling with the house money and trying to break even: The effects of prior outcomes on risky choice,” Management Science, 36, 643-660.
    Statman, M., Thorley, S., and Vorkink K. (2004), “Investor overconfidence and trading volume,” Review of Financial Studies, 19, 1531-1565.
    Staw, B. M. (1981), “The escalation of commitment to a course of action,” Academy of Management Review, 6 , 577-587.
    Shefrin, H., and Statman, M. (1985), “The disposition to sell winners too early and ride losers too long: Theory and evidence,” Journal of Finance, 777-790.
    Description: 碩士
    國立政治大學
    經濟研究所
    94258038
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094258038
    Data Type: thesis
    Appears in Collections:[Department of Economics] Theses

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2174View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback