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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/61471


    Title: 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
    Authors: 劉慧怡
    Liu, Hui Yi
    Contributors: 周冠男
    Chou, Robin K.
    劉慧怡
    Liu, Hui Yi
    Keywords: 行為財務學
    Behavioral Finance
    Date: 2012
    Issue Date: 2013-11-01 11:40:52 (UTC+8)
    Abstract: 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
    Reference: 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。
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    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。

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    Description: 碩士
    國立政治大學
    商管專業學院碩士學位學程(AMBA)
    100380020
    101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0100380020
    Data Type: thesis
    Appears in Collections:[管理碩士學程/商管專業學院碩士學位學程 AMBA] 學位論文

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