政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/85184
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113318/144297 (79%)
造訪人次 : 51043252      線上人數 : 907
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋
    政大機構典藏 > 商學院 > 企業管理學系 > 學位論文 >  Item 140.119/85184


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/85184


    題名: 台灣證券交易所投資人交易行為與股票報酬關係之研究
    Investor Trading Behavior and Stock Returns in Taiwan Stock Exchange
    作者: 夏清田
    Hsia, Ching-Tian
    貢獻者: 吳啟銘
    Eric Wu
    夏清田
    Hsia, Ching-Tian
    關鍵詞: 投資心理
    交易行為
    行為財務
    股票報酬
    心理指標
    處分效果
    期望理論
    預測指標
    Investor Sentiment
    Trading Behavior
    Behavioral Finance
    Stock Returns
    Sentiment Indicator
    Disposition Effect
    Prospect Theory
    Predictive Index
    日期: 2001
    上傳時間: 2016-04-15 16:11:52 (UTC+8)
    摘要: This paper investigates the investor trading behavior and the relationship between investor sentiment and stock returns. First we explore whether individual investors behave as the Disposition Effect stated — hold their losers too long while realize their winners too soon. Second, we apply four sentiment indicators — number of recommended stocks, margin purchase value, net fund redemption and odd-lot trade value — to examine relationship between investor sentiment and stock returns. We would like to see if past returns have anything to do with current sentiment, and if sentiment provides predictive power to future returns.
    參考文獻: *Papers written in English
    B.J. Christensen and N.R. Prabhala. 1998. "The relation between implied and realized volatility." Journal of Financial Economics 50 : 125-150
    Bjorn Hansson and Mattias Persson. 2000. "Time diversification and estimation risk." Financial Analysts Journal (September/October) : 55-62
    Brad M. Barber and Terrance Odean. 1999. "The courage of misguided convictions." Financial Analysts Journal (November/December) : 41-55
    Brian Aitken. 1998. "Have institutional investors destabilized emerging markets?" Contemporary Economic Policy, vol.XVI (April) : 173-184, ISSN 1074-3529
    Charles M.C. Lee, Andrei Shleifer and Richard H. Thaler. 1991. "Investor sentiment and the closed-end fund puzzle." The Journal of Finance,vol.XLVI, no.1 (March) : 75-109
    Daniel Kahneman and Amos Tversky. 1979. "Prospect Theory: An analysis of decision under risk." Econometrica,vol.47, no.2 (March) : 263-291
    Edwin J. Elton, Martin J. Gruber and Jeffrey A. Busse. 1998. "Do investors care about sentiment?" Journal of Business, vol 71, no. 4 : 477-500
    Eugene F. Fama and Kenneth R. French. 1993. "Common risk factors in the returns on stocks and bonds." Journal of Financial Economics 33 : 3-56 North-Holland
    Eugene F. Fama. 1998. "Market efficiency, long-term returns, and behavioral finance." Journal of Financial Economics 49 : 283-306
    Greggory A. Brauer. 1988. "Closed-end fund shares` abcdrmal returns and the information content of discounts and premiums." The Journal of Finance, vol.XLIII, no.1 (March) : 113-127
    Gregory R. Duffee. 1995. "Stock returns and volatility. A firm-level analysis." Journal of Financial Economics 37 : 399-420
    Hersh Shefrin and Meir Statman. 1985. "The disposition to sell winners too early and ride losers too long: theory and evidence." The Journal of Finance, vol.XL, no.3 (July) : 777-792
    Hersh Shefrin and Meir Statman. 2000. "Behavioral portfolio theory." Journal of Financial and Quantitative Analysis, vol.35, no.2 (June) : 127-151
    Hersh Shefrin. 2000. "Beyond greed and fear: Understanding behavioral finance and the psychology of investing." Financial Analysts Journal (September/October) : 112-113
    Jeffrey F. Jaffe and James M. Mahoney. 1999. "The performance of investment newsletters." Journal of Financial Economics 53 : 289-307
    Kenneth L. Fisher and Meir Statman. 2000. "Investor sentiment and stock returns." Financial Analysts Journal (March/April) : 16-36
    Kenneth L. Fisher and Meir Statman. 2000. "Cognitive biases in market forecasts." The Journal of Portfolio Management (Fall) : 72-81
    Kenneth L. Fisher and Meir Statman. 1999. "A behavioral framework for time diversification." Financial Analysts Journal (May/June) : 88-97
    Martin Weber and Colin F. Camerer. 1998. "The disposition effect in securities trading: an experimental analysis." Journal of Economic Behavior & Organization, vol.33 : 167-184
    Meir Statman. 1999. "Behaviorial finance: Past battles and future engagements." Financial Analysts Journal, (November/December) : 18-27
    Michael E. Solt, Meir Statman. 1988. "How useful is the sentiment index?" Financial Analysts Journal (September/October) : 45-55
    Nai-Fu Chen, Raymond Kan and Merton H. Miller. 1993. "Are the discounts on closed-end funds a sentiment index?" The Journal of Finance ,vol.XLVIII, no.2 (June) : 795-800
    Navin Chopra, Charles M.C. Lee, Andrei Shleifer and Richard H. Thaler. 1993. "Yes, discounts on closed-end funds are a sentiment index." The Journal of Finance ,vol.XLVIII, no.2 (Jun) : 801-810
    Nicholas Barberis, Andrei Shleifer and Robert Vishny. 1998. "A model of investor sentiment." Journal of Financial Economics, 49 : 307-343
    Richard H. Thaler. 1999. "The end of behavioral finance." Financial Analysts Journal (November/December) : 12-17
    Robert Neal and Simon M. Wheatley. 1998. "Do measures of investor sentiment predict returns?" Journal of Financial and Quantitative Analysis, vol.33, no.4 (December) : 523-547
    Roger G. Clarke and Meir Statman. 1998. "Bullish or bearish?" Financial Analysts Journal, (May/June) : 63-72
    Shlomo Benartzi and Richard H. Thaler. 1999. "Risk aversion or myopia? Choices in repeated gambles and retirement investments." Management Science, vol.45, no.3 (March) : 364-381
    Shlomo Benartzi and Richard H. Thaler. 1995. "Myopic loss aversion and the equity premium puzzle." The Quarterly Journal of Economics (February) : 73-92
    Stephen P. Ferris, Robert A. Haugen and Anil K. Makhija. 1988. "Predicting contemporary volume with historic volume at differential price levels: evidence supporting the disposition effect." The Journal of Finance, vol.XLIII, no.3 (July) : 677-699
    Terrance Odean. 1998. "Are investors reluctant to realize their losses?" The Journal of Finance (October) : 1775-1798
    Thomas Russell and Richard Thaler. 1985. "The relevance of quasi rationality in competitive markets." The American Economic Review, vol.75, no.5 (December) : 1071-1082
    Urbi A. Garay. 2000. "Essays on closed-end country funds and investment trusts." PhD Thesis, Isenberg School of Management (February).
    Werner F.M. and De Bondt. 1993. "Betting on trends: intuitive forecasts of financial risk and return." International Journal of Forecasting 9 : 355-371
    Xia Zhong-Jian. 1996. "What causes closed-end fund discounts?" PhD Thesis, Rutgers the State University of New Jersey-New Brunswick.
    *Papers written in Chinese
    Eric, Sha. 2000. "Are They Both Reluctant to Realize Their Losses? － Comparing Individual Investors with QFII in Taiwan Stock Exchange." Master Degree Thesis, Department of International Business, Ming Chuan University.
    Huang, Ya-Lan. 1994. "The Relationship between Individual Investor Sentiment and Discounts on Closed-end Funds in Taiwan." Master Degree Thesis, The Department and Graduate Institute of Finance, National Taiwan University.
    Lin, Chia-Chang. 1999. "The Study of Affecting Discount (or Premium) Behaviors and Factors for the New Transformation Rule of the Closed-end Funds." Master Degree Thesis, The Department and Graduate Institute of Finance, National Taiwan University.
    Su, Chueh-Ling. 2000. "Influence of Individual and Institutional Investors` Investment Behaviors on Stock Return and Turnover Ratios － An Empirical Research on Electrical Stocks in TSE." Master Degree Thesis, The Department and Graduate Institute of Finance, National Taiwan University.
    Yeh, Shun-Chi. 1994. "The Discounts and Premiums of Closed-End Funds in the Taiwan Stock Exchange." Master Degree Thesis, Department of Business Management, National Sun Yat-Sen University.
    描述: 碩士
    國立政治大學
    企業管理學系
    88355024
    資料來源: http://thesis.lib.nccu.edu.tw/record/#A2002001397
    資料類型: thesis
    顯示於類別:[企業管理學系] 學位論文

    文件中的檔案:

    沒有與此文件相關的檔案.



    在政大典藏中所有的資料項目都受到原著作權保護.


    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 ©   - 回饋