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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/124692


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    題名: 過度自信在牛熊市之績效探討
    Performance of Overconfidence in bull and bear market
    作者: 朱鴻埕
    Zhu, Hong-Cheng
    貢獻者: 李志宏
    朱鴻埕
    Zhu, Hong-Cheng
    關鍵詞: 過度自信
    牛熊市
    Overconfidence
    Bull and Bear market
    日期: 2019
    上傳時間: 2019-08-07 16:03:21 (UTC+8)
    摘要: 本文研究主要是針對過去過度自信會造成投資人績效偏差的現象進行研究，主要是因為本文作者認為過度自信是一個好的現象，看對股市方向擴大交易行為應當能把握較多的報酬，而且也有過去文獻針對過度自信的交易行為進行平反，不過大多是以模型推導為主，因此本文將以實證分析來找出何種情形過度自信會有正面的影響，並且假設當牛市時進行過度自信較能掌握報酬，以及針對過度自信的衡量將以牛市情況下以較高的股市週轉率來做代表，力圖透過現在牛市市場找出過度自信對績效有正面的影響。
    This essay focuses on the bad performance of the behavior from overconfidence because the author of this essay believes that overconfidence should cause good result of profit if investors having the right expectation would make profit by aggressive trading.
    In addition, past essays also stand this point by building model to expect the good result from overconfidence. Hence, this essay will use empirical analysis to find out under what circumstances overconfidence will have a positive impact on performance and assume in bull market overconfident investor should capture additional profit. And use the turnover factor in bull market as a proxy for overconfidence. Try to establish the finding that overconfidence would cause good profit.
    參考文獻: Barber, B. M., & Odean, T. (2000). Trading is hazardous to your wealth: The common stock investment performance of individual investors. The journal of Finance, 55(2), 773-806.
    Barber, B. M., & Odean, T. (2000). Too many cooks spoil the profits: The performance of investment clubs. Financial Analyst Journal, 56(1), 17-25.
    Barber, B. M., Lee, Y. T., Liu, Y. J., & Odean, T. (2004). Do individual day traders make money? Evidence from Taiwan. University of California, Berkeley, working paper.
    Barber, B. M., Lee, Y. T., Liu, Y. J., & Odean, T. (2008). Just how much do individual investors lose by trading?. The Review of Financial Studies, 22(2), 609-632.
    Benos, A. V. (1998). Aggressiveness and survival of overconfident traders. Journal of Financial Markets, 1(3-4), 353-383.
    Chuang, W. I., & Lee, B. S. (2006). An empirical evaluation of the overconfidence hypothesis. Journal of Banking & Finance, 30(9), 2489-2515.
    Chuang, W. I., & Susmel, R. (2011). Who is the more overconfident trader? Individual vs. institutional investors. Journal of Banking & Finance, 35(7), 1626-1644.
    Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under‐and overreactions. the Journal of Finance, 53(6), 1839-1885.
    Daniel, K. D., Hirshleifer, D., & Subrahmanyam, A. (2001). Overconfidence, arbitrage, and equilibrium asset pricing. The Journal of Finance, 56(3), 921-965.
    De Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact?. The Journal of finance, 40(3), 793-805.
    Gervais, S., & Odean, T. (2001). Learning to be overconfident. Review of financial studies.
    Kahneman, D., & Riepe, M. W. (1998). Aspects of investor psychology. Journal of portfolio management, 24(4), 52-+.
    Odean, T. (1998). Are investors reluctant to realize their losses?. The Journal of finance, 53(5), 1775-1798.
    Odean, T. (1999). Do investors trade too much?. American economic review, 89(5), 1279-1298.
    Pagan, A. R., & Sossounov, K. A. (2003). A simple framework for analysing bull and bear markets. Journal of applied econometrics, 18(1), 23-46.
    Statman, M., Thorley, S., & Vorkink, K. (2006). Investor overconfidence and trading volume. The Review of Financial Studies, 19(4), 1531-1565.
    劉永欽, & 洪榮華. (2006). 過度自信與股市交易行爲關聯性之實證研究-以國內證券商爲例. 中山管理評論, 14(3), 569-603.
    蔡永順, & 劉文智. (2011). 台灣機構投資人過度自信行為實證研究. 台灣管理學刊, 11(2), 91-126.
    描述: 碩士
    國立政治大學
    財務管理學系
    106357002
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0106357002
    資料類型: thesis
    DOI: 10.6814/NCCU201900490
    顯示於類別:[財務管理學系] 學位論文

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