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    政大典藏 > College of Commerce > Department of Finance > Theses >  Item 140.119/131482


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/131482


    Title: 投資者情緒與展望理論效應
    Investor Sentiment and Prospect Theory Effect
    Authors: 韓靖
    Han, Jing
    Contributors: 岳夢蘭
    陳鴻毅
    Yueh, Meng-Lan
    Chen, Hong-Yi
    韓靖
    Han, Jing
    Keywords: 展望理論
    概率加權
    損失厭惡
    股票回報率
    Prospect theory
    Probability weighting
    Loss aversion
    Stock returns
    Date: 2020
    Issue Date: 2020-09-02 11:43:56 (UTC+8)
    Abstract: 在展望理論中，由概率加權、損失厭惡和凹凸性構成的股票價值函數與股票的預期收益率負相關。本文發現概率加權或者損失厭惡的部分對股票收益的影響隨著投資者情緒水平的變化而改變。具體來說，在高市場情緒時期，概率加權在預測股票收益方面發揮著最重要的作用，此時投資者會高估高概率加權值的股票。損失厭惡能夠顯著預測低市場情緒時期的股票回報，此時低損失厭惡值的股票被低估。在考察不同性質股票的特征後，高概率加權的股票擁有較高的過去平均收益率、較高的最大值和較大的偏態，類似於在高市場情緒時期吸引投資者的彩票型股票；低損失厭惡值的股票具有較低的過去平均回報率、較低的最低回報率和高波動度，在低情緒時期對投資者不具有吸引力。
    In prospect theory the value function of a stock, which consists of probability weighting, loss aversion, and concavity/convexity, is negatively related to its expected return. In this paper, I find the effect of probability weighting or loss aversion on stock returns varies with
    investor sentiment levels. Specifically, probability weighting plays the most important role in predicting stock returns following high-sentiment periods, but investors tend to overvalue stocks with high probability weighting. Loss aversion predicts stock returns following low sentiment periods, but stocks with low loss aversion are undervalued. After examining the characteristics of stocks, I suggest that stocks with high probability weighting are those with high past average returns, high maximum, and high skewness, resembling lottery-type stocks attractive to investors during high-sentiment periods; stocks with low loss aversion have low past average returns, low minimum, and high volatility, which are unappealing to investors during low-sentiment periods.
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    Description: 博士
    國立政治大學
    財務管理學系
    105357502
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0105357502
    Data Type: thesis
    DOI: 10.6814/NCCU202001429
    Appears in Collections:[Department of Finance] Theses

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