博碩士論文 88425024 詳細資訊




以作者查詢圖書館館藏 以作者查詢臺灣博碩士 以作者查詢全國書目 勘誤回報 、線上人數:29 、訪客IP:52.14.240.178
姓名 龔怡霖(Yi-Lin Guo )  查詢紙本館藏   畢業系所 財務管理研究所
論文名稱 行為財務學-文獻回顧與未來發展
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摘要(中) 效率市場假說假設人們的行為符合主觀預期效用理論和理性,即使有不理性行為驅使市場價格偏離基本價值,也會很快被套利所形成的市場力量所導正,但實證上陸續發現市場價格行為並非如效率市場假說所預期,主要原因在於人們面臨決策時,常會受限於人性的複雜而產生非理性行為,且套利力量在實務上有其極限,使得這些非理性行為將會持續的影響金融市場的效率性。行為財務學從展望理論出發,藉由一些觀察、實驗所發現的人類決策時常見的心理偏誤來取代現代財務模型中的理性行為假設,進一步解釋一些傳統財務理論所無法解釋的實證發現。行為財務學與傳統財務學針對金融市場的效率性已爭議了近二十年,本文主要目的在於整理行為財務學過去的文獻、釐清其理論架構,並對照印證關於市場效率性的實證研究,期望藉由行為財務學對投資人真實行為的觀察,豐富今後財務研究的內涵。
關鍵字(中) ★ 套利的極限
★  展望理論
★  效率市場假說
★  行為財務學
★  非理性行為
關鍵字(英) ★ efficient market hypothesis
★  limits of arbitrage
★  prospect theory
論文目次 目錄
頁次
第壹章 行為財務學簡介………………………………1
第貳章 行為財務學理論架構………………………..6
2.1 展望理論…………………………………………………….6
2.2 展望理論的其他特性………….………………………….11
2.2.1 心理帳戶…………………………………………………………11
2.2.2 機會成本和原賦效果……………………………………………14
2.2.3 沈沒成本………………………………………………………..14
2.2.4 搜尋成本………………………………………………………..16
2.2.5 處分效果…………………………………………………………16
2.3 行為財務學的其他理論…………………………….…….17
2.3.1 經驗法則偏誤…………………………………………………..17
2.3.2 框架相依………………………………………………………..22
第參章 行為財務學與效率市場說………………………26
3.1 報酬可預測性…………………..…………………………28
3.1.1 長期報酬率的發現……………………………………………..28
3.1.2 短期報酬率的發現……………………………………………..29
3.1.3 股價變動性的探討……………………………………………..29
3.1.4 股價報酬的週期性效果…………………………………………30
3.1.5 傳統財務學對報酬可預測性的解釋……………………………32
3.2公開資訊與報酬率間的關係……………………………….32
3.2.1 贏家的詛咒………………………………………………………33
3.2.2 新股上市…………………………………………………………34
3.2.3 盈餘宣告效果…………………………………………………….36
3.2.4 加入指數造成之超額報酬……………………………………….37
3.2.5 封閉式基金之謎………………………………………………….37
3.3 私人資訊與報酬率間的關係…………………………….40
第四章 回顧與展望…………………………………..42
4.1 無效率市場的應用………………………………………42
4.2 行為財務學的回顧………………………………………43
4.3 行為財務學未來發展方向………………………………45
參考文獻……………………………………………….47
圖目錄
頁次
圖2-1 價值函數圖…………………………………………………………………10
圖2-2 決策權數函數圖…………………………………………………………….10
圖2-3 混合利得圖一………………………………………………………………..12
圖2-4 混合利得圖二……….………………………………………………………12
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註:粗黑體字為主要參考文獻
指導教授 周賓凰(Pin-Huang Chou) 審核日期 2001-7-3
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