風險與報酬的關係一直是個爭議不斷的議題。1979年Kahneman and Tversky 提出展望理論 (prospect theory)，認為個人是基於參考點的位置不同，而會有不同的風險態度。此後，許多學者也利用展望理論來對風險與報酬的關係進行實證。本文以1993年到2005年台灣所有共同基金為主要研究對象，研究共同基金報酬風險與關係是否符合展望理論的推論。 就整體共同基金而言，本文發現台灣共同基金82年至94年之風險與報酬呈現顯著的正向關係；分組後，風險與報酬仍呈現正向關係，且兩不同組別的截距項並無顯著差異，斜率項的結果也類似，這與展望理論的推論結果並不一致。進一步就不同種類基金型態進行分析，本文發現股票、平衡、其他等三類，不論在不分組及分組後的風險與報酬的關係均為正向；只有債券型基金在分組前為負向關係，分組後Above組為正向關係，Below組為負向關係，符合展望理論的推論。 According to asset-pricing theories, there is a positive risk-return trade-off relationship. However, Bowman (1980) documents a negative, instead of a positive, relationship between risk and return based on accounting data of firms from 85 U.S. industries. Several studies have shown that the risk-return paradox can be explained based on Kahneman and Tversky (1979) prospect theory. Prospect theory argues that individuals use target or reference points in evaluating risky choices. In this article, to conform to the spirit of the prospect theory, I examine whether the risk-return relationship exists in Taiwan mutual fund market by running regressions for below and above the target level based on the median of average monthly returns. I found that the prospect theory is not as strong as the traditional literature bas shown.
