展望理論與共同基金績效

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姓名

張淙浤(Chung-Hung Chang) 查詢紙本館藏

畢業系所

財務金融學系在職專班

論文名稱

展望理論與共同基金績效
(Prospect Theory and the Performance of Mutual Fund)

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摘要(中)

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。

摘要(英)

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.

關鍵字(中)

★ 展望理論
★ 風險與報酬關係
★ 共同基金

關鍵字(英)

★ Mutual fund
★ risk-return trade-off relationship
★ Prospect theory

論文目次

目錄............................. Ⅰ
表目錄............................ Ⅱ
第一章緒論
第一節研究動機與目的..................... 1
第二節研究架構........................ 4
第二章文獻回顧........................6
第三章實證研究設計
第一節研究假說...................... 10
第二節研究資料來源與變數定義................ 11
第三節研究模型與研究方法................. 12
第四章實證結果與分析
第一節不分類的實證結果...................15
第二節分類實證結果.................... 16
第五章結論與建議......................25
參考文獻.......................... 31

參考文獻

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Bettis, R. A., and Mahajan, V. 1985,“Risk/ return performance of diversified firms,” Management Science, 31: 785-799.
Bowman, Edward,H., 1980,“A risk/ return paradox for strategic management. Sloan Management Review, 21(3): 17-31
Bowman, Edward,H., 1982, “Risk seeking by trouble firms,” Sloan Management Review, 23(4): 33-42
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周賓凰、池祥萱、周冠男、龔怡霖，2002，「行為財物學：文獻回顧與展望」，證券市場發展季刊14卷2期，頁1-48。
胡煒珍，展望理論與風險報酬關係之研究，國立中央大學財務金融研究所碩士論文，民國92年。

指導教授

周賓凰(Pin-Huang Chou)

審核日期

2006-6-21

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