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題名：投資人貪婪、恐懼與風險調整之研究
作者：王嘉祺
作者(外文)：Jia-Chi Wang
校院名稱：國立雲林科技大學
系所名稱：財務金融系博士班
指導教授：李春安
學位類別：博士
出版日期：2013
主題關鍵詞：風險調整行為；貪婪；恐懼；展望理論；Greed；Fear；Prospect theory；Risk adjustment be
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第一篇:本文以展望理論為模型架構的基礎，以市場整體與個別投資人貪婪與恐懼心態變數的變化，代表市場與個人心理狀態的演變，探討個別投資人於利得與損失兩種不同狀態下的心理變化對投資風險調整行為的影響。文中亦一併討論投資人存在過度自信時，有關投資風險調整的差異。研究結果顯示，市場整體的貪婪與恐懼氣氛對個別投資人的風險調整影響方式，不因利得或損失情境而異；但個別投資人的貪婪與恐懼心態在利得與損失的情況下，對投資風險態度的調整方向則是相反。本文進一步以此建構一個最佳的風險調整策略，並將之與華倫责巴菲特名言作對照。此外，本文亦發現相較於沒有過度自信的情況，有過度自信的投資人在利得情境下，會降低風險水準；而在損失情境下，則是會提高風險水準。
第二篇:以往關於共同基金代理問題的研究，都是聚焦於基金經理人自身的心理偏誤，如基金經理人的自利性、從眾或是過度自信等。有別於過去文獻，本文感到好奇的是，受過嚴格專業訓練的基金經理人，其風險調整行為除了受自身心理偏誤影響之外，是否也會受到外在投資人心理偏誤的影響。本文分別以市場整體貪婪、恐懼氛圍與基金成份股的股票投資人的貪婪、恐懼心理偏誤，探討這些偏誤是否影響基金經理人的風險調整行為。研究結果顯示，市場恐懼氛圍、股票投資人的恐懼心理與基金經理人的風險調整呈顯著的負向關係；市場貪婪氛圍、股票投資人的貪婪心理則與基金經理人的風險調整呈現顯著的正向關係。本研究結果證實了即使受過專業訓練的基金經理人，他們仍會受到外在投資人心理偏誤的干擾而影響到其心態，進而做出非理性的風險調整行為。
First part:The prospect theory was adopted in this research to build a theoretical model. Risk adjustment behavior of investors influenced by their mentality towards gains and losses was observed by the changes of greed and fear on market and indivdual, representing developments of the investors’ state of mind. Besides, portfolio risk adjustments made by the over-confident investors were discussed. The results of the research indicate the sentiments of market greed and fear are not influenced by individual’s gains or losses when making risk adjustments. However, an individual’s greedy and fearful mentality is contrary to his/her attitude towards portfolio risk adjustments under the circumstances of relative gains and losses. Accordingly, an optimum risk adjustment strategy was established and contrasted with a well-known saying from Warren E. Buffett. Moreover, compared with those investors without over-confidence, the over-confident investors would reduce portfolio risks in a relative gains situation and increase portfolio risks under the situation of relative losses.
Second part:Much emphasis was placed on managers’ own mental biases such as self-interest, herding behavior, or overconfidence of fund managers in the previous studies on the agency problems of mutual funds. However, in addition to the mental biases of fund managers that have received strict specialty training, whether these fund managers are also affected by the mental biases of the investors on the market or not when adjusting their behavior towards risks is something to be focused in our paper. The influences of greed and fear on the market and the mental biases of greed and fear of the stock investors on fund managers’ adjustment of their behavior towards risks are explored respectively in this research. The results of our research indicate that the fearful atmosphere on the market and the fear of the stock individual investors are negatively correlated to fund managers’ risk adjustment behavior. The greedy atmosphere on the market and the greed of the stock individual investors are positively correlated with fund managers’ risk adjustment behavior. These results verify that even though the fund managers have received strict professional training, they will still be disturbed by the mental biases of the investors and may make irrational decisions when adjusting their behavior towards risks.
第一篇 貪婪與恐懼對投資人風險調整行為之影響－展望理論觀點
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第二篇 投資人貪婪與恐懼心理對基金經理人風險調整的影響
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