根據三個切點探討期貨日交易者之損失趨避行為__臺灣人文及社會科學引文索引資料庫

:::

詳目顯示

第 1 筆 / 總合 1 筆

/1頁

論文基本資料
摘要
外文摘要
參考文獻

題名：	根據三個切點探討期貨日交易者之損失趨避行為
作者：	林鳳珍
作者(外文)：	Feng-ChenLin
校院名稱：	國立成功大學
系所名稱：	財務金融研究所
指導教授：	李宏志
學位類別：	博士
出版日期：	2016
主題關鍵詞：	展望理論；損失趨避；投資者特徵；期貨市場；prospect theory；loss aversion；investor’s characteristics；futures markets
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:0 點閱:0

本研究探討台灣期貨日交易者是否存在損失趨避(Loss Aversion)之投資偏誤行為(anomalies)。我們使用台灣期貨交易所提供的散戶交易人資料，使用大台指期貨根據Coval and Shumway (2005)的迴歸式以2006年1月至2007年12月之月資料並且透過三個切點將投資人的投資行為切割為“最大已實現損失” (MRL)、“最大已實損失之中位數” (M-MRL)與“交易時間的中點” (早上11:15)分成前期與後期，探討投資人前期損失或獲利，後期承擔風險的態度為何。此外，本研究進一步地按照投資人的特徵:性別、年齡與專業度的不同來探討損失趨避的行為是否在這些特性中也存在著差異性。
由本研究結果顯示:三個切點的確有不同的結果，特別是非時間線切點M-MRL與時間切點早上11:15有顯著不同的正負向關係。我們發現非時間線的切點M-MRL最能表現出投資人損失趨避的偏誤行為，因為當投資人在感受到最大損失之前的損失壓力所表現出來的投資行為最能分析出是否投資人有損失趨避的異常表現。另外，M-MRL切點是以每位投資人累積當天交易日之最大已實現損失之中位數為切點比時間線的切點更能符合展望理論提出的S型價值函數的領域(domain)。
另外，本研究為了強調投資人個人的投資行為表現，使用每位交易者帳戶資料計算各項變數值，為了消弭可能有些投資人在各項變數權數過高的問題，本研究計算每位交易者每個月平均獲利以及每個月各項風險平均值來進行迴歸分析，並且以月資料來呈現投資人的投資行為表現。
最後，本研究結果顯示出投資人不同的特徵:性別、年齡與專業度會有不一樣的損失趨避結果。性別方面，男性投資者比女性投資者更顯著的存在損失趨避的投資偏誤行為；年齡方面，30歲以上的投資者有顯著的損失趨避投資行為，特別是30歲以上的男性投資者有明顯的結果。然而，非專業投資人比專業投資人顯著存在損失趨避之投資偏誤行為，特別是非專業的男性投資者有顯著的結果。

以文找文

In this study, we explore whether futures day traders in the Taiwan Futures Exchange act with loss aversion behavior (LA) between January 1, 2006, and December 31, 2007. We use three cutting points: maximum realized losses of each day trader (MRL), median of maximum realized losses of each day trader (M-MRL) and midpoint of the trading day 11:15 a.m. as the preceding period/later period cutting points to examine whether traders with profits or losses in the preceding period would increase or reduce their later period risk-taking based on regression analysis of Coval and Shumway (2005). In addition, we analyze whether the differences exist in loss aversions on the basis of investors’ characteristics of sex, age, and professionalism.
Our analyses suggest that these new cutting points provide different results. Especially, the M-MRL cutting point is different from the timeline cutting point of 11:15 a.m. and the M-MRL cutting point displays loss aversion. The reason is that when we use M-MRL as cutting point we can best analyze whether the investors have acted with loss aversion when they act under the pressure of fearing loss just before the time where they face the maximum loss of the trading day. In addition, the M-MRL cutting point functions better than the middle-time cutting point in the S-shaped value domain of Prospect Theory.
However, in order to highlight the trader’s persistent behavioral pattern, we run regression based on the individual monthly data by averaging daily value of all variables for each trader. Calculating average monthly data is also controlling for heterogeneity across traders. Hence, we use the monthly data instead of daily data to analyze trader’s loss aversion behavior.
Finally, we find that different characteristics correlate differently with investment behavior. As for the gender aspect, result displays that male but not for female shows significant loss aversion behaviors. At the aspect of age, result shows that investors who are in their 30s or above act with significant LA biased behaviors, especially older males. The result of professionalism shows that non-professional investors display statistically significant loss aversion behaviors, especially male non-professional investors.

以文找文

Referecne
Abdellaoui, M., Bleichrodt, H. and Paraschiv, C., 2007, “Loss Aversion under Prospect Theory: A Parameter-Free Measurement, Management Science, 53(10), 1659-74.

Barber, B. M. and Odean, T., 2000, “Trading is hazardous to your wealth: The common stock investment performance of individual investors, Journal of Finance ,55, 773–806.

Barber, B. M. and Odean, T., 2001, “Boys will be boys: gender, overconfidence, and common stock investment, The Quarterly Journal of Economics, 116, 261-292.

Barber, B. M., Lee, Y. T., Liu, Y. J. and Odean, T., 2007, “Is the Aggregate Investor Reluctant to Realize Losses? Evidence from Taiwan, European Financial Management, 13, 423-447.

Benartzi, S. and Thaler, R. H., 1995, “Myopic loss aversion and the equity premium puzzle, Quart. J. Econom. 110(1), 73–92.

Beyer, S. and Bowden, E. M., 1997, “Gender Differences in Self- Perceptions：Convergent Evidence from Three Measures of Accuracy and Bias, Personality and Social Psychology Bulletin, 23, 157-172.

Blavatskyy, P. R., 2008, “Loss Aversion, Working Paper, University of Zurich.

Brooks, P. and Zank, H., 2005, “Loss averse behavior, Journal of Risk and Uncertainty, 31(3), 301-325.

Brown K. C., 1996, “Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry The Journal of Finance, 51 (1), 85-110.

Chen, Lakshminaryanan, and Santos, 2006, “How basic are behavioral Biases? Evidence from Capuchin Monkey Trading Behavior, The Journal of political economy, 114, 517-537.

Chevalier, J. and Ellison, G., 1997, “Risk taking by mutual funds as a response to incentives, Journal of Political Economy, 105, 1167-1200.

Coval, J. D. and Shumway, T., 2005, “Do Behavioral Biases Affect Prices?, Journal of Finance, 60, 1-34.

Dhar, R., and Zhu, N., 2006, “Up Close and Personal: Investor Sophistication and the Disposition Effect, Management Science, 52, 726-740.

Gächter, S., Johnson, E. and Herrmann, A., 2007, “Individual-level loss aversion in riskless and risky choices IZA Working Paper, 35–43.

Genesove, D., and Mayer, C., 2001, “Nominal loss aversion and seller behavior: Evidence from the housing market, Quart. J. Econom., 116(4), 1233–1260.

Gomes, J. F., 2005, “Portfolio Choice and Trading Volume with Loss-Averse, Journal of Business, 78, 675-706.

Green, L., Myerson, J., Lichtman, D., Rosen, S., and Fry, A., 1996, “Temporal discounting in choice between delayed rewards: The role of age and income Psychology and Aging, 11, 79-84.

Haigh, M. S. and List, J. A., 2005, “Do Professional Traders Exhibit Myopic Loss Aversion? An Experimental Analysis, Journal of Finance, 60, 523-534.

Harbaugh, W. T., Krause, K. and Vesterlund, L., 2002, “Risk Attitudes of Children and Adults:Choices Over Small and Large Probability Gains and Losses. Experimental Economics, 5(1): 53-84.

Hartog, J., Carbonell, A. and Jonker, N., 2002, “Linking Measured Risk aversion to Individual Characteristics Kyklos, 55(1): 3-26.

Hassan, T. R., Khalid, W. and Habib, A., 2014, “Overconfidence and Loss Aversion in Investment Decisions: A Study of the Impact of Gender and Age in Pakistani Perspective Research Journal of Finance and Accounting, 2014, 5(11), 148-157.

Kahneman, D. and Tversky, A., 1979, “Prospect Theory: An Analysis of Decision Under Risk. , Econometrica, 46, 171-85.

Kermer, D. A., Driver-Linn, E., Wilson, T. D. and Gilbert, D. T., 2006, “Loss aversion is an affective forecasting error, Psychological Science, 17 (8), 649–653.

Klapper, D., Ebling, C. and Temme, J., 2005, “Another look at loss aversion in brand choice data: Can we characterize the loss averse consumer?, International Journal of Research in Marketing, 22(3), 239-254.
Lenney, E., 1977, “Women’s Self-Confidence in Achievement Settings, Psychology Bulletin, 84, 1-13.

Li, H. C., Lin, C. H., Cheng, T. Y. and Lai, S. C., 2013, “How Different Types of Traders Behave in the Taiwan Futures Market, The Journal of Futures Markets, 33(12), 1097–1117.

List, J. A., 2002, “Preference reversals of a different kind: The more is less phenomenon, American
Economic Review, 92, 1636–1643.

List, J. A., 2003, “Does market experience eliminate market anomalies? Quarterly Journal of
Economics, 118, 41–71.

Liu, Y. J., Tsai, C. L., Wang, M. C. and Zhu, N., 2010, “Prior consequence and subsequent risk taking: new field evidence from the Taiwan Futures Exchange, Management Science, 56(4), 606-620.

Locke, P. R., and Mann, S. C., 2001, “Do professional traders exhibit loss realization aversion?, SSRN Working Paper, http://ssrn.com/abstract=251942.

Locke, P. R., and Mann, S. C., 2003, “Prior outcomes and risky choices by professional traders, working paper, George Washington University, Washington, DC.

Locke, P. R., and Mann, S. C., 2005, “Professional trader discipline and trade disposition, Journal of Financial Economics, 76(2), 401-444.

Lundeberg, M. A., Fox, P. W. and Punccohar, J., 1994, “Highly Confident but Wrong：Gender Differences and Similarities in Confidence Judgment, Journal of Educational Psychology, 86, 114-121.

Manaster, S. and Mann, S. C., 1996, “Life in the pits: Competitive market making and inventory control, Review of Financial Studies, 9, 953-975.

Odean, T., 1998, “Are investors reluctant to realize their losses? Journal of Finance, 53, 1775-1798.

Powell, M. and Ansic, D., 1997, “Gender Differences in Risk Behavior in Financial Decision-Making: An Experimental Analysis, Journal of Economic Psychology, 18 (6), 605-28.
Rau, A. H., 2014, “The disposition effect and loss aversion: Do gender differences matter?, Economics Letters, April, 123(1), 33-36.

Schmidt, U. and Traub, S., 2002, “An Experimental Test of Loss Aversion, Journal of Risk and Uncertainty, 25, 233-249.

Schmidt, U. and Zank, H., 2005, “What is Loss Aversion?, The Journal of Risk and Uncertainty, 30, 157-167.

Shapira, Z. and Venezia, I., 2001, “Patterns of behavior of professionally managed and independent investors, Journal of Banking and Finance, 25, 1573–1587.

Sumit, A., Driscoll, J. C., Gabaix, X. and Laibson, D., 2009, “The age of Reason: Financial Decisions over the Life Cycle and Implications for Regulation, Brooking Paper on Economic Activity, 51-101.

Thaler, R. H. and Johnson, E. J., 1990, “Gambling with the house money and trying to break even: The effects of prior outcomes on risky choice, Management Science, 36, 643-660.

Tversky, A. and Kahneman, D. 1991, Loss Aversion in Riskless Choice: A Reference Dependent Model, Quarterly Journal of Economics, 106 (4), 1039–1061.

Tversky, A., and Kahneman, D., 1992, “Advances in prospect theory: Cumulative representative of uncertainty, Journal of Risk and Uncertainty, 5, 297–323.

推文
推薦
引用網址
引用嵌入語法
轉寄

top

:::

相關期刊
相關論文
相關專書
相關著作
熱門點閱

1.	臺灣股票市場權益風險溢酬之分析
2.	行為財務學--文獻回顧與展望

無相關博士論文

無相關書籍

無相關著作

無相關點閱

QR Code

臺灣人文及社會科學引文索引資料庫系統

詳目顯示

臺灣人文及社會科學引文索引資料庫