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題名:隱含處份效果之價值函數
書刊名:經濟研究. 臺北大學經濟學系
作者:郭志安 引用關係陳銘凱
作者(外文):Guo, ZionChen, Ming-kai
出版日期:2014
卷期:50:1
頁次:頁49-67
主題關鍵詞:展望理論價值函數處份效果Prospect theoryValue functionDisposition effect
原始連結:連回原系統網址new window
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處份效果係指人們在從事證券交易時,傾向於實現獲利的股票卻又不願處份損失的部位。由於 Tversky and Kahneman (1992) 所提出的價值函數無法解釋處份效果,因此,本文在展望理論的基本精神之下,建構出一個 型態的價值函數,除了可以解釋處份效果,也解決了財富變動量趨近於零時風險偏好不合理的現象。
The definition of the disposition effect is when investors tend to realize profit gains, but are reluctant to realize losses. Because the value function proposed by Tversky and Kahneman (1992) cannot explain the disposition effect, we develop a tanh (x)-form value function by using the essence of the prospect theory. This explains the disposition effect and solves for the phenomenon of unreasonable risk attitudes when the change of wealth approaches zero.
期刊論文
1.Frino, A.、Johnstone, D.、Zheng, H.(2004)。The propensity for local traders in futures markets to ride losses: Evidence of irrational or rational behavior?。Journal of Banking and Finance,28(2),353-372。  new window
2.Heisler, Jeffrey(1994)。Loss aversion in a futures market: An empirical test。Review of Futures Market,13(3),793-822。  new window
3.Kaustia, M.(2010)。Prospect theory and the disposition effect。Journal of Financial and Quantitative Analysis,45(3),791-812。  new window
4.Fabiyi, M. E.(2008)。Proposing a Normative Basis for the S-Shaped Value Function。Advances in Decision Making Under Risk and Uncertainty,42,109-118。  new window
5.Hershbarger, R. A.(1975)。Insurance Underwriting Capacity: A Psychometric Approach。The Journal of Risk and Insurance,42(1),51-68。  new window
6.Lichtenstein, S.、Slovic, P.(1971)。Reversals of Preference between Bids and Choices in Gambling Decisions。Journal of Experimental Psychology,89(1),46-55。  new window
7.Podesta, G.、Weber, E. U.、Laciana, C.、Bert, F.、Letson, D.(2008)。Agricultural Decision Making in the Argentine Pampas: Modeling the Interaction between Uncertain and Complex Environments and Heterogeneous and Complex Decision Makers。Decision Modeling and Behavior in Complex and Uncertain Environments,21,57-76。  new window
8.Reilly, R. J.(1982)。Preference Reversal: Further Evidence and Some Suggested Modification in Experimental Design。The American Economic Review,72(3),576-584。  new window
9.Markowitz, Harry(1952)。The Utility of Wealth。Journal of Political Economy,60(2),151-158。  new window
10.Barberis, Nicholas、Xiong, Wei(2009)。What drives the disposition effect? An analysis of a long-standing preference-based explanation。Journal of Finance,64,751-784。  new window
11.Hens, T.、Vlcek, M.(2011)。Does prospect theory explain the disposition effect?。Journal of Behavioral Finance,12(3),141-157。  new window
12.Weber, M.、Camerer, C. F.(1998)。The disposition effect in securities trading: An experimental analysis。Journal of Economic Behavior and Organization,33(2),167-184。  new window
13.Kahneman, D.、Tversky, A.(1979)。Prospect theory: An analysis of decision under risk。Econometrica,47(2),263-291。  new window
14.Ellsberg, Daniel(1961)。Risk, Ambiguity, and the Savage Axioms。The Quarterly Journal of Economics,75(4),643-669。  new window
15.Locke, P. R.、Mann, S. C.(2005)。Professional Trader Discipline and Trade Disposition。Journal of Financial Economics,76(2),401-444。  new window
16.Friedman, M.、Savage, L. J.(1948)。The Utility Analysis of Choices Involving Risk。Journal of Political Economy,56(4),279-304。  new window
17.Barberis, N.、Huang, M.、Santos, T.(2001)。Prospect Theory and Asset Prices。Quarterly Journal of Economics,116(1),1-54。  new window
18.Shapira, Z.、Venezia, I.(2001)。Patterns of Behavior of Professionally Managed and Independent Investors。Journal of Banking and Finance,25(8),1573-1587。  new window
19.Odean, Terrance(1998)。Are Investors Reluctant to Realize Their Losses?。The Journal of Finance,53(5),1775-1798。  new window
20.Shefrin, Hersh、Statman, Meir(1985)。The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence。The Journal of Finance,40(3),777-790。  new window
21.Tversky, Amos、Kahneman, Daniel(1992)。Advances in prospect theory: Cumulative representation of uncertainty。Journal of Risk and Uncertainty,5(4),297-323。  new window
22.Pratt, John W.(1964)。Risk Aversion in the Small and in the Large。Econometrica,32(1/2),122-136。  new window
23.Grinblatt, Mark S.、Keloharju, Matti(2001)。What makes investors trade?。Journal of Finance,56(2),589-616。  new window
24.Hung, Mao-Wei、Wang, J. Y.(2005)。Asset Prices under Prospect Theory and Habit Formation。Review of Pacific Basin Financial Markets and Policies,8,1-29。  new window
25.Allais, Par Maurice(1953)。Le Comportement de L'Homme Rationnel devant le Risque: Critique des Postulates et Axiomes de L'Ecole Americaine。Econometrica,21,503-546。  new window
研究報告
1.Bhattacharyya, N.(2003)。From Mean Variance Space to Mean Skewness Space-Implications for Simultaneous Risk Seeking and Risk Averting Behavior。  new window
圖書
1.Koornstra, M. J.(2007)。Changing Choices: Psychological Relativity Theory。Leiden:Amsterdam University Press。  new window
2.Von Neumann, John、Morgenstern, Oskar(1944)。Theory of games and economic behavior。Princeton University Press。  new window
圖書論文
1.Bernoulli, J.(1696)。Problema Novum ad Cujus Solutionem Mathematiei Invitantur。Acta Eruditorum。  new window
 
 
 
 
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