Relationship of Fund Returns and Volatility with Investor Greed and Fear__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

來源文獻資料
摘要
外文摘要
引文資料

題名：	Relationship of Fund Returns and Volatility with Investor Greed and Fear
書刊名：	財務金融學刊
作者：	李春安／賴弘程／王嘉祺
作者(外文)：	Li, Chun-an／Lai, Hung-cheng／Wang, Jia-ch
出版日期：	2015
卷期：	23:4
頁次：	頁71-103
主題關鍵詞：	貪婪；恐懼；基金；投資人行為；Greed；Fear；Funds；Investor behavior
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:4 點閱:6

本文以行為財務學角度，量化基金投資人的貪婪與恐懼情緒，並分別檢視基金投資人與市場投資人對基金報酬和波動之關係。實證結果顯示，基金投資人的貪婪與恐懼具相互影響之關係。基金投資人的貪婪與恐懼行為會反應在基金報酬上。最後，市場投資人恐慌氛圍會負向影響基金報酬。

以文找文

In this paper, the sentiments of greed and fear experienced by fund investors are quantified from the perspective of behavioral finance, and then used to separately examine the impact that fund investors and market investors have on fund returns and volatility. The empirical results indicate that fund investor greed and fear mutually influence each other. We also find that fund investor behaviors arising from greed and fear are reflected in the fund returns. Additionally, a panicky atmosphere among market investors has a negative effect on fund returns.

以文找文

期刊論文
1.	Bailey, Warren、Kumar, Alok、Ng, David(2011)。Behavioral biases of mutual fund investors。Journal of Financial Economics，102(1)，1-27。
2.	Barber, Brad M.、Odean, Terrance(2001)。Boys will be boys: Gender, over-confidence, and common stock investment。Quarterly Journal of Economics，116，261-292。
3.	Barber, Brad M.、Odean, Terrance、Zheng, Lu(2005)。Out of sight, out of mind: The effects of expenses on mutual fund flows。Journal of Business，78(6)，2095-2120。
4.	Camerer, Colin F.(1998)。Can asset markets be manipulated? A field experiment with racetrack betting。Journal of Political Economy，106(3)，457-482。
5.	Busse, Jeffrey A.、Goyal, Amit、Wahal, Sunil(2010)。Performance and persistence in institutional investment management。Journal of Finance，65，765-790。
6.	Chou, Pin-Huang、Zhang, Yu-Zhi、Lin, Mei-Chen(2007)。The interaction between investor sentiment and stock returns。Review of Securities and Futures Markets，19，153-190。
7.	Choi, James J.、Laibson, David、Madrian, Brigitte(2010)。Why does the law of one price fail? An experiment on index mutual funds。Review of Financial Studies，23，1405-1432。
8.	Chakrabarti, Rajesh、Roll, Richard(2002)。East Asia and Europe during the 1997 Asian collapse: A clinical study of a financial crisis。Journal of Financial Markets，5，1-30。
9.	Dhar, Ravi、Zhu, Ning(2006)。Up close and personal: Investor sophistication and the disposition effect。Management Science，52，726-740。
10.	Dennis, Patrick、Mayhew, Stewart(2002)。Risk-Neutral skewness: Evidence from stock options。Journal of Financial and Quantitative Analysis，37(3)，471-493。
11.	Coval, Joshua D.、Stafford, Erik(2007)。Asset fire sales (and purchases) in equity markets。Journal of Financial Economics，86(2)，479-512。
12.	Elton, Edwin J.、Gruber, Martin J.、Busse, Jeffrey A.(2004)。Are investors rational? Choices among index funds。Journal of Finance，59，261-288。
13.	Edelen, Roger M.、Warner, Jerold B.(2001)。Aggregate price effects of institutional trading: A study of mutual fund flow and market returns。Journal of Financial Economics，59，195-220。
14.	Edelen, Roger M.(1999)。Investor flows and the assessed performance of open-end mutual funds。Journal of Financial Economics，53，439-466。
15.	Ding, Bill、Shawky, Hany A.、Tian, Jianbo(2009)。Liquidity shocks, size and the relative performance of hedge fund strategies。Journal of Banking and Finance，33，883-891。
16.	Fant, Franklin、O'Neal, Edward S.(2000)。Temporal changes in the determinants of mutual fund flows。Journal of Financial Research，23，353-371。
17.	Fama, Eugene F.、French, Kenneth R.(2010)。Luck versus skill in the cross section of mutual fund returns。Journal of Finance，65(5)，1915-1947。
18.	Gil-Bazo, Javier、Ruiz-Verdú, Pablo(2009)。The relation between price and performance in the mutual fund industry。Journal of Finance，64，2153-2183。
19.	Froot, Kenneth A.、O'Connell, Paul G. J.、Seasholes, Mark S.(2001)。The portfolio flows of international investors。Journal of Financial Economics，59(2)，151-193。
20.	Frazzini, Andrea、Lamont, Owen A.(2008)。Dumb Money: Mutual fund flows and the cross-section of stock returns。Journal of Financial Economics，88，299-322。
21.	Huang, Jennifer、Wei, Kelsey D.、Yan, Hong(2007)。Participation costs and the sensitivity of fund flows to past performance。Journal of Finance，62，1273-1311。
22.	Hsieh, Meng-Fen、Yang, Tzu-Yi、Yang, Yu-Tai(2010)。Positive trading effects and herding behavior in Asian markets: Evidence from mutual funds。International Journal of Business and Finance Research，4，177-188。
23.	Henriksson, Roy D.、Merton, Robert C.(1981)。On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills。Journal of Business，54，513-533。
24.	Gruber, Martin J.(1996)。Another puzzle: The growth in actively managed mutual funds。Journal of Finance，51，783-810。
25.	Jun, Xiao、Li, Ming-Sheng、Shi, Jing(2014)。Volatile market condition and investor clientele effects on mutual fund flow performance relationship。Pacific-Basin Finance Journal，29，310-334。
26.	Jensen, Michael C.(1968)。The performance of mutual fund in the period 1945-1964。Journal of Finance，23，389-416。
27.	Jain, Prem C.、Wu, Joanna S.(2000)。Truth in mutual fund advertising: Evidence of future performance and fund flows。Journal of Finance，55，937-958。
28.	Iihara, Yoshio、Kato, Hideaki K.、Tokunaga, Toshifumi(2001)。Investors' herding on the Tokyo stock exchange。International Review of Finance，2，71-98。
29.	Kukacka, Jiri、Barunik, Jozef(2013)。Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment。Physica A: Statistical Mechanics and Its Applications，392，5920-5938。
30.	Keswani, Aneel、Stolin, David(2008)。Which money is smart? Mutual fund buys and sells of individual and institutional investors。Journal of Finance，63(1)，85-118。
31.	Kar, Jyotirmayee(2008)。Fear in financial economics。IUP Journal of Financial Economics，6，77-78。
32.	Kacperczyk, Marcin、Sialm, Clemens、Zheng, Lu(2005)。On the industry concentration of actively managed equity mutual funds。Journal of Finance，60，1983-2011。
33.	Lee, Jen-Sin、Shen, Chung-Hua、Yen, Pi-Hsia(2010)。Risk states of funds and fund investors' disposition effects: Application of the panel threshold model。Journal of Management，27，459-477。
34.	Lashgari, Malek(2000)。The role of TED spread and confidence index in explaining the behavior of stock prices。American Business Review，18，9-11。
35.	Kurov, Alexander(2008)。Investor sentiment, trading behavior, and informational efficiency in index futures markets。Financial Review，43(1)，107-127。
36.	Liao, Tsai-Ling、Huang, Chih-Jen、Wu, Chieh-Yuan(2011)。Do fund managers herd to counter investor sentiment?。Journal of Business Research，64，207-212。
37.	Li, Hong-Quan、Wang, Shou-Yang、Shang, Wei(2011)。Heterogeneity, nonlinearity, and endogenous market volatility。Journal of Systems Science and Complexity，24，1130-1142。
38.	Li, Chun-An、Lai, Hung-Cheng(2009)。The effect of fund flows on fund managers' trading behavior。Journal of Financial Studies，17，157-182。
39.	Mishchenko, Yuriy(2014)。Oscillations in Rational Economies。PLoS ONE，9，e87820。
40.	Mingers, John、Parker, Kim T.(2010)。Should you stop investing in a sinking fund when it is sinking?。European Journal of Operational Research，207，508-513。
41.	Mamaysky, Harry、Spiegel, Matthew、Zhang, Hong(2008)。Estimating the dynamics of mutual fund alphas and betas。Review of Financial Studies，21，233-264。
42.	Low, Cheekiat(2004)。The fear and exuberance from implied volatility of S&P 100 index options。Journal of Business，77，527-546。
43.	Sansone, Alessandro、Garofalo, Giuseppe(2007)。Asset price dynamics in a financial market with heterogeneous trading strategies and time delays。Physica A: Statistical Mechanics and Its Applications，382，247-257。
44.	Puckett, Andy D.、Yan, Xue-Ming Sterling(2011)。The interim trading skills of institutional investors。Journal of Finance，66，601-633。
45.	Platt, Harlan(2004)。A fuller theory of short selling。Journal of Asset Management，5，49-63。
46.	Neal, Robert、Wheatley, Simon M.(1998)。Do measures of investor sentiment predict returns?。Journal of Financial and Quantitative Analysis，33，523-547。
47.	Spiegel, Matthew、Zhang, Hong(2013)。Mutual fund risk and market share-adjusted fund flows。Journal of Financial Economics，108，506-528。
48.	Sirri, Erik、Tufano, Peter(1998)。Costly search and mutual fund flows。Journal of Finance，53，1589-1622。
49.	Singal, Vijay、Xu, Zhao-Jin(2011)。Selling winners, holding losers: Effect on fund flows and survival of disposition-prone mutual funds。Journal of Banking and Finance，35，2704-2718。
50.	Sapp, Travis、Tiwari, Ashish(2004)。Does stock return momentum explain the "smart money" effect?。Journal of Finance，59，2605-2622。
51.	Wermers, Russ(2000)。Mutual fund performance: An empirical decomposition into stock-picking talent, style, transactions costs, and expenses。Journal of Finance，55(4)，1655-1695。
52.	Warther, Vincent A.(1995)。Aggregate mutual fund flows and security returns。Journal of Financial Economics，39，209-235。
53.	Volkman, David A.、Wohar, Mark E.(1995)。Determinants of persistence in relative performance of mutual funds。Journal of Financial Research，18(4)，415-430。
54.	Zheng, Lu(1999)。Is money smart? A study of mutual fund investors' fund selection ability。Journal of Finance，54，901-933。
55.	Wylie, Sam(2005)。Fund manager herding: A test of the accuracy of empirical results using U. K. data。Journal of Business，78，381-403。
56.	Whaley, Robert E.(1993)。Derivatives on market volatility: Hedging tools long overdue。Journal of Derivatives，1(1)，71-84。
57.	Zhu, Mei、Chiarella, Carl、He, Xue Z.、Wang, Duo(2009)。Does the market maker stabilize the market?。Physica A: Statistical Mechanics and Its Applications，388，3164-3180。
58.	林美珍、陳妙珍、陳有佾(20130600)。The Impact of Limited Attention and News on the Investment Decisions of Mutual Fund Investors。財務金融學刊，21(2)，1-29。
59.	Chow, Edward H.、Lin, Hsiao-Mei、Lin, Yo-Min、Weng, Yin-Che(2011)。The Performance of Overconfident Fund Managers。Emerging Markets Finance & Trade，47(2)，21-30。
60.	Walter, A.、Weber, F. M.(2006)。Herding in the German Mutual Fund Industry。European Financial Management，12(3)，375-406。
61.	Westerhoff, F. H.(2004)。Greed, Fear and Stock Market Dynamics。Physica A: Statistical Mechanics and its Applications，343，635-642。
62.	Woerheide, W.(1982)。Investor Response to Suggested Criteria for the Selection of Mutual Funds。Journal of Financial and Quantitative Analysis，17(1)，129-137。
63.	Lee, Charles M. C.、Shleifer, Andrei、Thaler, Richard H.(1991)。Investor Sentiment and the Closed-End Fund Puzzle。The Journal of Finance，46(1)，75-109。
64.	Daniel, Kent、Titman, Sheridan(1999)。Market Efficiency in an Irrational World。Financial Analysts Journal，55(6)，28-40。
65.	Odean, Terrance(1998)。Are Investors Reluctant to Realize Their Losses?。The Journal of Finance，53(5)，1775-1798。
66.	Baker, Malcolm、Stein, Jeremy C.(2004)。Market liquidity as a sentiment indicator。Journal of Financial Markets，7(3)，271-299。
67.	Fisher, Kenneth L.、Statman, Meir(2000)。Investor Sentiment And Stock Returns。Financial Analysts Journal，56(2)，16-23。
68.	Brown, Gregory W.、Cliff, Michael T.(2004)。Investor sentiment and the near-term stock market。Journal of Empirical Finance，11(1)，1-27。
69.	Hausman, Jerry A.(1978)。Specification tests in econometrics。Econometrica: Journal of the Econometric Society，46(6)，1251-1271。
70.	Carhart, Mark M.(1997)。On persistence in mutual fund performance。The Journal of Finance，52(1)，57-82。
71.	Cremers, Martijn、Petajisto, Antti(2009)。How active is your fund manager? A new measure that predicts performance。Review of Financial Studies，22，3329-3365。
72.	Gompers, Paul Alan、Metrick, Andrew(2001)。Institutional investors and equity prices。The Quarterly Journal of Economics，116(1)，229-259。
73.	Baker, Malcolm、Wurgler, Jeffrey(2006)。Investor sentiment and the cross-section of stock returns。The Journal of Finance，61(4)，1645-1680。
74.	Lee, Wayne Y.、Jiang, Christine X.、Indro, Daniel C.(2002)。Stock Market Volatility, Excess Returns, and the Role of Investor Sentiment。Journal of Banking & Finance，26(12)，2277-2299。
75.	Feng, Lei、Seasholes, Mark S.(2005)。Do investor sophistication and trading experience eliminate behavioral biases in financial markets?。Review of Finance，9(3)，305-351。
76.	Ferson, Wayne E.、Schadt, Rudi W.(1996)。Measuring fund strategy and performance in changing economic conditions。Journal of Finance，51(2)，425-461。
77.	Gervais, Simon、Odean, Terrance(2001)。Learning to be Overconfident。Review of Financial Studies，14(1)，1-27。
78.	Kahneman, Daniel、Tversky, Amos(1979)。Prospect Theory: An Analysis of Decision under Risk。Econometrica: Journal of the Econometric Society，47(2)，263-292。
79.	Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1992)。The Impact of Institutional Trading on Stock Prices。Journal of Financial Economics，32(1)，23-43。
80.	Chang, Eric C.、Cheng, Joseph W.、Khorana, Ajay(2000)。An examination of herd behavior in equity markets: An international perspective。Journal of Banking and Finance，24(10)，1651-1679。
81.	Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance，25(2)，383-417。

研究報告
1.	Barber, Brad M.、Odean, Terrance、Zhu, Ning(2006)。Do noise traders move market?。University of California。
2.	Hwang, Soo-Sung、Salmon, Mark(2009)。Sentiment and beta herding。
3.	Wang, Kevin Q.(2008)。Reversal fear and momentum。

圖書
1.	Shefrin, Hersh(2000)。Beyond Greed and Fear Understanding Behavioral Finance and the Psychology of Investing (Financial Management Association Survey and Synthesis)。Oxford University Press。

圖書論文
1.	Manzan, Sebastiano(2009)。Agent based modeling in finance。Encyclopedia of Complexity and Systems Science。New York：Springer。

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.	共同基金的媒體聲譽對其績效表現之影響
2.	熱門點閱基金的宣傳與外溢效果
3.	媒體曝光度、前期績效對基金投資人決策的影響
4.	行為財務學文獻回顧與展望：臺灣市場之研究
5.	貪婪與恐懼對投資人風險調整行為之影響--展望理論觀點
6.	The Impact of Limited Attention and News on the Investment Decisions of Mutual Fund Investors

1.	投資人貪婪、恐懼與風險調整之研究

無相關書籍

無相關著作

1.	複雜股權結構與企業避稅之關聯--以我國上市櫃公司為例
2.	家族企業與政治關係對負債資金成本的影響
3.	不同生命週期下機構投資人動態行為與公司創新之效應
4.	深圳股市多因子模式之實證研究
5.	食品安全事件關注對於味全公司股票影響：頂新案個案研究
6.	股價泡沫預測與投資人行為偏誤：粗集理論之運用
7.	自願性法人說明會影音資訊與負債資金成本之關聯性
8.	Does CSR Materiality Affect Financial Performance in Taiwan?
9.	Trading Behavior and Profits of Retail and Institutional Investors around Earnings Announcements in Taiwan's Stock Market
10.	The Benefits of Disclosing Internal Control Weaknesses: Evidence from Taiwanese Banks
11.	企業社會責任因子是否能解釋股票報酬橫斷面變異？以臺灣股票市場為例
12.	證券發行對資本結構的影響：臺灣之證據
13.	控制股東掏空行為及其公司治理分析：以樂陞案為例
14.	異常報酬、公司治理與私募股權折價之關係
15.	企業採用管理法對於營運部門財務報導揭露品質之影響

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