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題名：誰在交易樂透性質的選擇權
書刊名：應用經濟論叢
作者：王銘駿 引用關係／陳宜伶 引用關係／吳昭億／林韋伶
作者(外文)：Wang, Ming-chun／Chen, Yi-ling／Wu, Chao-yi／Lin, Wei-ling
出版日期：2014
卷期：96
頁次：頁191-228
主題關鍵詞：賭博；樂透選擇權；Gambling；Lottery options
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:0
  • 點閱點閱:25
風險偏好是否影響投資決策，一直是行為財務學關注的焦點。本研究以2002 年至 2007 年的台指選擇權交易資料為樣本，實證發現賭博偏好與投資決策具相關性。從整體 市場來看，個人投資者相對機構投資者偏好具有樂透特質的選擇權。本研究參考Kumar (2009) 提出的五種方法，尋找出投資人對樂透台指選擇權的偏好。結果顯示，某些社會 經濟因素確實可以增加樂透台指選擇權投資偏好。透過時間序列迴歸，發現樂透台指選 擇權的需求隨著經濟衰退而增加，顯示樂透台指選擇權吸引具有相似的社會經濟特性的 投資人，且經濟環境會影響樂透台指選擇權的需求。
It has been an important issue of behavior finance to test whether risk preference affects investment decision. Using Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) options data from 2002 to 2007, this study shows that people’s propensity to gamble and their investment decisions are correlated. At an aggregate level, individual investors relative to institutional investors prefer options with lottery features. Using five methods that Kumar(2009) proposed to capture an investor’s preference for lottery-type TAIEX options, the results demonstrate that some socioeconomic factors induce greater investment in lottery-type TAIEX options. In the time-series regression, the demand for lottery-type TAIEX options increases during economic downturn. Collectively, these results indicate that lottery-type TAIEX options attract similar socioeconomic people and economic environment influences the demand for lottery-type TAIEX options.
期刊論文
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19.Goetzmann, William N.、Peles, Nadav(1997)。Cognitive Dissonance and Mutual Fund Investors。Journal of Financial Research，20(2)，145-158。  new window
20.Markowitz, Harry(1952)。The Utility of Wealth。Journal of Political Economy，60(2)，151-158。  new window
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23.Kumar, Alok、Lee, Charles M. C.(2006)。Retail Investor Sentiment and Return Comovements。Journal of Finance，61(5)，2451-2486。  new window
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26.Stranahan, Harriet A.、Borg, Mary O.(1998)。Separating the decisions of lottery expenditures and participation: A truncated tobit approach。Public Finance Review，26(2)，99-117。  new window
27.Stranahan, Harriet A.、Borg, Mary O.(1998)。Horizontal equity implications of the lottery tax。National Tax Journal，51(1)，71-82。  new window
28.Kahneman, Daniel、Tversky, Amos(1979)。Prospect theory: An analysis of decision making under risk。Journal of the Econometric Society，47(2)，263-291。  new window
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30.Kumar, A.(2009)。Who Gambles in the Stock Market?。Journal of Finance，64(4)，1889-1933。  new window
31.Odean, Terrance(1998)。Are Investors Reluctant to Realize Their Losses?。The Journal of Finance，53(5)，1775-1798。  new window
32.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
33.Harvey, Campbell R.、Siddique, Akhtar(2000)。Conditional skewness in asset pricing tests。The Journal of Finance，55(3)，1263-1295。  new window
34.Barber, Brad M.、Lee, Yi-Tsung、Liu, Yu-Jane、Odean, Terrance(2009)。Just How Much Do Individual Investors Lose by Trading?。The Review of Financial Studies，22(2)，609-632。  new window
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37.Ferson, Wayne E.、Schadt, Rudi W.(1996)。Measuring fund strategy and performance in changing economic conditions。Journal of Finance，51(2)，425-461。  new window
38.Barber, Brad M.、Odean, Terrance(2008)。All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors。Review of Financial Studies，21(2)，785-818。  new window
39.Odean, Terrance(1999)。Do Investors Trade too Much?。American Economic Review，89(5)，1279-1298。  new window
研究報告
1.Clotfelte, Charles T.(2000)。Do Lotteries Hurt the Poor? Well, Yes and No。Terry Sanford Institute of Public Policy, Duke University。  new window
圖書
1.Bernstein, P.(1996)。Against the Gods。New York：John Wiley and Sons Press。  new window
2.Brenner, R.、Brenner, G. A.(1990)。Gambling and Speculation。Cambridge：Cambridge University Press。  new window
3.Han, B.、Lee, Y. T.、Liu, Y. J.(2009)。Investor Trading Behavior and Performances: Evidence from Taiwan Stock Index Options。  new window
4.Kallick, M.、Smits, D.、Dielman, T.、Hybels, J.(1979)。A Survey of American Gambling Attitudes and Behavior。Institute for Social Research, University of Michigan。  new window
5.Brenner, Reuven(1983)。History--The Human Gamble。Chicago：Chicago University Press。  new window
6.Clotfelter, Charles T.、Cook, Philip J.(1989)。Selling Hope: State Lotteries in America。Cambridge, MA：Harvard University Press。  new window
7.Elton, E. J.、Gruber, M. J.、Brown, S. J.、Goetzmann, W. J.(2011)。Modern Portfolio Theory and Investment Analysis。New York：John Wiley and Sons Press。  new window
8.Walker, Michael B.(1992)。The psychology of gambling。Oxford：Pergamon Press。  new window
其他
1.McGough, R.，Siconolfi, M.(19970618)。Buy and Fold: Their Money's Fleeing, but Some Investors Just Keep Hanging On。  new window
2.Simon, R.，Browning, E. S.(20000804)。Some Online Investors Can't Seem to Say No to Playing the Market。  new window
圖書論文
1.Pope, R.(1983)。The Pre-outcome Period and the Utility of Gambling。Foundations of Utility and Risk Theory with Applications。Dordrecht, Netherlands：D. Reidel Publishing Co. Press。  new window
 
 
 
 
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