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題名：行為財務學與資產訂價異常現象：文獻回顧與展望
書刊名：證券市場發展季刊
作者：林美珍／楊念慈 引用關係
作者(外文)：Lin, Mei-chen／Yang, Nien-tzu
出版日期：2017
卷期：29:4=116
頁次：頁1-62
主題關鍵詞：行為財務學；資產訂價；投資人行為偏誤；Behavioral finance；Asset pricing；Investors' behavioral biases
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:290
  • 點閱點閱:42
傳統財務理論普遍以理性模型為基礎來解釋股票報酬之橫斷面差異，然而，越來越多研究提出行為財務學之理論來解釋股票報酬之變異，並探討資產訂價異常現象存在之成因。本文為首篇針對資產訂價異常現象的行為面解釋進行回顧之研究，我們透過分析各種資產訂價異常現象之文獻，來探討行為財務學對各異常現象之可能解釋。我們進一步回顧各異常現象在國際及台灣市場之實證結果，進而提出可能之未來研究方向，供後續研究參考。
Despite the soundness of rationality-based asset pricing models in explaining the cross-sectional variations of stock returns, a growing body of research focuses on behavioral theories and explanations for stock returns. We provide the first study to systematically survey representative articles focusing on behavioral explanations of asset pricing anomalies. We first introduce behavioral theories and asset pricing anomalies, and analyze how behavioral theories affect these anomalies. We further investigate empirical evidence from international and Taiwan stock markets, and provide potential research issues for further studies.
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研究報告
1.Frazzini, A.、Lamont, O. A.(2007)。The Earnings Announcement Premium and Trading Volume。  new window
2.Chui, A. C. W.、Titman, S.、Wei, K. C. J.(2003)。Momentum, Legal Systems and Ownership Structure: An Analysis of Asian Stock Markets。University of Texas at Austin。  new window
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4.Amromin, G.、Sharpe, S. A.(2009)。Expectations of Risk and Return among Household Investors: Are their Sharpe Ratios Countercyclical?。  new window
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8.Chui, A. C.、Titman, S.、Wei, K. C. J.(2000)。Momentum, Ownership Structure and Financial Crises: An Analysis of Asian Stock Markets。  new window
9.George, T.、Hwang, C.、Li, Y.(2013)。Anchoring, the 52-Week High and Post Earnings Announcement Drift。  new window
10.Lam, F. Y. E. C.、Wang, S.、Wei, K. C. J.(2014)。The Profitability Premium: Macroeconomic Risks or Expectation Errors?。  new window
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12.Sun, L.、Wei, K. C. J.、Xie, F.(2014)。On the Explanations for the Gross Profitability Effect: Insights from International Equity Markets。  new window
13.Wang, H.、Yu, J.(2013)。Dissecting the Profitability Premium。University of Minnesota。  new window
14.Hong, Dong、Lee, Charles M. C.、Swaminathan, Bhaskaran(2003)。Earnings Momentum in International Markets。Singapore Management University。  new window
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5.Kahneman, Daniel(1973)。Attention and effort。Englewood Cliffs, New Jersey：Prentice Hall。  new window
圖書論文
1.Camerer, C.(1995)。Individual decision making。Handbook of Experimental Economics。Princeton, New Jersey：Princeton University Press。  new window
2.Barberis, N.、Thaler, R.(2003)。A survey of Behavioral Finance。Handbook of the economics of finance。  new window
3.Schwert, G. W.(2003)。Anomalies and Market Efficiency。Handbook of the Economics of Finance。Amsterdam：North-Holland Publishing Co.。  new window
 
 
 
 
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