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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25510完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 洪茂蔚 | |
| dc.contributor.author | Tzu-Hui Pan | en |
| dc.contributor.author | 潘慈暉 | zh_TW |
| dc.date.accessioned | 2021-06-08T06:16:30Z | - |
| dc.date.copyright | 2007-02-02 | |
| dc.date.issued | 2007 | |
| dc.date.submitted | 2007-01-29 | |
| dc.identifier.citation | Barberis, N., and Huang M., 2001, “Mental Accounting, Loss Aversion and Individual Stock Return,” Journal of Finance 56, 1247-1292.
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25510 | - |
| dc.description.abstract | 本篇文章主要包括三個部分，第一部分，探討地區因素與期貨避險績效關係。第二部分，嘗試應用模糊趨避理論，解釋新上市股票價格異常現象。第三部分，運用狹窄框架以及損失趨避模型，解釋國內資產投資偏誤迷思。
第一部分，我們探討地理距離與期貨避險績效關係。採用日經225股價指數現貨與大阪證券交易所日經225股價指數期貨、新加坡交易所日經225股價指數期貨以及芝加哥商業交易所日經225股價指數期貨為研究樣本，進行實證分析。我們主要使用GJR GARCH-EC模型進行實證研究。實證結果顯示，芝加哥商業交易所的避險績效表現是最差的，由於芝加哥商業交易所的地理位置相對新加坡交易所以及大阪證券交易所，是距離日經225現貨指數最遠的一個交易所，因此我們可以說，地理距離的確會影響期貨避險績效。 第二部分，我們應用模糊趨避理論模型，解釋新上市股票價格的兩個顯著的異常現象：其一為，初期價格異常上漲；其二為，長期績效低於市場表現。發現當我們將模糊趨避參數引進效用函數後，投資者對新上市股票的主觀要求報酬率會低於市場對新上市股票的要求報酬率，造成投資者對新上市股票價值高估的情況，因此形成所謂上市初期價格上漲的異常現象。但隨著上市後，新上市公司相關訊息的逐漸被揭露，投資者對新上市股票模糊的情況逐漸減少，也因而降低投資者對新上市股票價格高估的現象，因此形成長期績效低於市場表現的情況。 第三部分，我們將狹窄框架以及損失趨避因素引進效用函數中，嘗試解決國內權益資產投資偏誤的迷思。我們發現當不考慮狹窄框架以及損失趨避因素時，投資者的最適投資法則，只包括「短視需求」；若在效用函數中加入狹窄框架以及損失趨避因素，則投資者的最適投資法則同時包括「短視需求」以及「避險需求」。為了要規避狹窄框架以及損失趨避的風險，投資者必須投資較高的比率在本國權益資產，因此本模型成功的解釋了國內權益資產投資比率偏高的現象。 | zh_TW |
| dc.description.provenance | Made available in DSpace on 2021-06-08T06:16:30Z (GMT). No. of bitstreams: 1 ntu-96-D90724011-1.pdf: 828976 bytes, checksum: b54192dc9b76712556e72ce47b9a4daa (MD5) Previous issue date: 2007 | en |
| dc.description.tableofcontents | Contents
1 Introduction 1 2 Geographic Effect of Futures Hedge Performance 4 2.1 Abstract 4 2.2 Introduction 4 2.3. Literature on Hedge Theory 7 2.3.1 Traditional Hedge Theory 7 2.3.2 Minimum Variance Hedging theory 7 2.4 Methodology 9 2.5 Data Descriptions 12 2.5.1 Data for the all research period 12 2.5.2 Description of the data for the period after the Asian Financial Crises 18 2.6 Empirical Results 23 2.6.1 Empirical Results for GJR GARCH with error correction 23 2.6.2 Empirical Results for sub-period samples’ GJR GARCH with error correction 27 2.7 Conclusion 31 3 Does Ambiguity aversion explain IPO price anomalies? 32 3.1 Abstract 32 3.2 Introduction 33 3.3 Literature Review of Ambiguity Aversion 37 3.3.1. Robustness Control ( or Model Misspecification) Approach 37 3.3.2. The Recursive Multi-priors Utility Approach 39 3.4. The Model 39 3.4.1 The Utility Preference 39 3.4.2 The Financial Assets 40 3.4.3 Optimum consumption and portfolio rules in the existence of ambiguity 41 3.4.4 The Subjective Evaluation of the Risky Asset 51 3.5. Calibration Results 55 3.5.1 Choices of Parameter Values 55 3.5.2 The Subjective Values Results 55 3.6. Conclusion 60 4 Narrow Framing, Loss aversion and Equity Home Bias 66 4.1 Abstract 66 4.2 Introduction 66 4.3 Related Literature about the Prospect Theory and the Equity Home-Bias Puzzle 69 4.3.1. The Prospect Theory 69 4.3.2 The Equity Home-Bias Puzzle 70 4.4 The Model 72 4.4.1. Specification of the Model 72 4.4.2. The Equilibrium of the Model 75 4.5 Conclusion 82 5 conclusion 83 Reference 85 Appendix 92 | |
| dc.language.iso | en | |
| dc.subject | 本國偏誤 | zh_TW |
| dc.subject | GJR GARCH | zh_TW |
| dc.subject | 狹窄框架 | zh_TW |
| dc.subject | 損失趨避 | zh_TW |
| dc.subject | Narrow Framing | en |
| dc.subject | Loss aversion | en |
| dc.subject | GJR GARCH | en |
| dc.subject | Home Bias | en |
| dc.title | 財務金融研究 | zh_TW |
| dc.title | Essays on Finance | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 95-1 | |
| dc.description.degree | 博士 | |
| dc.contributor.oralexamcommittee | 林丙輝,郭憲章,李怡宗,陳家彬,李楊,楊聲勇,董澍琦 | |
| dc.subject.keyword | GJR GARCH,狹窄框架,損失趨避,本國偏誤, | zh_TW |
| dc.subject.keyword | GJR GARCH,Narrow Framing,Loss aversion,Home Bias, | en |
| dc.relation.page | 94 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2007-01-29 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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