以框架理論及習慣養成探討股票超額報酬現象

Abstract

本論文研究完全市場下，擁有遞迴效用特性的代表性個人模型，在同時引入框架效果及習慣形成，對於無風險利率變動及股票超額報酬之影響。首先建立一個具有風險趨避及框架效果特性的遞迴性消費資產定價模型，再引入消費習慣特性，設定其為外生變數，觀察此兩項特性對無風險利率及股票超額報酬的影響。結果在本論文架構下顯示，無風險利率大小與經濟狀況之好壞呈現正相關；而股票期望報酬大小則與經濟狀況好壞呈現負相關，在不考慮框架效果的情況下，股票的鉅額超額報酬僅出現在經濟狀況差的情況，且平均超額報酬不高。當加入框架效果影響時，隨著框架效果愈明顯，平均股票超額報酬愈高，且投資人對損失的痛苦感受程度對超額報酬有顯著的貢獻。

In this thesis, we construct a model of the representative agent with a recursive utility combined with the narrow framing effect and habit formation in a complete market environment to analyze the how the preceding model effects the variation of risk-free rate and the excess stock return. We set the habit formation is non-linear and external. It shows that there is a positive relation between the risk-free rate and economy situation, while a negative relation between the expected stock return and economy situation. In the condition without the narrow framing effect, the high excess stock return exists only in bas times and the average of that is not significant. When the narrow framing effect is added, the more obvious narrow framing is, the higher excess stock return is. And the pain of the investor caused from losses plays a significant part of creating the excess stock return.