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博碩士論文 etd-0711111-130702 詳細資訊
Title page for etd-0711111-130702
論文名稱
Title
風險承受度、行銷訊息與損失規避假設下之投資決策:理論與實證
Risk Tolerance, Marketing Information and Investment Decision Makings under Loss Aversion: Theory and Evidence
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
77
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2011-06-23
繳交日期
Date of Submission
2011-07-11
關鍵字
Keywords
展望理論、共同基金、行銷、資產配置問題、風險承受度
Marketing Information, Prospect Theory, Mutual Fund, Risk Tolerance, Decision Making
統計
Statistics
本論文已被瀏覽 5806 次,被下載 1130
The thesis/dissertation has been browsed 5806 times, has been downloaded 1130 times.
中文摘要
本文主要是以理論模型建構以及經由實證分析來探討金融市場的行銷訊息是如何影響投資人的風險趨避程度,進而干擾投資人在不確定性環境下的投資決策。在混合假設條件下,本文的理論模型預測具有累計展望理論特性之投資人 (CPT投資人)會傾向認賠殺出其損失的資產,而對於增值的資產亦會有逐步獲利了結的特性。加入行銷訊息的干擾後,本研究之模型預測,相較於低行銷支出之金融資產,CPT 投資人傾向較不願意出售其獲利或者是其損失的高行銷支出之資產。另外,本研究的實證指出,基金的廣告會減低投資者贖回其持有之基金的意願,實證結果發現:相較於低廣告支出之基金,基金投資人贖回其獲利或者是損失之高廣告支出的基金之意願,均顯著低於低廣告支出之基金。根據行為理論,本文對上述之理論與實證結果提出以下的解釋,對於損失的基金,廣告似乎能夠強化投資人過去之決策的信心,並調整投資者的信念使其更加堅信其過去所做的決策的正確性,造成投資人傾向於持有其損失但卻是屬於高廣告支出的基金;在獲利的基金部份,廣告之所以能影響投資人之購後行為,是由於廣告可能具提高金融商品品質的信號功能,且能夠增加金融消費者之滿意度、品牌權益以及提升消費者忠誠度,造成投資人會傾向於持有其獲利之高廣告支出的基金。
Abstract
This study models and examines how changes in marketing information affects the degree of investor’s risk aversion, and in turn, influences investor’s decision-makings process under uncertainty. Under the mixed assumptions, the theoretical evidence in this study indicates that cumulative prospect theory (CPT) investors have propensity to discipline their depreciated assets and to sell their appreciated assets. Further, I find that CPT investors have less incentive to sell their holdings with higher advertising than ones with lower advertising when facing a paper gain or a paper loss. The empirical evidence indicates that advertising can help funds stem cash outflows, and finds investors are less willing to sell high performing investments with high fund family advertising than investments with low fund family advertising, and are more reluctant to redeem losing mutual funds with high fund family advertising than funds with low fund family advertising. For loser funds, a possible explanation from this study is that advertising seems to re-enforce the efficacy of recent investor decisions and adjust their beliefs to confirm past decisions, thus lets investors have more incentive to continue holding losing funds. For winner funds, this study infers that advertising may signal product quality, increase consumer satisfaction, brand equity and consumer loyalty that lead investors satisfied with their past decisions to have a greater propensity to retain their winning investments.
目次 Table of Contents
論文審定書 i
自序 ii
摘要 iii
Abstract iv
1. Introduction 1
2. Literature Review, Modeling and Hypotheses Development 9
2.1. Cumulative Prospect Theory 9
2.2. Decision Making and Prospect Theory 15
2.3. Asset Allocation Problem under Uncertainty 17
2.4. Asset Allocation Problem with State-varying Risk-aversion Functions 22
2.5. How Marketing Information Interacts with Ex post Investment Performance under State-varying Risk Aversion World 28
3. Sensitivity Analysis 31
3.1. Risk Aversion Coefficient and Marketing Information 31
3.2. CPT Investor’s Asset Allocation and Risk Aversion Coefficients 35
4. Mutual Fund Research, Empirical Model, Data and Summary Statistics 38
4.1. Mutual Fund Investor Behavior 38
4.2. Mutual Fund Advertising 39
4.3. Empirical Model 40
4.4. Data 45
5. Empirical Results 51
5.1 Is the Redemption-Performance Relation Asymmetric? 51
5.2 Does Advertising Moderate the Existing Redemption-Performance Relation? 55
5.3 Major findings 58
6. Conclusions and Suggestions 60
References 62
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