本文關(guān)鍵詞：基于前景理論的處置效應(yīng)研究　出處：《復(fù)旦大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

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【摘要】：本文提出了一個(gè)新的采用前景理論研究處置效應(yīng)的框架,證明了前景理論可以解釋處置效應(yīng)。本文設(shè)定投資者的效用函數(shù)為分段常絕對(duì)風(fēng)險(xiǎn)厭惡函數(shù),并在此基礎(chǔ)上提出了單期決策模型和兩期模型,二者分別可以較好地解釋處置效應(yīng)以及處置效應(yīng)中的V型曲線的成因。本文發(fā)現(xiàn)前景理論效用函數(shù)的不同風(fēng)險(xiǎn)厭惡類型對(duì)處置效應(yīng)是否存在起著決定性作用,在此基礎(chǔ)上假定過(guò)去的收益對(duì)投資者的決策有直接影響則可以產(chǎn)生V型曲線。對(duì)模型的模擬分析表明,股票的超額收益率越高和波動(dòng)率越高,處置效應(yīng)越顯著；投資者的交易頻率越高,處置效應(yīng)越不顯著。
[Abstract]:In this paper, we propose a new framework to study the disposal effect by using the prospect theory, and prove that the prospect theory can explain the disposal effect. In this paper, we set the utility function of the investor as the piecewise constant absolute risk aversion function. On this basis, a single-period decision model and a two-phase model are proposed. The two can explain the causes of the disposal effect and the V-shaped curve in the disposal effect. It is found that the different types of risk aversion of the utility function of foreground theory play a decisive role in the existence of the disposal effect. On this basis, it is assumed that the past returns have a direct influence on the investors' decision, and then the V-shaped curve can be generated. The simulation analysis of the model shows that the higher the excess return and the higher the volatility, the more significant the disposal effect is. The higher the trading frequency of investors, the less significant the disposal effect is.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F830;F224

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本文編號(hào)：1439932