世新大学财务金融学系

-2-(overconfidence)(housemoneyeffect)(optimism)Ackert,Church,Deaves(2003)(emotions)(emotionaldisposition)(feelingofregret)(investors’emotionalresponsetoinformation)Ackert,Church,Deaves(2003)(regret)(2004)-3-Avery&Chevalier(1999)(2002)2001100()(2002)H1aH1b-4-H1cShefrinandStatman1985Odean(1998ArkesandBlumer1985reflectioneffect-5-Ferrisetal.(1988)WeberandCamerer(1998)1.WeberandCamerer(1998)-6-(2003)Odean1.2.90.1%30%83.6%30%45,78010.828334,31125(2003)Ferris,HaugenandMakhija19881.(2003)Ferris,HaugenandMakhija19881.2.(2002)Ferrisetal.(1988)1.2.3._SSSS+−+−+-7-H1a(+)H1b(+)H1c(+)H3(+)H2a(+)H2c(+)H2b(+)_SSSS+−+−++S_S-8--9--10-0.03660.0837*-0.02431.9243*1.0644*0.7338*0.9484*-11--12-够1.Ackert,L.F.,ChurchB.K.,DeavesR.(2003),“Emotionandfinancialmarkets”,EconomicReview–FederalReserveBankofAtlanta,Vol.88,Iss.2,pp.33-462.Arks,H.R.andBlumer,C.(1985),“Thepsychologyofsunkcost”,OrganizationalBehavioralandHumanDecisionProcess,Vol.35,pp.1243.Avery,C.andChevalier,J.(1999),“Identifyinginvestorsentimentfrompricepaths:Thecaseoffootballbetting”,JournalofBusiness,Vol.72,pp.493-5214.Ferris,S.P.,R.A.HaugenandA.K.Makhija(1988),“PredictingContemporaryVolumewithHistoricVolumeatDifferentialPriceLevels:EvidenceSupportingtheDispositionEffect”,TheJournalofFinance,vol.43,pp677-697.5.Kahneman,D.andTversky,A.(1979)“ProspectTheroy:anAnalysisofDecisionunderRisk”,Econometrica,Vol.47,263-291.6.Odean,T.(1998),“Areinvestorsreluctanttorealizetheirlosses?”TheJournalofFinance.Vol.53,-13-Iss.5;p.1775-17987.Shefrin,H.andStatman,M.(1985)“TheDispositiontoSellWinnersTooEarlyandRideLosersTooLongTheoryandEvidence”,TheJournalofFinance.Vol.40,777-790.8.Weber,M.andCamerer,C.F.(1998)“TheDispositionEffectinSecuritiesTrading:AnExperimentalanalysis”,JournalEconomicBehavior&Organization,Vol.33,167-184.9.2004”—”10.(2003)“”11.(2002)“:”541-4812.(2003)13.(2003)”-”14.2002“”15.2004”-”16.(2002)“?—”3727-3317.2003”5-618.(2003)””19.(2001)“–”