Relationship of Fund Returns and Volatility with Investor Greed and Fear

基金報酬及波動與貪婪恐懼心理之關聯

李春安(Chun-An Li) ； 賴弘程(Hung-Cheng Lai) ； 王嘉祺(Jia-Chi Wang)

《財務金融學刊》 23卷4期 (2015/12) Pp. 70-103

https://doi.org/10.6545/JFS.2015.23(4).3

摘要

本文以行為財務學角度，量化基金投資人的貪婪與恐懼情緒，並分別檢視基金投資人與市場投資人對基金報酬和波動之關係。實證結果顯示，基金投資人的貪婪與恐懼具相互影響之關係。基金投資人的貪婪與恐懼行為會反應在基金報酬上。最後，市場投資人恐慌氛圍會負向影響基金報酬。

關鍵字

貪婪 ； 恐懼 ； 基金 ； 投資人行為

並列摘要

In this paper, the sentiments of greed and fear experienced by fund investors are quantified from the perspective of behavioral finance, and then used to separately examine the impact that fund investors and market investors have on fund returns and volatility. The empirical results indicate that fund investor greed and fear mutually influence each other. We also find that fund investor behaviors arising from greed and fear are reflected in the fund returns. Additionally, a panicky atmosphere among market investors has a negative effect on fund returns.

並列關鍵字

Greed ； fear ； funds ； investor behavior

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