行為財務學：文獻回顧與展望

Behavioral Finance: A Literature Review

周賓凰(Pin-Huang Chou) ； 池祥萱(Hsiang-Hsuan Chih) ； 周冠男(Robin K. Chou) ； 龔怡霖(Yi-Lin Gong)

《證券市場發展季刊》 行為財務學特別專刊 (2019/05) Pp. 1-47

https://doi.org/10.6529/RSFM.201905/SP.0001

摘要

本文回顧行為財務學的文獻，包括展望理論與其他相關理論的發展。此外，本文分別從行為財務學與傳統財務理論的角度，探討各種報酬可預測性的成因。

關鍵字

展望理論 ； 過度自信 ； 損失趨避 ； 框架相依 ； 心理帳戶 ； 報酬可預測性

並列摘要

In this paper, we review the behavioral finance literature, including the development of prospect theory and other relevant theories. In addition, we discuss the explanations for return predictability from both the viewpoints of traditional and behavioral finance theories.

並列關鍵字

Prospect Theory ； Overconfidence ； Loss Aversion ； Framing Dependence ； Mental Accounting ； Return Predictability

參考文獻

Bernstein, P. L. (1996), Against The Gods-The Remarkable Story of Risk, John Wiley & Sons.

Camerer, C. (1995), "Individual decision making," Handbook of Experimental Economics. J. Kagel and A. E. Roth, Princeton University Press: 587-703.

Campbell, J. Y. and J. H. Cochrane (1999), "By force of habit: A consumption based explanation of aggregate stock market behavior," Journal of Political Economy, Vol. 107, 205-251.

Campbell, J. Y. and A. Kyle (1993), "Smart money, noise trading, and stock price behavior," Review of Economic Studies, Vol. 60, 1-34.

Constantinides, G. M. (1990), "Habit formation: A resolution of the equity premium," Journal of Political Economy, Vol. 98, 519-543.