行為財務學與資產訂價異常現象：文獻回顧與展望

A Survey of Behavioral Finance and Asset Pricing Anomalies

林美珍(Mei-Chen Lin) ； 楊念慈(Nien-Tzu Yang)

《證券市場發展季刊》 行為財務學特別專刊 (2019/05) Pp. 49-110

https://doi.org/10.6529/RSFM.201905/SP.0002

摘要

傳統財務理論普遍以理性模型為基礎來解釋股票報酬之橫斷面差異，然而，越來越多研究提出行為財務學之理論來解釋股票報酬之變異，並探討資產訂價異常現象存在之成因。本文為首篇針對資產訂價異常現象的行為面解釋進行回顧之研究，我們透過分析各種資產訂價異常現象之文獻，來探討行為財務學對各異常現象之可能解釋。我們進一步回顧各異常現象在國際及台灣市場之實證結果，進而提出可能之未來研究方向，供後續研究參考。

關鍵字

行為財務學 ； 資產訂價 ； 投資人行為偏誤

並列摘要

Despite the soundness of rationality-based asset pricing models in explaining the cross-sectional variations of stock returns, a growing body of research focuses on behavioral theories and explanations for stock returns. We provide the first study to systematically survey representative articles focusing on behavioral explanations of asset pricing anomalies. We first introduce behavioral theories and asset pricing anomalies, and analyze how behavioral theories affect these anomalies. We further investigate empirical evidence from international and Taiwan stock markets, and provide potential research issues for further studies.

並列關鍵字

Behavioral Finance ； Asset Pricing ； Investors' Behavioral Biases

參考文獻

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