個別投資人風險偏好程度與股票交易行為：以模擬交易為例

Individual Investor Risk Preference and Trading Behavior: Evidence from Simulated Trading

吳靖東(Jing-Tung Wu)

《創新與管理》 6卷2期 (2009/05) Pp. 21-37

https://doi.org/10.30118/JIM.200905.0002

摘要

古典財務學提出著名的效率市場假說、資本資產訂價模式等理論，來說明金融市場上風險與報酬的關係，然而近代卻發現許多其無法解釋的現象。Kahneman& Tversky (1979)的展望理論，把人類的決策行為、決策模式及心理層面納入，從人類的行為來觀察金融市場的現象，為財務學的研究提出另一個思考的方向。
本研究以金融模擬交易平台進行實驗，研究個別投資人的股票交易行為。結果發現，模擬交易中的投資人也具有處置效應，性別亦對交易行為造成影響。這些發現與既往研究採用實際交易帳戶觀察的結果相似，顯示金融模擬交易平台似可提供行為財務學進行實驗。本研究進一步探討投資人風險偏好程度與股票交易行為之關係，結果發現代表風險偏好的投資組合之β與ν值，對投資人的處置效應具有解釋能力。

關鍵字

風險偏好程度 ； 展望理論 ； 效率市場假說 ； 資本資產訂價模式 ； 處置效應

並列摘要

The neoclassical financial theory asserted the efficiency market hypothesis (EMH) and capital asset pricing theory (CAPM) to state the relationship between risk and return. However, many anomalies are found by the researchers recently. Kahneman & Tversky (1979) proposed the prospect theory to explain the phenomena of financial market. Prospect theory is a psychologically based theory of choice under risk and uncertainty. It offers a different viewpoint of investors' decision behavior and psychology.
This paper used the simulation trading system to explore the trading behaviors of individual investors. It is shown that the disposition effect was existed, and the trading behavior was affected by the sexual of investors. The investor behaviors are similar in the simulation trading system and the real financial market. This paper further explores the relationship between investor risk preference and their trading behavior. It is found that the proxies of risk preference, which are β and ν have explanation power of disposition effect of investors.

並列關鍵字

CAPM ； disposition effect ； EMH ； prospect theory ； risk preference