本國與外國資產之投資實驗：短視損失趨避的檢驗

Laboratory Experiments on Investments in Foreign Assets: Tests of Myopic Loss Aversion Hypothesis

黃美婷(Mei-Ting Huang)

指導教授 ： 楊奕農

中原大學/商學院/國際貿易研究所/碩士(2011年)

https://doi.org/10.6840/cycu201101111

摘要

本研究是針對本國資產與外國資產的投資行為之短視損失趨避 (Myopic Loss Aversion; MLA) 假說的檢驗，主要檢定投資行為在加入匯率因素後，是否會因為投資情境的改變導致行為有所不同。
　　本研究藉由實驗的方式在國內外資產市場中，以不同頻率的投資決策來檢定投資者的行為，低頻率的投資決策是否大於高頻率的投資決策之投資金額，當低頻率投資決策的投資金額大於高頻率投資決策的投資金額，此時MLA假說成立。本實驗總共進行兩場，受試者人數分別為24和32人，共有56人，且每一場實驗皆有國內資產投資 (實驗A)、外國資產 (實驗B) 兩種實驗。其中，每一場次會隨機將受試者分成低頻率的投資決策 (定期定額) 以及高頻率的投資決策 (每期決定) 兩種受試者類型。
　　本研究發現只有在第一場國內資產投資實驗中，「定期定額」的投資金額小於「每期決定」的投資金額，其餘各場次的「定期定額」投資金額皆大於「每期決定」的投資金額，另外在兩場外國資產投資實驗中，實驗證據顯示皆是支持MLA假說。

關鍵字

財務實驗 ； 短視損失趨避 ； 展望理論 ； 心理帳戶

並列摘要

This study discussed a hypothesis about investment behavior between foreign assets and domestic assets, and examined whether changes in investment situations caused by different investment behavior after joining the exchange rate factor.
This study via an experiment in domestic and international asset markets examined investment behavior at different frequencies of investment decisions which the amount investment of low frequency investment decisions is greater than high frequency’s one or not.
We had 56 experimental subjects in this study; we also hold two rounds of experiments, and each round had domestic assets investment (Treatment A) and foreign assets investment (Treatment B).Each round of experiment divided subjects into low frequency investment decisions (fixed investment) and high frequency investment decisions (each investment).
The study found that the amount of fixed investment is less than each investment’s one just at first session in experiments of domestic assets investment. In other session, the amount of fixed investment is greater than each investment. Besides, experimental evidences support the Myopic Loss Aversion hypothesis in foreign assets investment experiments.

並列關鍵字

Myopic Loss Aversion ； Financial Experiments ； Prospect Theory ； Mental Accounting

參考文獻

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Haigh, Michael and John List (2005), "Do Professional Traders Exhibit Myopic Loss Aversion? An Experimental Analysis," Journal of Finance, Volume 60, Issue 1, 523-534.

Lange, Thomas and Martin Weber (2005), "Myopic Prospect Theory vs. Myopic Loss Aversion: How General is the Phenomenon?" Journal of Economic Behavior & Organization, Volume 56, Issue 1, 25-38.