基于前景理论的处置效应研究

发布时间：2018-01-18 07:04

本文关键词：基于前景理论的处置效应研究　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文提出了一个新的采用前景理论研究处置效应的框架,证明了前景理论可以解释处置效应。本文设定投资者的效用函数为分段常绝对风险厌恶函数,并在此基础上提出了单期决策模型和两期模型,二者分别可以较好地解释处置效应以及处置效应中的V型曲线的成因。本文发现前景理论效用函数的不同风险厌恶类型对处置效应是否存在起着决定性作用,在此基础上假定过去的收益对投资者的决策有直接影响则可以产生V型曲线。对模型的模拟分析表明,股票的超额收益率越高和波动率越高,处置效应越显著；投资者的交易频率越高,处置效应越不显著。
[Abstract]:In this paper, we propose a new framework to study the disposal effect by using the prospect theory, and prove that the prospect theory can explain the disposal effect. In this paper, we set the utility function of the investor as the piecewise constant absolute risk aversion function. On this basis, a single-period decision model and a two-phase model are proposed. The two can explain the causes of the disposal effect and the V-shaped curve in the disposal effect. It is found that the different types of risk aversion of the utility function of foreground theory play a decisive role in the existence of the disposal effect. On this basis, it is assumed that the past returns have a direct influence on the investors' decision, and then the V-shaped curve can be generated. The simulation analysis of the model shows that the higher the excess return and the higher the volatility, the more significant the disposal effect is. The higher the trading frequency of investors, the less significant the disposal effect is.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830;F224

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