簡易檢索 / 詳目顯示
| 研究生： |
陳俊諺 Chen, Chun-Yen |
|---|---|
| 論文名稱： |
投資者對樂透型基金與持有樂透股基金之投資決策及績效 The Investment Decision and the Investment Performance on Lottery-like Funds and Lottery-holding Funds |
| 指導教授： |
陳鴻毅
Chen, Hong-Yi |
| 口試委員: |
楊曉文
Yang, Sheau-Wen 賴慧文 Lai, Whuei-Wen |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2020 |
| 畢業學年度： | 108 |
| 語文別： | 英文 |
| 論文頁數： | 58 |
| 中文關鍵詞： | 樂透型基金 、市場情緒 、投資者行為 |
| 外文關鍵詞： | Lottery-like funds, Market sentiment, Investor behavior |
| DOI URL： | http://doi.org/10.6814/NCCU202000579 |
| 相關次數： | 點閱：83 下載：2 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
本研究藉由金融商品的獨特性波動度與獨特性偏態，提出新的指標來衡量金融商品的樂透程度。本研究發現基金投資者會偏好持有樂透型股票的基金而非樂透型基金；但當市場情緒較高時，基金投資者則偏好投資樂透型基金。在獲利能力方面，無論是持股有較高樂透性質的基金亦或是表現出樂透性質的基金皆帶來負報酬。然而在市場情緒高漲時，基金投資者較有能力選出較好之樂透型股票，因此基金投資者所選之持有樂透股的基金有較佳的表現。
In this study, I introduce a new indicator to measure the lottery-like degree of financial products by considering their idiosyncratic volatility and their idiosyncratic skewness. I find that investors tend to buy funds which hold lottery-like stocks, while investors prefer lottery-like funds when the market sentiment is high. In terms of profitability, both funds which hold lottery-like stocks and funds which exhibit lottery traits will experience relatively lower adjusted returns in the next quarter. However, I find that, when the market sentiment is high, investors can only obtain better performance from funds which hold lottery-like stocks, suggesting that investors can select lottery-like stocks better than select lottery-like funds during the high sentiment period.
1. Introduction 1
2. Data and Variable Definitions 3
2.1 Data 3
2.2 Variable Definitions 4
2.2.1 MAX Constructed by IVOL and ISKEW 4
A. Stock’s MAX Constructed by Stock’s IVOL and Stock’s ISKEW 4
B. Fund’s MAX Constructed by Stock’s MAX 5
C. Fund’s MAX Constructed by Fund’s IVOL and Fund’s ISKEW 6
2.2.2 Control Variables 6
3. Empirical Results 9
3.1 Does MAX Change Investor’s Preference for Lottery-like Mutual Funds? 10
3.2 Does MAX Change Investor’s Preference for Lottery-like Mutual Funds Under Different Market Sentiments? 11
3.3 Profit from Investing in Lottery-like Mutual Funds 15
4. Conclusion 20
References 22
Appendix A. Alternative method to deal with missing value 41
Alldredge, D.M., 2019. Institutional trading, investor sentiment and lottery-like stock preferences. Available at SSRN: https://ssrn.com/abstract=3128588.
Baker, M., Wurgler, J., 2006. Investor sentiment and the cross‐section of stock returns. The Journal of Finance, 61(4), 1645-1680.
Baker, M., Wurgler, J., 2007. Investor sentiment in the stock market. The Journal of Economic Perspectives, 21(2), 129-152.
Baker, S.R., Bloom, N., Davis, S.J., 2016. Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.
Bali, T.G., Cakici, N., Whitelaw, R.F., 2011. Maxing out: Stocks as lotteries and the cross-section of expected returns. The Journal of Financial Economics, 99(2), 427-446.
Bali, T.G., Brown, S.J., Murray, S., Tang, Y., 2017. A lottery-demand-based explanation of the beta anomaly. The Journal of Financial and Quantitative Analysis, 52(6), 2369-2397.
Cremers, M., Ferreira, M.A., Matos, P., Starks, L., 2016. Indexing and active fund management: International evidence. The Journal of Financial Economics, 120(3), 539-560.
Kumar, A., 2009. Who gambles in the stock market? The Journal of Finance, 64(4), 1889-1933.
Fama, E.F., & French, K.R., 1993. Common risk factors in the returns on stocks and bonds. The Journal of Financial Economics, 33, 3–56.
Goldie, B.A., Henry, T.R., Kassa, H., 2019. Does MAX matter for mutual funds? The European Financial Management, 25(4), 777-806.
