以框架理論及習慣養成探討股票超額報酬現象
Date Issued
2005
Date
2005
Author(s)
Tsai, Tsung-Ying
DOI
en-US
Abstract
In this thesis, we construct a model of the representative agent with a recursive utility combined with the narrow framing effect and habit formation in a complete market environment to analyze the how the preceding model effects the variation of risk-free rate and the excess stock return. We set the habit formation is non-linear and external. It shows that there is a positive relation between the risk-free rate and economy situation, while a negative relation between the expected stock return and economy situation. In the condition without the narrow framing effect, the high excess stock return exists only in bas times and the average of that is not significant. When the narrow framing effect is added, the more obvious narrow framing is, the higher excess stock return is. And the pain of the investor caused from losses plays a significant part of creating the excess stock return.
Subjects
遞迴效用
框架效果
習慣形成
股票超額報酬
Recursive utility
narrow framing effect
habit formation
excess stock return
Type
thesis
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