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| Title: | 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 |
| Authors: | 陳俊諺
Chen, Chun-Yen |
| Contributors: | 陳鴻毅
Chen, Hong-Yi
陳俊諺
Chen, Chun-Yen |
| Keywords: | 樂透型基金
市場情緒
投資者行為
Lottery-like funds
Market sentiment
Investor behavior |
| Date: | 2020 |
| Issue Date: | 2020-07-01 13:37:22 (UTC+8) |
| Abstract: | 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. |
| Reference: | Alldredge, D.M., 2019. Institutional trading, investor sentiment and lottery-like stock preferences. Available at SSRN: https://ssrn.com/abstract=3128588.
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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.
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Goldie, B.A., Henry, T.R., Kassa, H., 2019. Does MAX matter for mutual funds? The European Financial Management, 25(4), 777-806. |
| Description: | 碩士
國立政治大學
財務管理學系
107357001 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107357001 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202000579 |
| Appears in Collections: | [財務管理學系] 學位論文
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