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Title page for etd-0705106-150500


URN etd-0705106-150500 Statistics This thesis had been viewed 2556 times. Download 22 times.
Author Shu Chun
Author's Email Address No Public.
Department Management Business Administration
Year 2005 Semester 2
Degree Master Type of Document Master's Thesis
Language English Page Count 115
Title THE INFLUENCE OF INVESTMENT PSYCHOLOGY ON DISPOSITION EFFECT
Keyword
  • Regret Aversion
  • and Self-Control
  • Disposition Effect
  • Mental Accounting
  • Overconfidence
  • Overconfidence
  • Mental Accounting
  • Disposition Effect
  • and Self-Control
  • Regret Aversion
  • Abstract In 1980s, many empirical researches’ findings (i.e., Shiller(1984), Thaler (1985) et al. ) did not support efficient market hypothesis (EMH). Previous studies (e.g., Bernartzi and Thaler, 1995) related to behavioral model suggest that certain market anomalies are consistent with the presence of irrational trades by investors. Kahneman and Tversky (1979) proposed the prospect theory as an alternative to expected utility in describing investor behavior.
    Based on previous works (Lichtenstein, Fischhoff and Phillips, 1982; Shefrin and Statman, 1985) this research examined the influences of overconfidence, mental accounting, regret aversion and self-control on the disposition effect of selling winners too early and holding losers too long. The results of empirical data analysis of 290 investors indicate that all four psychological factors have significant influences on the disposition effect. The findings show that (1) overconfidence, mental accounting and self- control positively influence the disposition effect, and (2) self-control negatively influences the disposition effect. As predicted, self-control can reduce irrational behavior of investor.
    Keyword: Disposition Effect, Overconfidence, Regret Aversion, Mental Accounting, and Self-Control.
    Advisor Committee
  • Ming-Chuan Pan - advisor
  • Pi-Chuan Sun - advisor
  • Ming-Chuan Pan - co-chair
  • Pi-Chuan Sun - co-chair
  • Sheue Ching Hong - co-chair
  • Files indicate in-campus access only
    Date of Defense 2006-06-08 Date of Submission 2006-07-05


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