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學校名稱輔仁大學
系所名稱金融研究所
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學號493756024
研究生(中)林曉謙
研究生(英)Lin, Hsiao-Chien
論文名稱(中)過度自信、資訊交易與產品市場競爭
論文名稱(英)Overconfidence, Informed Trading and Product Market Competition
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指導教授(中)韓千山
指導教授(英)Han, Chian-Shan
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學位類別碩士
畢業學年度94
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語文別中文
關鍵字(中)過度自信、寡占市場、內部人交易 經理人 內部人 整合性 議題 競爭
關鍵字(英)Overconfidence, Oligopoly, Insider Trading
摘要(中)近年來有些文獻傾向從整合性的觀點來探討公司的各種決策,譬如韓千山(2004)即曾探討經理人內線交易對產品市場競爭之影響。經理人身為公司管理者且又是內部人的雙重角色,使得結合股市內線交易與產出策略的議題相當有趣。本文除了延續內線交易與產品市場的研究外,另將重心放在經理人的行為設定上。近年來有許多的研究顯示過度自信是人類與生俱來的特質,而這種行為特徵在某些專業程度越高的行業中尤其明顯,公司的經理人即是符合此種條件的最好例子。因此本文透過雙市場模型的設定,將過度自信納入經理人行為之中,並分析過度自信經理人與其他市場參與人在產出策略與股票交易的行為特徵。最後本文發現過度自信經理人相對於理性經理人在股票市場的交易數量較多,但在產品市場的產量則不必然較多,產量的多寡取決於市場條件。
摘要(英)In recent years, there are some papers try to discuss corporate strategies with integrated point of view. For example, Han, Chian-Shan (2004) states that there are important linkages between product market and insider trading. Corporate manager is not only the management but also insider of a company. This makes the issues that combine insider trading and product market competition very interesting. This paper continues the former research about insider trading and product market competition but put more weight on manager’s behavior. That’s because lots of surveys revealed overconfidence is an attribute of human being, and as the degree of job professionalism increase the tendency of overconfidence become more apparent. Obviously, a corporate manager will fit such kind of description. Therefore, through the setting of model, this paper shows how an overconfident manager acts in the stock market and product market. Finally, we bring up the idea that overconfident manager will trade more volumes in the stock market than rational manager. However, there is no necessity he will produce more in the product market. The quantity he produces depends on the market condition.
論文目次第一章 緒論 1 第一節 研究動機 1 第二節 研究目的 3 第三節 研究架構 3 第二章 相關文獻探討 5 第一節 過度自信相關文獻 5 第二節 資本市場活動與公司決策相關文獻 7 第三章 理論模型的建立 9 第一節 模型設定 9 第二節 均衡推導 12 第四章 均衡性質之探討 20 第五章 結論 26
參考文獻1. 韓千山(2004),“內部人股票交易對產品市場競爭之影響”,working paper。 2. 龔怡霖,“行為財務學:文獻回顧與展望”,國立中央大學財務管理所碩士論 文,2001 年8 月。 3. Brander, J. A. and T. R. Lewis (1986), Oligopoly and Financial Structure: The Limited Liability E?ect, American Economic Review, 76(5), 956-970. 4. Bebchuk, L.A. and C. Fershtman (1994), “Insider Trading and the Managerial Choice among Risky Projects,” Journal of Financial and Quantitative Analysis, Vol.29, 1-14. 5. Bernhardt, D. and B. Hollifield and E. Hugshon (1995), “Investment and Insider Trading,” Review of Financial Studies, Vol.8, 501-543. 6. Barberis, Nicholas, Ming Huang and Tano Santos. (2000).“Prospect theory and asset prices,” forthcoming Quarterly Journal of Economics. 7. Barberis, Nicholas and Ming Huang. (2000).“Mental accounting ,loss aversion, and individual stock returns,” University of Chicago Manuscript. 8. De Bondt, W. F. M. (1993).“Betting on trends: Intuitive forecasts of financial risk and Return,” International Journal of Forecasting 9, 355-371. 9. De Bondt, W. F. M. and R. H. Thaler (1985).“Does the stock market overreact?” Journal of Finance 40, 793-808. 10. Daniel, K., D. Hirshleifer and A. Subrahmanyam(1998), Investor psychology and security market under-and overreactions, Journal of Finance, 53, 1839-1885. 11. Fershtman, M. and K. Hagerty (1992), “Insider Trading and the Efficiency of Stock Prices,” Journal of Economics, Vol.23, 106-122. 12. Gervais, S. and T. Odean(2001), Learning to be overconfident, The Review of Financial Studies, 14(1), 1-27. 13. Jensen, M.C. and W. H. Meckling (1976), “Theory of The Firm: Managerial Behavior,Agency Cost and Ownership Structure,” Journal of Financial Economics, Vol.9,305-360. 14. Kahneman, D. and A. Tversky(1982), Judgment under uncertainty:Heuristics and bias, NY:Cambridge University Press. 15. Kyle, A. (1989), “Informed Speculation with Imperfect Competition,” Review of Economic Studies, Vol.56, 317-355. 16. Kahneman, D., J. L. Knetsch, and R. H. Thaler (1991).“The endowment effect, loss aversion, and status quo bias: Anomalies,” Journal of Economic Perspectives 5, 193-206. 17. Lichtenstein, S., B. Fischhoff and L.D. Phillips(1977), Do those who know more also know more about how much they know? Organizational Behavior and Human Performance, 20, 159-183. 18. Odean, T.(1998), Volume, volatility, price and profit when all traders are above average, Journal of Finance, 53, 1887-1934. 19. Odean, T.(2000), Do investors trade too much? American Economic Review, 89, 1279-1298. 20. Shefrin, H. and M. Statman(1985), The disposition to sell winners too early and ride losers too long:The theory and evidence, Journal of Finance, 40, 777-790.
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異動記錄M admin Y2008.M7.D3 23:18 61.59.161.35