基于信念和偏好的處置效應成因研究.pdf

1、中南大學碩士學位論文基于信念和偏好的處置效應成因研究姓名：陳永耀申請學位級別：碩士專業(yè)：管理科學與工程指導教師：饒育蕾20091101ABSTRACTAmongavastarrayofanomaliesinfinancialmarket，thedispositioneffectisstrikingandconsiderableAlthoughdispositioneffectisprovedtoberobustinempiricalte

2、standexperimentalstudy，itisnotcompletelyclearwhatdriveitata11SeveralcompetitivetheoriesandhypothesestrytointerpretDE，butnoneofthemmakeitclearessentiallyandthoroughlyUnderbehavioralfinance，fromtheperspectiveofbeliefandpre

3、ference，thispapertryingtesearchwhatfactorsofbeliefandpreferencedrivethedispositioneffectessentiallyFirstlythispaperdoesareviewandcomparisonwiththeextanttheoriesandhypothesesabouttheexplanationofthedispositioneffect，byack

4、nowledgingtheirsreasonablefactorsandquestioningtheirsdrawbackAndthenre—measureexpostandtruedispositioneffectaccordingtopriorresearchNextconstructatwo—stagebinomialmodelandoptimizetheresultsofthemodel，thenemployanumerical

5、analysistoresearchtheessentialcausesofdispositioneffectafterspecifyingtheparametersofinvestors’beliefandpreferenceFinallythispaperconsiderstheaffectsofinvestors’selfinvolvedbelieftodispositioneffectbyusingsimulationtechn

6、ologyofagentbasedcomputationalfinanceAccordingtothenumericalanalysisandagentbasedcomputationalsimulation，therearelotsofsignificantconclusiongotasfollows：Meanreversionbelieftendstoenhancethedispositioneffect；themodifiedss

7、hapedvaluefunctionseemstoaccountforthedetailsaboutoccurrenceandextentofthedispositioneffect；lOSSaversionhaslittleeffectontheextentofdispositioneffectbutitiSveryessentialtotheoccurrenceofthetruedispositioneffect；selfinvol

8、vedbeliefpersistencewouldgeneratethetruedispositioneffect；iftheagentsareallowedtoadjusttheirselfInvolvedbeliefaccordingtotheirpriorselling—relatedbeliefthetruedispositioneffectwillshrinkorvanish；simplebeliefpersistencecr