隱含處份效果之價值函數

A Revised Value Function to Connote the Disposition Effect

郭志安(Zion Guo)；陳銘凱(Ming-Kai Chen)

展望理論 ； 價值函數 ； 處份效果 ； Prospect Theory ； Value Function ； Disposition Effect

經濟研究

50卷1期（2014 / 01 / 31）

49 - 67

繁體中文

處份效果係指人們在從事證券交易時，傾向於實現獲利的股票卻又不願處份損失的部位。由於Tversky and Kahneman (1992)所提出的價值函數無法解釋處份效果，因此，本文在展望理論的基本精神之下，建構出一個tanh (x)型態的價值函數，除了可以解釋處份效果，也解決了財富變動量趨近於零時風險偏好不合理的現象。

The definition of the disposition effect is when investors tend to realize profit gains, but are reluctant to realize losses. Because the value function proposed by Tversky and Kahneman (1992) cannot explain the disposition effect, we develop a tanh (x)-form value function by using the essence of the prospect theory. This explains the disposition effect and solves for the phenomenon of unreasonable risk attitudes when the change of wealth approaches zero.

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