Kahneman and Riepe (1998)Shleifer (2000)Tvede (1999)Shefrin (2000).
Hirshleifer ... Management, LTCM) ( Shefrin (2000). Shleifer .... Beyond Greed
and Fear.
Չࣁ୍Ꮲ: Ўӣ៝ᆶఈ
*
Behavioral Finance: A Literature Review
ڬᇯ ԣ౺ဖ ت߷ڬᠭ܃ᓄ ୯ҥύѧεᏢ୍ߎᑼس *
ᄔा
ҁЎӣ៝Չࣁ୍ᏢޑЎǴхࡴఈፕᆶځд࣬ᜢፕޑวǶԜѦǴ ҁЎϩձவՉࣁ୍Ꮲᆶ୍ፕࡋفޑǴӚᅿൔၿёႣෳޑ܄ԋӢǶ ᜢᗖӷǺఈፕǵၸࡋԾߞǵཞѨᖿᗉǵਣࢎ࣬٩ǵЈЊǵൔၿёႣෳ܄Ƕ Abstract In this paper, we review the behavioral finance literature, including the development of prospect theory and other relevant theories. In addition, we discuss the explanations for return predictability from both the viewpoints of traditional and behavioral finance theories. Key Words: prospect theory; overconfidence; loss aversion; framing dependence; mental accounting; return predictability.
ݺଚტᒳΕԲۯೳټᐉԳΕፖഏمխ؇ՕᖂΕഏمႆࣥઝݾՕᖂΕցཕՕᖂઔಘᄎፖᄎ ृऱޅေፖਐإΖ *
1
൘ǵ!ق
ӵ୍݀ᔮᏢ(financial economics)ёаຎࣁࢂᔮᏢޑঁЍࢴǴٗሶՉ ࣁ୍Ꮲ(behavioral finance)Ψᔈ၀ёаຎࣁࢂՉࣁᔮᏢ(behavioral economics) ޑЍࢴǶԶӵ݀עॺךՉࣁᏢࢴ(behaviorism)ຎࣁЈᏢޑЍǴٗሶՉࣁ୍ ᏢΨᔈёаຎࣁЈ୍Ꮲ(psychological finance)ޑЍǴӕኬΞёຎࣁЈ ᔮᏢ(psychological economics)ޑϩЍ ǶԿ࣬زࣴܭᜢୢᚒޑᏢޣᔈᆀࣁЈᔮ Ꮲৎ(psychological economists)ࢂ܈ᔮЈᏢৎ(economic psychologists)Ǵᝄ ԶقᔈࢂԖձޑǹޣᙖҗЈᏢޑፕ၂܈ှ،ᔮᏢ܌ᜢЈޑ ᚒǴԶࡕࢂ߾ޣख़ӧᆶࣴঁزᡏӧᔮᡏسύޑՉࣁᆶ࣬ᜢЈຝǶ ՠॺךаࣁǴ೭ኬޑձ٠คϼεޑཀကǶӕኬޑǴЎΨόѐڅཀϩՖޣ ࣁՉࣁ୍ᏢޑϣǴ܈ՖࣁޣЈ୍ᏢޑϣǶ ᙁౣԶقǴȨՉࣁ୍Ꮲȩ߯аЈᏢޑวࣁ୷ᘵǴᇶаޗᏢځд ࣽޗᏢޑᢀᗺǴ၂ှញคࣁݤ୍ᔮፕ܌ှញޑӚᅿᆶ౦த ຝǶ೭٤౦தຝхࡴǺၸଯިޑሽ܄ݢᆶҬܰໆǴԶЪި౻ൔၿόፕӧᐉᘐ य़܈ਔ໔ׇӈǴӸӧ࣬ޑёႣෳ܄ǶٯӵǴӧᐉᘐय़Бय़ǴჴЎว ܌ᒏޑೕኳྈၿ (size premium ǴջλϦљೕኳਏ݀ ) ᆶሽॶྈၿ (value premiumǴҭջय़ѱॶКਏ݀)ǴԶЪۓޑሽፕȐхࡴ CAPMǴAPTǴᆶ CCAPM ȑΨคݤӝޑှញၗౢ໔ޑᐉᘐय़ൔၿৡ౦Ƕӧਔ໔ׇӈБय़Ǵନ Αຼ҃ਏᔈǵДਏᔈǵଷВਏᔈຝѦǴިሽόፕӧอයߏ܈යΨӸӧ࣬ ޑԾ࣬ךᜢǶ van Raaij (1981)ගрޑȨᔮЈᏢȩޑኳࠠᔈёᔅշॺךᕕှՉࣁ ୍Ꮲᆶ୍ፕޑৡ౦ȐـკȑǶᡉฅǴᏃᆅᔮᕉნϸᔈᔮݩރ ׯޑᡂǴՠঁᡏӢࣁঁΓӢનޑৡ౦ǴԶჹᔮݩԖόӕޑᇡޕᆶགڙǴу ঁΓЬᢀޑሽॶղᘐǴᝩԶၸՉࣁ߄Զᆶᔮᕉნౢғፄᚇޑϕᜢ߯Ƕ ඤقϐǴঁᡏ໔ჹѱ܈ᔮᡏݩރޑԖ܈ӕ܈౦ޑȨᇡ(ޕperception)ȩǴ ၸՉࣁᆶ۶Ԝ໔ϕԶӆϸࢀӧѱ܈ᔮύǶҭջǴѱ܈ᔮࢂݩރޑဂᡏ Ȩ(projection)ȩ่݀ޑǶѱ܈ᔮޑᄽǴࢂೱՍᇡޕᆶޑၸำǹ ᡉฅӧ೭ၸำύǴȨΓȩתᄽΑനख़ाفޑՅǶ аި౻ሽޑ،ٯࣁۓǴިሽޑᡂёૈٰԾϦљҁيሽॶׯޑᡂ(ϸᔈ ᔮᕉნޑᡂ)ǴΨёૈϸࢀၗΓӢঁΓȐЈȑӢનԶჹځຑሽׯޑᡂǴ܈ ޣΒࣣޣฅǶᔮȐ୍ȑፕஒΓຎࣁ܄ǴӢԜሽᡂЬाٰԾ୷ܭ ҁय़ӢનȋхࡴᔮᕉნޑᡂǵϦљᔼၮׯޑݩރᡂȋԶঁᡏᆶဂᡏޑ،ၸ ำ߾൳Яֹӄ۹ຎǹȨΓȩޑᡂኧӧፕύޑख़ा܄फ़ډനեǶ࣬ϸޑǴՉ 1
ՉࣁᏢࢴࣁ John B. Watson (1878-1958) ܭ1912 ԃගрǶWatson ډڙPavlov ޑȨڋऊᏢಞፕ Ȑtheory of conditioningȑȩ௴ޑวǴЬЈᏢᔈаࣽᏢჴᡍޑБԄࣴزȨᢀჸޑډޑՉࣁȩǴԶ όࢂаϣ࣪ޑБԄࡘ࣮όޑډȨཀȩǶԖᑫ፪ޑ᠐ޣёୖԵ Tvede (1999)Ƕ 1
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ࣁ୍Ꮲ߾ȨගϲȩΓޑӦՏǴԶᔮᡂኧޑख़ा࣬߾܄ჹफ़եǶ Ꮓᆅӧ 1980 ԃжࡕයω໒ډڙۈख़ຎǴՠՉࣁ୍Ꮲӧӭख़ाୢᚒǴ ςԖ࣬ޑǶόၸǴّϞϝ҂ԖҺՖᜪ՟ၗҁၗౢۓሽፕȐcapital asset pricing model, CAPMȑ܈ճۓሽፕ(arbitrage pricing theory, APT)ቶࣁௗڙ ޑፕගрǶӧЎӣ៝Бय़ǴEdwards (1995)ǵRabin (1998)ǵShiller (1999)ǵ Kahneman and Riepe (1998)ǵShleifer (2000)ǵTvede (1999)ǵShefrin (2000)ǵ Hirshleifer (2001)ΓමଞჹՉࣁ୍ᏢύӭቹៜၗΓՉࣁޑЈӢ નуаϩǵ٠ගрཥޑགྷݤǶEdwards (1995)аఈፕޑวࣁЬືǴ ჹ࣬ᜢޑЎբΑᙁౣޑӣ៝ǶShiller (1999)வЈᏢǵޗᏢϷΓᜪᏢࡋف ჹՉࣁ୍ᏢதЇҔޑȸՉࣁচ(behavioral principles) ȹΑ࣬ቶޑݱӣ ៝ǴMullainathn and Thaler (2000)ޑอЎ߾வΓޑԖज़(܄bounded rationality)Ǵ Ԗज़ཀדΚ(bounded willpower)ǴᆶԖज़Ծճ(bounded self-interest)Οঁࡋف ՉࣁᔮᏢᆶՉࣁ୍ᏢǶShleifer (2000) வᏢೌࡋفޑჹ൳ঁᒧޑ܄ୢᚒǴ хࡴፕᆶՉࣁ୍Ꮲϐৡ౦ǵ҂ٰࣴزБӛǴΑుΕޑǶShefrin (2000)ᆶ Tvede (1999)߾வၨჴ୍ࡋفޑ࣬ᜢޑᚒǶ ҁЎ၂வၨቶޑຎഁǴჹՉࣁ୍ᏢޑวϷځᆶ୍ፕϐৡ౦Ǵ ၨֹޑϟಏǴಃΒፕ୍ፕӧၸѐΒΜԃٰ܌य़ᖏࡷޑᏯᆶץ ຑǴಃΟӣ៝Չࣁ୍ᏢޑፕࢎᄬǴϣЬाፕఈፕаϷҗ़ځғр ٰ࣬ޑᜢፕǴќѦᗋԖځдЈᏢᜢܭၗΓ،ၸำޑวǹಃѤа Fama (1991)ჹȨൔၿёႣෳ܄ȩޑፕࣁϩЬືǴϩձ൩୍ᔮᆶՉ ࣁ୍ᏢࡋفޑǴፕдॺჹӚᅿȸ౦தຝȹޑှញǶനࡕࣁ่ፕᆶ҂୍ٰ ࣴزёૈޑวБӛǶ
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კǺ ᔮЈᏢޑኳࠠ (ٰྍǺvan Raaij, 1981, Journal of Economic Psychology, Vol. 1, No. 1, 1-24.)
ଡԳైڂ
ൣቼΰᛩቼխհࠃٙα
H
I
ᆖᛎणउհᎁव
۩
B
A D
ᆖᛎᛩቼ
F
C
ᨠጝઘ
(well-being)
E
J
G
षᄎऱլየΰSocietal discontentα
ԫᆖᛎणउ
4
ມǵ!߈ж୍ፕ܌य़ᖏࡷޑᏯ
ஒ୍ፕޑวϩԋ൳ঁ໘ࢤǺȨᙑਔж୍ (old ȩǵȨж୍ ȩᆶȨཥਔж୍(new finance)ȩǶȨᙑਔж ୍ȩж߄ ࢂޑԃжаǴаीаϷ୍ൔ߄ϩࣁЬزࣴޑǴȨж ୍ȩǴࢂ܈ᆀࣁ܌ᒏޑȨྗ୍ ȩǴ߯аԾ 1960 ԃжଆᑫଆޑ ୍ᔮᏢࣁЬाፕǴࣴزЬᚒࣁ܄ଷΠޑຑሽǶԶȨཥਔж୍ȩ߾ё аԾ 1980 ԃжࡕයଆᅌݙډڙཀޑՉࣁ୍Ꮲࣁж߄ǴࣴزЬᚒࣁȨคਏ ѱȩǶ Ԑයޑ୍ᆶीؒزࣴޑԖϼεޑϩഁǴӢࣁਔۘؒԖၨᝄᙣޑБݤፕ ىа٬ள୍܈ीزࣴޑԋࣁȸࣽᏢȹǶȨ୍ȩԋࣁঁᐱҥޑᏢೌሦ ୱǴा ډޔ1960 ԃжࡕ CAPMǵAPTǵᒧۓሽፕаᔮᏢȨ܄Չ ࣁȩࣁБݤፕޑፕޑගрǶӕਔǴҗܭӄౚᔮޑวǴаϷႝတᆶႝηၗ ޑදϷǴڈᐟΑж୍ፕᆶჴࣴޑزጲࠁวǴΨ٬ள୍ԋࣁ ܌ԖࣽޗᏢ܌༭֪ᆶခኀޑঁᏢࣽǶԶȨж୍ȩനமԶԖΚޑፕǴε ཷाаਏѱଷᇥȐefficient market hypothesis, EMHȑࣁж߄ǶEMH ёаᇥࢂ ܄Չࣁཱུޑठ߄Ƕ ୷ҁǴਏѱଷᇥᇡࣁިሽϸᔈ܌Ԗ࣬ޑᜢၗૻǴջ٬ިሽୃᚆ୷ҁ ሽॶǴΨࢂӢࣁၗૻޑόჹᆀ܈ၗૻޑှ᠐อਔ໔ϣޑৡ౦܌ठǶόፕӵՖǴᒿ ਔ໔ޑၸǴၗΓჹၗૻڗޑளຫٰຫֹӄȐϦ໒ૻ৲ȑǴЪၗΓΨᙖ җᏢಞԶ҅ዴޑှ᠐࣬ᜢၗૻǴӢԜިሽѸۓӣᘜ୷ҁሽॶǴ܌аሽୃޑᚆ ࢂอයޑຝǶ Shleifer (2000)ࡰрǴਏѱଷᇥࡌҥӧаΠޑΟঁଷΠǺ () ၗࢂޣޑ܄ǴӢԜૈ܄ӦຑޑچሽǶ (Β) ջ٬Ԗ٤ၗࢂޣόޑ܄ǴՠҗܭдॺޑҬܰࢂᒿᐒޑǴ܌аૈ ܢ۶ԜჹሽޑቹៜǶ (Ο) ऩϩၗޣԖ࣬ӕޑό܄ՉࣁǴѱϝёճҔȬճȭᐒڋ٬ ሽӣൺ܄ሽǶ 1970 ԃжᏢೌࣚჹਏѱଷᇥئޑёаᇥډၲΑᜬঢ়Ǵӭፕکჴ ่݀ޑЍǴ٬ளਏѱଷᇥ៳ฅԋࣁઓဃόёߟҍޑǶ ډޔ80 ԃжǴ ࣴزഌុว٤ၴϸۓሽፕȐӵ CAPM ᆶ APTȑکਏѱଷᇥޑჴ ่݀Ƕᒿຫٰຫӭޑ౦தຝวǴᏢޣ໒ۈჹޑ୍Ꮲӧچሽ ޑ،ۓӸᅪǴᙯԶ൨ځдሦୱޑှញǶ ೭ਔаЈᏢჹၗΓ،ၸำزࣴޑԋ݀ࣁ୷ᘵǴख़ཥᔠຎᡏѱሽ Haugen (1999) finance) (modern finance) 1960 (standard finance)
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ՉࣁޑՉࣁ୍Ꮲߡᕇளख़ຎǶќঁ٬Չࣁ୍ᏢጲࠁวޑচӢࢂ Kahneman and Tverskey (1979)ගрఈፕ(prospect theory) ǴҔٰբࣁΓॺӧ य़ჹόዴ܄ۓΠவ٣،ޑኳࠠǴаှញႣයਏҔፕᆶჴ่݀ޑϩݔǶ ٯӵǴႣයਏҔፕόૈှញࣁϙሶঁΓӧࢌ٤ࢂݩ॥ᓀངӳޣǴӧࢌ٤ ݩΞࢂ॥ᓀᖿᗉޣǶќѦঁΓӧ،ਔǴ٠όࢂӵ୍ፕଷޑ܄ ঁΓǴჹ܌ԖޑёૈნϷёૈ܄၁ᅰޑϩǴԶࢂததόૈкҽᕕှډԾ ρ܌य़ჹݩރǴԖᇡୃޑޕᇤ(cognitive bias)Ǵதаᡍޔ܈߾ݤբࣁ، ޑ٩ᏵǴϸᔈӧၗՉࣁǴ߾Ԗၸࡋϸᔈ܈ϸᔈόޑىຝǶঁࢂ܈Γӧᒧ ޑਔংǴததډڙୢᚒඔॊБԄޑቹៜԶԖόӕޑᒧǴ೭٤ᆶႣයਏ Ҕፕ܌ଷޑ܄Չࣁ࣬ܢޑຝǴӧఈፕύёаᕇளှเǶ Չࣁ୍Ꮲаఈፕࣁ୷ᘵǴуځдЈᏢᆶՉࣁᏢჹܭၗΓՉࣁኳ ԄޑวǴჹਏѱଷᇥޑΟঁଷගр፦ᅪ(Shleifer (2000))Ǻ () ߚ܄Չࣁ ਏѱଷᇥനӃݾڙޑӦБ൩ࢂᜢܭ܄ՉࣁޑଷǶKahneman and Riepe (1998)ஒߦ٬Γॺคݤр಄ӝ܄،ኳࠠޑӢનǴр ΑΟᗺޑᘜયǺ२Ӄࢂၗޣჹ॥ᓀޑᄊࡋǺঁΓय़ჹၗਔǴ٠όࢂӵ ਏҔፕ܌ଷޑԵቾനಖޑНྗǴԶࢂڗঁୖԵᗺ(reference point)ѐ࣮ࢂᕇճ܈ᖝཞǴ܌аёૈӢԛୖԵᗺޑᒧόӕǴ٬ளԛ ،ӢݩόӕԶׯᡂǶځԛࣁߚنԄޑ߾ݤႣයԋǹKahneman and Tversky (1973)ࡰрǴঁΓӧჹόዴ่݀ޑۓբႣයਔǴதၴϸنМ߾ݤ ځ܈дᜢܭᐒޑፕǶനࡕࢂჹୢᚒޑਣࢎБԄቹៜ،ǺȬਣࢎȐframeȑȭ ߯ࡰഋॊ،ୢᚒޑԄǴঁΓӧय़ჹόӕᒧਔǴ೯தڗ،ܭୢᚒӵ Ֆևӧय़Ǵ܌аୢᚒޑਣࢎБԄࢂቹៜ،ޑǶ (Β) ၗΓߚޑ܄Չࣁ٠ߚᒿᐒวғޑ EMH ޑЍޣᇡࣁǴջ٬Ԗ٤ߚޑ܄ၗΓӸӧǴՠҗܭ೭٤ߚ ޑ܄ၗΓޑҬܰࢂᒿᐒޑǴ܌аԾฅԶฅޑΨ۶ԜܢǶՠ य़ග ޑډKahneman and Tversky (1979)ӧఈፕύࡰрǺߚ܄ၗޑޣ ،٠όֹӄࢂᒿᐒޑǴததරӕঁБӛǴ܌аόـள۶ԜܢᎍǶ Shiller (1984)ዴᇡΑॊޑՉࣁ٠ࡰрǴ೭٤ߚޑ܄ၗޑޣՉࣁޗ ϯǴ܈εৎ᠋ߞ࣬ӕޑᖳقਔǴ೭ঁຝ׳уܴޑᡉǴၗΓޑᆣ Ӣન٠ߚᒿᐒౢғޑᒱᇤǴԶࢂᅿࡐதޑـղᘐᒱᇤǶ 2
ӧ೭㚊Ǵprospect ࡰࢂޑঁ።ֽ܈॥ᓀޑ܄ᒧǶځჴǴӧ KT (1973)ว߄ఈፕϐǴ চӃࢂаȨሽॶፕ(Value Theory)ȩڮӜ (ፎୖԵ Thaler (1991), । xiv) ǶBernstein (1996)ӧ Against the Gods ਜමගډǴдමӳࣁڻՖఈፕޑӜᆀکЬᚒόࢂߚத࣬ᜢ? Kahneman ှ ញᇥдॺѝࢂाפঁܰЇΓݙཀޑӜӷǶ 2
6
ᏃᆅԖϩޑၗΓࢂߚޑ܄ǴՠਏѱଷᇥᇡࣁၗΓӧᐕ ൳ԛ࣬ӕޑᒱᇤᡍࡕǴᙖҗȬᏢಞȭёаᏢ҅ዴޑຑሽǶόၸǴ Mullainathan and Thaler (2000)ჹԜගр፦ᅪǴдॺᇡࣁҗܭᏢಞޑᐒԋҁ ёૈଯၸၗΓ܌ᜫཀॄᏼޑжሽǴᏢಞ҅ዴޑຑሽ܌ሡޑਔ໔ёૈߚத ߏǴЪԖ٤،٠ؒԖࡐӭޑᏢಞᐒǴ܌аȬᏢಞȭਏ݀٠ؒԖࡐֹ๓ ޑᏵޑЍǶ (Ο) ճڙ٤చҹޑज़ڋǴ٬ځόૈวචႣයύޑΚໆ ਏѱଷᇥࡰрᙖҗճޑΚໆϝёᡣѱࡠൺਏǴ܌аሽޑ ୃᚆࢂอයޑຝǹShleifer and Vishny (1997) کThaler (1999)߾ࡰрΑჴ୍ ճঅ҅ሽޑΚໆډڙΑ٤చҹޑज़ڋǶаঁᙁൂٯޑηբᇥ ܴǴଷӵѱԖٿᜪޑၗΓǺಃᜪࢂ܄ၗΓȐӵӕፕଷ ޑȑǴќᜪ߾ࢂଷޑ܄܄ၗΓȐquasi-rationalȑǴ೭ᜪޑၗΓո Κӳၗ،Ǵࠅதҍࢌ٤،ᒱᇤȐӵӕၗΓȑǴ܄ၗΓ གྷวචճޑΚໆѸӃڀഢ൳ঁచҹǶ२ӃǴ൩ᕴԶقǴଷޑ܄܄ ၗΓόૈϼӭǴց߾дॺஒёЍଛȐdominateȑѱǴ܄ၗΓΨ൩ค Κ٬ሽӣ֡ډᑽНྗǶಃΒǵѱѸϢեԋҁޜܫޑǴԶЪ܄ ၗΓёаޜܫǴց߾ଷ܄܄ၗΓஒёᙖҗޜܫ٬ଷୃᚆǶ ಃΟǵၸࢤਔ໔ࡕၗౢ҅ޑሽॶѸࣁΓޕ܌Ǵց߾ଷ܄܄ ၗΓӵ҂ཀډдॺჹިሽޑຑሽᒱᇤǴஒόፓдॺޑՉࣁǴୃᚆޑ ΨុΠѐǶॊ೭٤చҹᡉฅࡐᜤᅈىǴShleifer and Vishny (1997) ஒԜᆀࣁȬճཱུޑज़Ȑlimits of arbitrageȑȭǶ ճନΑڙॊచҹޑज़ڋǴ٬ځόૈวචႣයޑቹៜΚѦǴճҁ يΨόᅰฅࢂֹӄค॥ᓀޑǶMullainathan and Thaler (2000)ࡰрჴ୍Ȭ ճȭҁيᗋࢂڀԖ॥ᓀǴճޑ॥ᓀЬाٰԾٿܭБय़Ǻ२Ӄࢂֹऍޑඹ жࠔࢂցӸӧǺճޑౢғനख़ाࢂޑाԖֹऍޑඹжࠔǴჹࢌܭ٤ߎᑼ ࠔȐٯӵය܈ᒧȑֹऍޑඹжࠔࡐӳڗளǴ܌аճޑՉࣁၨ ܰౢғǴՠჹεϩި౻ԶقǴֹऍඹжࠔޑᒧ൩֚ᜤޑӭΑǴനӭѝ ૈᒧ࣬߈ޑඹжࠔǴӵԜٰճԾฅ൩Ӹӧ॥ᓀǶ ќѦБय़߾ࢂၗයज़ߏޑอǺҗܭ҂ٰޑሽࢂόёႣෳޑǴ܌ аࡐԖёૈሽӧӣൺډፕሽϐǴӃᚆፕሽ׳ᇻǴ܌аၗ යज़ߏޑอᡂԋճࢂցૈԋфޑᜢᗖǴӵ݀ӧሽӣൺډፕሽϐ ȐΨ൩ࢂᕇڗճޑႣයൔၿȑၗಔӝय़ᖏᡂޑݩਔǴճΨय़ ᖏᖝཞǶനԖӜٯޑη൩ࢂ 1998 ԃߏයၗҁᆅ (Long Term Capital Management, LTCM) Ϧљ٣ҹ ( ـShefrin (2000) ᆶ Shleifer (2000, pp. 107-111) ޑᇥܴ)Ƕ җܭճϝय़ᖏॊޑ॥ᓀǴ܌аճޑΚໆࢂԖज़ޑڋǶᡏٰᇥǴ ճ٠ؒԖԋфޑऊި״౻ᆶچѱޑሽНྗǴ٬ځ಄ӝਏѱଷᇥޑႣ 7
යǶ
Չࣁ୍ᏢৎᆶਏѱଷᇥޑЍޣଞჹॊޑଷςݾΑ߈ΒΜ ԃǴҁЎЬाҞޑ൩ӧܭᙖҗՉࣁ୍ᏢၸѐޑЎǴᙶమځፕࢎᄬǴය ఈᙖҗՉࣁ୍ᏢჹၗΓჴՉࣁޑᢀჸǴᙦϞࡕ୍ࣴޑزϣ఼Ƕ
ୖǵՉࣁ୍Ꮲޑፕࢎᄬ
Ծ 1980 ԃжаٰǴՉࣁ୍Ꮲᅌډڙख़ຎǴԜࣴزሦୱ࣬ᜢፕޑଆྍ ԖΒǺБय़ࢂӢࣁӭჴࣴزวፕคݤှញޑ౦தຝǹќБय़ ߾ࢂ کKahneman and Tverskey (1979ǴаΠᙁᆀࣁ KT)܌ว߄ޑఈፕԖᜢǶ ҁЎаΠଞჹఈፕᆶځд࣬ᜢፕ၁ᅰޑϟಏǶ ǵ ఈፕ () ፕว KT (1979) ࡰрႣයਏҔፕคֹݤӄඔॊঁΓӧόዴۓݩΠޑ، ՉࣁǶдॺаεᏢ௲کᏢғࣁ୷ᘵՉୢڔፓǴวεҽڙೖޑޣӣเ ᡉҢӭୃӳၴϸႣයਏҔፕޑຝǴ٠ᏵԜගрќᅿᔮՉࣁޑኳ ࠠǴᆀࣁఈፕǶ KT ஒ೭٤ၴϸፕޑҽᘜયрΠӈΟঁਏٰ݀ᇥܴǺ (1)ዴۓਏ݀(certainty effect) Ԝਏ݀ࢂࡰ࣬ჹܭόዴޑۓрຝ(outcome)ٰᇥǴঁΓჹ่݀ܭዴޑۓрຝ ၸࡋख़ຎǶKT ीΑঁٿୢᚒٰᇥܴዴۓਏ݀ǶಃঁୢᚒࢂǴଷԖঁٿ ።ֽǺಃঁ።ֽԖ 33%ޑᐒள ډ2,500 ϡǴ66%ޑᐒள ډ2,400 ϡǴќѦ 1%ޑᐒϙሶΨؒԖǴಃΒঁ።ֽࢂዴۓள ډ2,400 ϡǴୢ่݀ޑڔᡉҢԖ 82% ڙޑೖޣᒧಃΒঁ።ֽǶಃΒঁୢᚒΨଷԖঁٿ።ֽǺಃঁ።ֽԖ 33% ޑᐒள ډ2,500 ϡǴ67%ޑᐒϙሶΨؒԖǶಃΒঁ።ֽԖ 34%ޑᐒளډ 2,400 ϡǴ66%ޑᐒϙሶΨؒԖǶୢ่݀ޑڔᡉҢԖ 83%ڙޑೖޣᒧಃঁ ።ֽǶКၨаঁٿୢᚒёޕǴਥᏵႣයਏҔፕǴಃঁୢᚒୃޑӳࣁ u(2,400) > 0.33u(2,500) + 0.66u(2,400) ܈0.34u(2,400) > 0.33u (2,500) Ǵځύ u (.) ࣁ ਏҔڄኧǶಃΒঁୢᚒୃޑӳࠅࢂ 0.34u(2,400) < 0.33u(2,500) Ǵ೭ܴᡉӦၴϸႣ යਏҔፕǶ (2)ϸਏ݀(reflection effect) ऩԵቾॄޑрຝǴջཞѨ(loss)ǴёวঁΓჹճளکཞѨୃޑӳখӳ࣬ϸǴ ᆀࣁϸਏ݀ǶঁΓӧय़ჹཞѨਔǴԖ॥ᓀངӳ(risk seeking)ޑӛǴჹܭճள ߾Ԗ॥ᓀᖿᗉ(risk aversion)ޑӛǶ೭کႣයਏҔፕ٠όठǴёа࣮рঁΓ 8
ݙख़࣬ࢂޑჹୖঁࢌܭԵᗺ(reference point)ޑᡂԶόࢂനಖՏޑ ႣයਏҔǶKT ीΑঁୢᚒٰᇥܴϸਏ݀ǶଷԖঁٿ።ֽǺಃঁ።ֽ Ԗ 80%ޑᐒள ډ4,000 ϡǴಃΒঁ።ֽࢂዴۓள ډ3,000 ϡǴୢ่݀ޑڔᡉҢ Ԗ 80%ڙޑೖޣᒧಃΒঁ።ֽǶऩஒрຝׯԋॄޑǴջಃঁ።ֽԖ 80%ޑ ᐒཞѨ 4,000 ϡǴಃΒঁ።ֽࢂዴۓཞѨ 3,000 ϡǴୢ่݀ޑڔᡉҢԖ 92%ޑ ڙೖޣᒧಃঁ።ֽǶ (3)ϩᚆਏ݀(isolation effect) ऩಔ prospects ёаҔόѝᅿБݤϩှԋӅӕکόӕޑӢηǴ߾όӕ ޑϩှБԄёૈԋόӕୃޑӳǴ೭൩ࢂϩᚆਏ݀ǶKT ीΑঁٿ໘ࢤޑ ።ֽٰᇥܴϩᚆਏ݀Ƕӧ።ֽޑಃঁ໘ࢤǴঁΓԖ 75%ޑᐒόளډҺՖዛ ࠔԶрֽǴѝԖ 25%ޑᐒёаΕಃΒ໘ࢤǶډΑಃΒ໘ࢤΞԖঁٿᒧǺ ঁᒧࢂԖ 80%ޑᐒள ډ4,000 ϡǴќѦঁᒧࢂዴۓள ډ3,000 ϡǶவ ঁ።ֽٰ࣮ǴঁΓԖ 20% (25% × 80%)ޑᐒள ډ4,000 ϡǴԖ 25%ޑᐒளډ 3,000 ϡǶჹܭ೭ঁΒ໘ࢤ።ֽޑୢᚒǴԖ 78%ڙޑೖޣᒧள ډ3,000 ϡǶՠ KT ऩୢڙೖޣќঁୢᚒǺ ȨঁٿᒧǺ20%ޑᐒள 4,000 ϡ ک25%ޑᐒள ډ3,000 ϡȩǴεҽޑΓᒧޣǶҗԜёޕǴӧٿ໘ࢤޑ።ֽύǴঁΓ ۹ౣಃঁ໘ࢤѝԵቾډಃΒঁ໘ࢤޑᒧǴջࢂԖอຎ(myopia)ޑຝǶӧ ೭ᅿݩǴঁΓय़ᖏࢂޑঁόዴ ޑۓprospect کঁዴ ޑۓprospectǶऩѝԵ ቾനࡕک่݀ޑᐒǴঁΓय़ᖏঁٿࢂޑόዴ ޑۓprospectsǶᗨฅ೭ٿᅿޑݩ Ⴃයॶ࣬ӕǴՠࢂҗঁܭΓόӕޑϩှБԄǴளډόӕୃޑӳǶҗԜёޕǴऩ аႣයਏҔፕޑᢀᗺٰ࣮Ǵ೭ঁٿ።ֽࢂ࣬ӕޑǴঁΓޑᒧᔈ၀࣬ӕǶՠࢂ ჴሞࠅόࢂӵԜǴঁΓӢࣁୢᚒඔॊБԄޑόӕԶԖόӕޑᒧǴ೭൩ࢂ܌ ᒏਣࢎ࣬٩ޑຝǶ ନΑճҔୢٰڔᇥܴϐѦǴKT ΨගрፕኳٰࠠᇥܴঁΓޑᒧୢᚒǶд ॺճҔٿᅿڄኧٰඔॊঁΓޑᒧՉࣁǺᅿࢂሽॶڄኧ(value function) v(x) Ƕ ќᅿࢂ،ኧڄኧ(decision weighting function) π ( p) ǶځύሽॶڄኧڗжΑ ޑႣයਏҔፕύޑਏҔڄኧǴ،ኧڄኧஒႣයਏҔڄኧޑᐒᙯඤԋ ،ኧǶ KT ۓကঁ prospect ࣁঁ።ֽǴ߄Ңࣁ( x, p; y, q )Ǵ೭ঁ።ֽനӭѝԖٿ ঁߚ႟ޑрຝǶӧ೭ঁ።ֽύǴঁΓள ډx ޑᐒࣁ p Ǵள ډy ޑᐒࣁ q Ǵ ќѦঁΓԖ 1 − p − q ޑᐒளόډҺՖܿՋǴӢԜ p + q ≤ 1 Ƕऩ።ֽύ܌Ԗޑр ຝࣣࣁ҅ǴΨ൩ࢂ x, y > 0 Ъ p + q = 1 Ǵ߾೭ᅿ።ֽᆀࣁ๊ჹࣁ҅ (strictly positive)ǹऩ።ֽύ܌ԖޑрຝࣣࣁॄǴΨ൩ࢂ x, y < 0 Ъ p + q = 1 Ǵ߾೭ᅿ።ֽ ᆀࣁ๊ჹࣁॄ(strictly negative)ǹऩ።ֽύޑрຝόࢂ๊ჹࣁ҅Ψόࢂ๊ჹࣁ ॄǴΨ൩ࢂ p + q < 1 ܈x ≥ 0 ≥ y ܈x ≤ 0 ≤ y Ǵ߾೭ᅿ።ֽᆀࣁதᄊ(regular)Ƕ ঁΓӧբᒧޑਔংᐕঁٿ໘ࢤǺጓᒠ (editing phase) کຑሽ (evaluation phase) Ƕ 9
ጓᒠࢂࣁΑჹόӕ ޑprospects ᙁϯکख़ཥጓዸ(encode)Ǵጓᒠ໘ࢤЬाх ֖ѤঁҽǺ (1) ጓዸ(coding)ǺঁΓ܌ᇡޑޕрຝࢂճளکཞѨǴԶόࢂය҃ՏǴճ ளکཞѨࢂ࣬ჹୖঁࢌܭԵᗺ܌،ޑۓǴ೯தୖԵᗺࢂਥᏵҞޑՏ ܌،ۓǴՠࢂԖਔংୖԵᗺՏޑ،ډڙࢂۓҞय़ᖏ ޑprospects ޑکݩ ،ޣჹ҂ٰޑႣය܌ቹៜǶ (2) ӝ(ٳcombination)Ǻӝ࣬ٳӕрຝޑᐒǴёаᙁϯୢᚒǶ (3) ϩှ(segregation)Ǻஒ prospects ϩှค॥ᓀӢηک॥ᓀ܄ӢηǴаΠӧຑሽ ޑҽஒԖޑᇥܴǶ (4) մନ(cancellation)ǺմନޑݩёૈԖٿᅿǺಃᅿࢂय़܌ගޑډϩᚆਏ ݀ǴঁΓჹܭঁٿ໘ࢤޑ።ֽǴѝԵቾಃΒ໘ࢤޑҽǶќᅿࢂݩ ঁΓჹܭόӕ።ֽύ࣬ޑӕӢηόϒԵቾǶٯӵǴऩԖঁٿ።ֽёٮᒧ Ǻ( 200, 0.2 ; 100 , 0.5 ; -50 , 0.3 ) (ک200 , 0.2 ; 150 , 0.5 ; -100 , 0.3 )ǶঁΓ ёૈஒ೭ٿᅿᒧύ࣬ӕޑӢη( 200 , 0.2 )մନǴ٬೭ٿᅿᒧᡂԋ( 100 , 0.5 ; -50 , 0.3 ) (ک150 , 0.5 ; -100 , 0.3 )ǴӆϒаຑሽǶ ӧఈፕύǴಃΒঁ໘ࢤࢂຑሽǴΨ൩ࢂଷ،ޣჹঁጓᒠၸ ޑprospects уаຑሽǴฅࡕᒧനଯሽॶ ޑprospectǶ ਥᏵఈፕǴଷӵ።ֽࢂதᄊޑǴΨ൩ࢂ p + q < 1 ܈x ≥ 0 ≥ y ܈ x ≤ 0 ≤ y Ǵ߾ prospect ޑሽॶࣁǺ V ( x, p; y, q) = π ( p)v( x) + π (q)v( y)
(1)
ఈፕᇡࣁঁΓჹ๊ܭჹࣁ๊҅܈ჹࣁॄޑ።ֽޑຑሽচ߾(ک1)Ԅό ӕǶӧጓᒠޑ໘ࢤǴ೭ᅿ๊ჹࣁ๊҅܈ჹࣁॄ ޑprospects ёаϩှԋঁٿӢ ηǴঁӢηࢂค॥ᓀӢηǴӵዴۓᕇளޑനλճள܈ዴۓЍбޑനλཞѨǹ ќঁӢηࢂ॥ᓀ܄ӢηǴӵёૈޑวғޑճள܈ཞѨǶ೭ᅿ prospects ޑຑ ሽёճҔΠԄᇥܴǺ ଷӵ p + q = 1Ъ x > y > 0 ܈x < y < 0 Ǵ߾ prospect ޑሽॶࣁǺ V ( x, p; y, q) = v( y) + π ( p)[v( x) − v( y )]
(2)
Ψ൩ࢂᇥǴ๊ჹࣁ҅ ޑprospects ๊کჹࣁॄ ޑprospects ޑሽॶܭค॥ᓀ Ӣηޑሽॶурຝϐ໔ޑሽॶৡ౦४کКၨཱུᆄ(ᐒၨե)ޑрຝ࣬ᜢޑ ኧǶவ(2)Ԅё࣮р॥ᓀ܄Ӣηࢂ v( x) − v( y) Ǵ v( y) ж߄ࢂޑค॥ᓀӢηǶ(2) Ԅޑѓᜐёϯԋ π ( p)v( x) + [1 − π ( p)]v( y) ǶӢԜǴଷӵ π ( p) + π (1 − p) = 1 Ǵ߾(2) Ԅёᙁϯԋ(1)ԄǶ ሽॶڄኧԖΠӈΟঁख़ाޑـ(܄კΒ)Ǻ (1) ሽॶڄኧࢂۓကӧ࣬ჹୖঁࢌܭԵᗺޑճளکཞѨǴԶόࢂፕ܌ 10
ख़ຎޑය҃܈ǶୖԵᗺޑ،ۓ೯தࢂаҞޑНྗࣁ୷ྗǴՠ ࢂԖਔόࢂۓӵԜǶKT ᇡࣁୖԵᗺёૈӢࣁၗΓჹ҂ٰՏႣ යޑόӕǴԶԖόӕޑԵቾǶӵঁჹܭཞѨόҒЈޑၗΓǴёૈௗ ڙдচٰόௗޑڙ።ֽǶ (2) ሽॶڄኧࣁ S ࠠڄޑኧǶӧय़ჹճளਔࢂпڄኧ(concaveǴv ′′( x) < 0Ǵ x > 0 )Ǵ ཞѨࢂсڄኧ(convexǴ v′′( x) > 0 Ǵ x < 0 )Ǵ೭߄ҢၗޣቚуൂՏޑճ ளǴځቚуޑਏҔեܭൂՏ܌ٰޑਏҔǴԶቚуൂՏޑཞѨǴځ ѨѐޑਏҔΨեܭൂՏ܌ѨѐޑਏҔǶ (3) ԜሽॶڄኧǴཞѨޑ௹Кճளޑ௹ଥǶջၗޣӧ࣬ჹᔈޑճளᆶཞѨ ΠǴځᜐሞཞѨКᜐሞճள௵གǶٯӵǺཞѨൂՏޑᜐሞภधεܭᕇڗ ൂՏޑᜐሞճዎǴΨ൩ࢂঁΓԖཞѨᖿᗉ(loss aversion)ޑӛǶThaler (1980) ஒ೭ᅿݩᆀϐࣁচ፟ਏ݀(endowment effect)ǶԖᜢܭচ፟ਏ݀ӧΠ ԖޑᇥܴǶ ،ኧڄኧԖΠӈঁٿـ(܄კΟ)Ǻ (1) ،ኧόࢂᐒǴ π ࢂ p ޑሀቚڄኧǴѬ٠ό಄ӝᐒϦǴΨόᔈှ ញࣁঁΓႣයޑำࡋǶ (2) ჹܭᐒ p ࡐλޑਔংǴ π ( p ) > p Ƕ೭߄ҢঁΓჹܭᐒࡐλޑ٣ҹၸࡋ ख़ຎ(overweighted)Ǵՠࢂᐒ܈ᐒࡐεਔǴπ ( p) < p Ƕ೭ёᇥܴঁ Γၸҽݙཀཱུᆄޑՠᐒࡐեޑ٣ҹǴࠅ۹ౣΑٯՉวғޑ٣Ƕ
11
კΒǵሽॶڄኧ
Value
Loss
Gain
ၗٰྍǺKahneman, Daniel, and Amos Tverskey . 1979. “Prospect Theory: An Analysis of Decision Under Risk. ” Econometrica 47 , no. 2.
კΟǵ،ኧڄኧ ӸʻʳP ) 1
0.5
0
0.5
1
P
ၗٰྍǺKahneman, Daniel, and Amos Tverskey . 1979. “Prospect Theory: An Analysis of Decision under Risk. ” Econometrica 47 , no. 2. 12
KT ܌ፕޑЬाࢂൂ።ֽޑᒧǴՠࢂঁΓჴሞததࢂӕਔय़ჹӭঁ ።ֽޑᒧǶӵǴၗޣӧວ፤ި౻ਔǴёૈӕਔວ܈፤рӭᅿόӕިޑ ౻ǶᏵԜǴTverskey and Kahneman (1981)ᇡࣁঁΓჹܭӭঁόӕ።ֽޑϸᔈǴѸ ຎࣁᅿЈЊ(mental account)ϐ߄ၲǶ܌ᒏЈЊǴջࢂࡰঁΓࣣਥ ᏵځԾୖޑيԵᗺǴुрঁ،ޑБਢǶٯӵǺόӕިޑ౻ǴӧວਔߡԖό ӕୖޑԵᗺǴԶၗΓय़ჹԜຝǴߡਥᏵځԾيϐЈЊբрനޑ، Ƕ ঁΓӧӕਔय़ჹӭঁ።ֽਔǴाӵՖஒϐጓᒠ٠ຑሽګǻThaler (1985)аঁ Γӧዴ܄ۓΠǴӕਔय़ჹঁٿόӕޑ።ֽࣁٯǶঁΓஒ೭ঁٿόӕޑ።ֽຎࣁ ᅿᖄӝрຝ (x, y)ǴঁΓਥᏵЈЊޑᢀۺஒ೭ᅿᖄӝрຝаӝ ٳv( x + y) ܈ ϩ໒ v(x) + v( y) ޑБԄٰጓᒠ ǶԶقǴঁΓаᡣሽॶၲډനεޑচ߾ٰ، ۓाӝٳጓᒠࢂ܈ϩ໒ጓᒠǶThaler (1985)ගрঁᑽໆኳԄٰᇥܴঁΓёૈय़ ᖏޑѤᅿёૈޑಔӝǺ (1) ӭख़ճள(multiple gains)ǺଷӵঁΓय़ᖏঁٿޑ።ֽሽॶࣁճளǴջ x > 0 , y > 0 ǶӢࣁ v ӧय़ჹճளਔࢂпڄኧǴ܌а v( x) + v( y) > v( x + y) ǴӢԜϩ໒ ጓᒠჹঁΓԶقሽॶКၨεǶ (2) ӭख़ཞѨ(multiple losses)ǺଷӵঁΓय़ᖏঁٿޑ።ֽሽॶࣁཞѨǴջ x < 0 , y < 0 ǶӢࣁ v ӧय़ჹཞѨਔࢂсڄኧǴ܌а v( x) + v( y) < v( x + y ) Ǵӝٳጓᒠ ሽॶၨεǶ (3) షӝճள(mixed gain)ǺଷӵঁΓ܌य़ᖏঁٿޑ።ֽύǴঁሽॶࣁ҅Ǵќ ঁࣁॄǴջ x > 0 , y < 0 Ƕ೭㚊ଷ x + y > 0 Ǵ܌аࢂᡏԶࢂقృճளǴ Thaler ஒ೭ᅿݩᆀࣁషӝճளǶӢࣁཞѨڄኧၨճளڄኧࣁଥǴӢԜ v( x) + v( y ) ёૈࣁॄǴЪςଷ x + y > 0Ǵ܌а v( x + y) ҅ࣁۓǶҗԜёޕǴ v( x) + v( y) < v( x + y) ǴӝٳጓᒠሽॶၨεǶ (4) షӝཞѨ(mixed loss)ǺଷӵঁΓ܌य़ᖏঁٿޑ።ֽύǴঁሽॶࣁ҅Ǵќ ঁࣁॄǴջ x > 0 , y < 0 Ƕՠࢂ೭㚊ଷ x + y < 0 Ǵ܌аࢂᡏԶࢂقృཞ ѨǴThaler ஒ೭ᅿݩᆀࣁషӝཞѨǶӧ೭ᅿݩϐΠǴؒԖޑၗૻ คݤղᘐবᅿጓᒠБԄКၨӳǶଷӵ v( x) + v( y) < v(x + y) Ǵ߾ӝٳጓᒠК ၨӳǴ೭ᅿࢂݩճளکཞѨࡐௗ߈ޑਔং(ـკѤ)Ƕଷӵ v( x) + v( y) > v( x + y ) Ǵ߾ϩ໒ጓᒠКၨӳǴ೭ᅿݩനԖёૈࢂঁεཞѨ کঁλճள(ـკϖ)Ƕ 3
3
೭㚊ஒ x , y ۓကࣁ prospectsǴ v( x) ,
v( y )
ࣁ prospects ޑሽॶǴ೭کय़ KT ۓޑကόӕΖ 13
კѤ
Value
v(x) x+y
y
Loss
x
Gain
v(x+y) v(x)+v(y)
v(y)
ၗٰྍǺThaler, Richard. 1985. “Mental Accounting And Consumer Choice. ” Marketing Science 4, no 3.
კϖ
Value
v(x) Loss
y
x+y x
Gain
v(x)+v(y) v(x+y)
v(y)
ၗٰྍǺThaler, Richard. 1985. “Mental Accounting And Consumer Choice. ” Marketing Science 4, no3.
14
ନΑॊޑፕวϐѦǴTversky and Kahneman (1992)ᇡࣁఈፕၶ ঁٿډୢᚒǺ(1)όۓᅈىᒿᐒᓬ༈(stochastic dominance) চ߾ǹ(2)คݤᘉк ډԖኧҞࡐεޑрຝޑݩǶࣁΑှ،ॊୢᚒǴTversky and Kahneman (1992) ගрಕᑈఈፕ(cumulative prospect theoryǴаΠᙁᆀ CPT) ٰլܺ࣬ᜢୢᚒǶ CPT ᅈىᒿᐒᓬ༈ፕǴԶЪёၮҔܭҺՖኧໆޑрຝ ޑprospects ϐ໔ޑᒧǴ аϷၮҔډೱុϩଛǴ٠ߥ੮ΑεҽఈፕޑፕᗺǶόၸǴಕᑈఈፕ՟ Я҂ډڙᏢೌࣚޑख़ຎǴ೭ёૈࢂӢࣁѬѝࢂஒচޑۈఈፕፄᚇϯǴคݤග ׳ٮޑᔮཀ఼Ƕ (Β) ఈፕ࣬ޑᜢࣴز Ծவఈፕӧ 1979 ԃрϐࡕǴ൩ԖӭᏢޣճҔఈፕှញӭ ୍ᏢคݤှញޑຝǴࢂ܈аఈፕࣁ୷ᘵᏤፕኳࠠϷჴࣴزǴҁ ଞჹख़ा࣬ޑᜢࣴزԋ݀уаᇥܴǶ 1. ᐒԋҁکচ፟ਏ݀ ᔮᏢӧࢌ٤ࢂݩஒ܌ԖޑԋҁຎࣁᐒԋҁǶThaler (1980)ஒᐒ ԋҁۓကࣁᔈᖺԶ҂ᖺޑҽǶঁΓჹܭჴሞЍбޑҔکᐒԋҁޑᄊࡋᔈ ၀࣬ӕǶՠࢂ Thaler (1980)ᇡࣁǴ࣬ჹܭჴሞЍбޑҔǴঁΓჹᐒԋҁதத ԖեޑݩǶдճҔఈፕٰှញ೭ᅿຝǶ җఈፕёޕǴሽॶڄኧޑ௹ӧཞѨޑҽКճளޑҽεǶ܌аऩ ஒჴሞЍбޑҔຎࣁཞѨǴஒᐒԋҁۓကࣁᔈᖺԶ҂ᖺޑճளǴ߾ሽॶڄኧ ޑ௹ᗦ֖ޣԖၨεޑኧǶ ќѦǴঁΓԖคচ፟ჹ،ՉࣁΨԖॊޑਏ݀ǶٯӵǴᅿঁࢂݩ ΓԖচ፟Ǵฅࡕவচ፟ύ৾ࢌኧໆޑǴќঁঁࢂݩΓচٰؒԖচ ፟ǴՠуΕࢌኧໆ࣬ޑӕ(کᅿ৾ݩޑኧໆ࣬ӕ)Ǵ߾ޣԖচ፟ ޑԖၨεޑຑሽǴ೭ࢂӢࣁޣຎࣁཞѨǴࡕޣຎࣁճளǶ Thaler (1980,1985)ஒ೭ᅿݩᆀࣁচ፟ਏ݀(endowment effect)ǴΨ൩ࢂঁΓ ѿᏱԖࢌࠔނǴ߾ჹ၀ޑࠔނຑሽК҂ᏱԖε൯ቚуǶ җঁܭΓԖᗉխѨѐচ፟ޑӛǴSamuelson and Zeckhauser (1988)ᇡࣁ೭ᅿ ӛ٬ঁΓౢғȬӼܭୃޑރᇤ(Status Quo Bias)ȭǶдॺޑჴᡍύଷୖᆶޣ ᕇளཀѦޑᒪౢǴځύх֖ύࡋ॥ᓀϦљǵଯࡋ॥ᓀϦљǵ୷ߎ౻۬ࡹ܈چ ϦѤᅿၗಔӝύޑᅿǴ٠ගׯ׳ځٮၗಔӝޑᒧǴჴᡍ่݀ᡉҢ εϩୖᆶޣᒧᆢচރǶHershey, Johnson, Maszaros, and Robinson (1990)ଞ 4
ࡰрǴኧ π ( p) ٠ߚᐒ p ޑጕڄ܄ኧਔǴᒿᐒᓬ༈ёૈၴϸǶՠдॺᇡࣁ Γॺӧጓᒠ໘ࢤǴջஒ።ֽύόڀᓬ༈(dominated)ޑϩуаմନǴӧԜଷΠǴॊୢᚒߡ όวғǶTversky and Kahneman (1992)܌௦Ҕ ޑCPT όሡाॊଷǴӢԜёᗉխᒿᐒᓬ༈চ ߾ၴϸޑୢᚒǶ
4
KT (1979)
15
ჹ New Jersey ᆶ Pennsylvania ٿԀߥًؓޑᓀݤзۓڋޑՉࣴزǴٿԀ֡ග ٿٮᅿࠠᄊߥޑᓀаנٮǴಃᅿၨߡەՠԖນޑज़ڋǹಃΒᅿၨܳԶค ນޑज़ڋǶჴᡍ่݀ᡉҢǺNew Jersey ԀচԖߥًؓޑᓀݤзࣁಃᅿǴѝԖ 23%ޑΓᒧࣁׯಃΒᅿǹԶ Pennsylvania ԀচԖߥًؓޑᓀݤзࣁಃΒᅿǴԖ 53%ޑΓᒧރǶ೭٤ᏵᡉҢӼܭୃޑރᇤࢂӸӧޑǶ ؈ؒԋҁ(sunk cost)ਏ݀ Thaler (1980)ஒ؈ؒԋҁਏ݀ۓကࣁȨࣁςЍбϐࠔ܈മ୍ǴԶቚу၀ ࠔ܈മ୍ޑ٬Ҕᓎޑਏ݀ȩǶдаΠٯᇥܴǶଷࢌۓҘࣁΑाୖуࢌᆛౚॿ ǴЍб 300 ϡޑΕԃǶӧࢃঁٿයޑግಞϐࡕǴࢌҘόλЈளډΑᆛౚ ظǶՠࢂдᗋࢂהภុѺᆛౚǴӢࣁдόགྷੁ 300 ϡǶ300 ϡޑΕԃࢂ ؈ؒԋҁǴ୍ፕᇡࣁ؈ؒԋҁόቹៜঁΓޑ،ǶՠࢂǴ൩ٯ ٰᇥǴঁΓӧ،ਔǴࢂࡐёૈډڙ؈ؒԋҁޑቹៜǶ Thaler (1980)ਥᏵ KT ఈፕჹܭ೭ᅿຝගрှញǶдଷࢌۓҘவѺᆛ ౚளזډޑሽॶࣁ v(g ) Ǵՠӕਔ܌Ѹޑڙ܍ᆛౚظภधࣁ v(−c) ǶԜѦǴଷ д܌ளޑډృਏҔ(܈ሽॶ) v(g ) ɠ v(−c) ɨ0Ǵ೭ࢂ߄ҢǴऩࢌҘуΕ၀ᆛౚॿ ࢂխޑǴӧளΑᆛౚظϐࡕǴдளѺᆛౚ܈όѺᆛౚؒԖৡ౦Ƕඤѡ ၉ᇥǴऩࢌҘуΕ၀ᆛౚॿѸЍб 300 ϡޑΕԃǴٗሶд܌ளޑډృ ሽॶᡂࣁ v(g ) ɠ v(−c − 300) ǶਥᏵఈፕǴሽॶڄኧ v(⋅) ӧय़ჹཞѨਔࢂс ڄኧ Ǵ ܌а v(g ) + v(−c − 300) ɧ v(g ) + v(−c) ɠ v(−300) ɨ v(−300) Ǵ ҭ ջ v(g ) + v(−c − 300) ɧ v(−300) Ǵж߄ऩࢌҘуΕ၀ᆛౚॿЍбΑ 300 ϡޑΕ ԃǴӧளΑᆛౚظϐࡕǴдளѺᆛౚКόѺᆛౚᗋाٰளӳǶ ନΑ Thaler (1980)ϐѦǴArkes and Blumer (1985)ǵ Staw (1981) ǵLaughhunn and Payne (1984)ᇡࣁǴঁΓӧբ،ਔډڙᐕўک؈ؒԋҁޑቹៜǶஒ؈ؒ ԋҁਏ݀ၮҔӧި౻ѱǴёаҔٰှញࣁՖၗΓวғ҂ჴཞѨϐࡕǴᝩ ុჹ၀όԋфޑၗᝩុΕၗߎǶArkes and Blumer (1985)ᇡࣁঁΓӧ، ਔஒ؈ؒԋҁયΕԵໆޑচӢǴࢂӧঁܭΓ೯தόᜫཀѐௗڙӃ܌Εޑ ၗߎੁޑ٣ჴǶၗΓวғΑ҂ჴཞѨǴऩځόӆჹ၀όԋфޑ ၗᝩុΕၗߎޑ၉Ǵܭௗڙ၀ཞѨςวғޑ٣ჴǶ Laughhunn and Payne (1984)ᔠᡍӧόዴޑۓݩΠǴ؈ؒԋҁک؈ؒճள ჹ،ޑቹៜǶThaler and Johnson (1990) ុۯLaughhunn and Payne (1984)ޑᆒઓ ѐԛޑճளکཞѨӵՖቹៜᒧǶThaler and Johnson (1990)วǴӧࢌ٤ ݩϐΠǴԛճளቚуঁΓୖу።ֽޑཀᜫǴ೭ᆀࣁ܊دᒲਏ݀ (house money effect)ǶThaler Αঁჴᡍٰᇥܴ೭ঁਏ݀ǶдӃນࢌޑᏢғǴ ଷӵдॺখគள 30 ϡǴฅࡕдॺԖΠӈঁٿᒧǺಃঁᒧࢂҧል݈Ǵр ҅य़߾គள 9 ϡǴрϸय़߾ᒡ 9 ϡǴಃΒঁᒧࢂόҧል݈Ƕ೭ਔԖ 70% 2.
16
ޑᏢғᜫཀҧል݈ǶдӆჹќޑᏢғᇥǴଷӵдॺচٰؒԖគளҺՖߎᒲǴ ऩԖΠӈঁٿᒧǺಃঁᒧࢂҧል݈Ǵр҅य़߾គள 39 ϡǴрϸय़߾ ள ډ21 ϡǴಃΒঁᒧࢂଭள ډ30 ϡǶՠ೭ԛѝԖ 43%ޑΓᜫཀҧል݈Ƕ ೭ٿޑᏢғय़ᖏޑᒧځჴࢂኬޑǴӧޑႣයਏҔፕΠǴٿޑᏢғ ޑᒧᔈ၀࣬ӕǶՠࢂჴᡍࠅ่݀ޑόठǴ೭ࢂӢࣁঁΓӧբ،ਔډڙ ԛճளޑቹៜǴ೭٬ளখគᒲޑᏢғᒧ።റǴԶؒԖគᒲޑᏢғᗉխ ።റǶ ࡕ৷(regret)کೀҽਏ݀(disposition effect) Thaler (1980)ගрΑঁୢᚒٰᇥܴࡕ৷ჹΓॺᒧԖՖቹៜǶA Ӄғ҅ӧ ᔍଣ௨໗ວ౻ǶډΑວ౻ืαǴᔍଣԴ݈ჹ A Ӄғᇥдࢂಃ 100,000 ঁ៝࠼Ǵё ள ډ100 ϡǶB Ӄғ҅ӧќѦঁᔍଣ௨໗ວ౻ǶډΑວ౻ืαǴ௨ӧ B Ӄғޑ ঁ៝࠼ࢂ၀ᔍଣಃ 1,000,000 ঁ៝࠼Ǵёள ډ1,000 ϡǴԶ B Ӄғள ډ150 ϡǶڙೖޣ၌ୢ׆ఈԾρࢂ A Ӄғᗋࢂ B Ӄғǻ ೭ঁୢᚒύǴεҽڙޑೖޣᇡࣁ A ӃғளКၨଯᑫǴԶ B Ӄғ ჹܭѨѐள ډ1,000 ϡޑᐒԶགףډ๙Ƕ೭൩ࢂࡕ৷ჹঁΓ،ޑቹៜǶ ӧఈፕύǴёаճҔঁΓୖԵᗺޑᡂϯჹࡕ৷ᇥܴǶӧॊ ޑୢᚒύǴA Ӄғѝளډճள 100 ϡ ܈v(100)ǴB Ӄғள ޑډv(150) + v(−1,000) Ǵ ೭ࢂନΑ 150 ϡޑճளϐѦǴдᗋڙ܍Αჹ 1,000 ϡѨϐҬᖉޑภधǶ Thaler (1980)ᇡࣁΓॺӢࣁࡕ৷Ծρޑ،ǴԶளԾρᔈ၀ࣁᒱ٣ॄ ೢǶճҔ KT ޑఈፕύޑሽॶڄኧёаᇥܴ೭ᗺǶᇡࣁԾρᔈ၀ॄೢޑ، ޣǴдޑሽॶڄኧޑ௹КচٰޑाଥǶΨ൩ࢂΠफ़ൂՏޑճள܌Πफ़ޑ ਏҔஒεܭচٰݩރޑǴԶቚуൂՏޑཞѨ܌Πफ़ޑਏҔΨஒεܭচٰރޑ ݩǶ Kahneman and Tversky (1982)ᇡࣁǴࡕ৷ࢂΓॺวӢࣁϼఁ،ۓǴԶ٬ ளԾρ഼ѨচҁԖКၨӳ่݀ޑภधǶдॺΨวǴᗨฅჴঁڀԖճளިޑ ౻ౢғᠠགǴՠᒿჴިޑ౻ިځሽុޑᅍǴၗޑޣᠠགΠ फ़Ǵ٠ౢғჴϼԐޑᒪᏬǶ ҁЎय़මගډǴ࣬ჹܭჴሞЍбޑҔǴঁΓჹᐒԋҁததեǶ Kahneman and Riepe (1998)ᇡࣁࡕ৷کॊݩԖᜢǴεҽޑΓॺჹܭԖޑ ٣Кؒޑ٣གࡕډ৷Ƕ Shefrin and Statman (1985)ᇡࣁၗΓࣁΑᗉխࡕ৷ǴӛᝩុԖၗҁ ཞѨިޑ౻ǴԶѐჴڀԖၗҁճளިޑ౻ϐݩރǶдॺஒ೭ᅿຝڮӜࣁೀҽ ਏ݀Ǵ٠ᖐΑঁٯηٰᇥܴ೭ঁਏ݀ǶଷࢌၗΓӧঁДа 50 ϡວ ࢌި౻ǴډΑϞВǴ၀ި౻ޑѱሽࣁ 40 ϡǴԜਔၗΓा،ࢂۭډۓ፤р܈ᝩ ុԖ၀ި౻ǶќѦଷ҂ٰԜި౻όࢂᅍ 10 ϡ൩ࢂΠຳ 10 ϡǶShefrin and Statman (1985)ᇡࣁၗΓஒԜ،ጓᒠԋаΠঁٿ።ֽޑᒧǺ Ȩঁࢂҥڅ ፤၀ި౻Ǵଭჴ 10 ϡޑཞѨǶќঁࢂᝩុԖ၀ި౻Ǵ೭ኬٰǴԖ 50%
3.
17
ޑᐒӆཞѨ 10 ϡǴќѦԖ 50%ޑᐒёаள ډ10 ϡǴஒҞΠຳޑҽצѳ (breaking even)ǶȩਥᏵఈፕǴሽॶڄኧӧय़ჹཞѨਔࢂсڄኧǴԜਔၗ Γࣁ॥ᓀངӳޣǴShefrin and Statman (1985)ᇡࣁԜਔၗΓόᜫཀჴዴޑۓ ཞѨǴԶ၂ёૈצޑѳᐒǴ܌аၗΓᝩុԖၗҁཞѨިޑ౻Ƕऩި ሽҞೀܭᕇճޑ໘ࢤǴၗΓा،ࢂۭډۓ፤р܈ᝩុԖ၀ި౻ޑ،Ψё аҔሽॶڄኧٰϩǴӢࣁሽॶڄኧӧय़ჹճளࢂпڄኧǴԜਔၗΓࣁ॥ᓀᖿ ᗉޣǴၗΓӛჴዴޑۓճளǴӢԜ፤рڀԖၗҁճளިޑ౻Ƕ Barber and Odean (1999)ΨճҔఈፕٰᇥܴೀҽਏ݀ǴдॺᇡࣁၗΓ аວሽୖԵᗺǴٰ،ࢂۓցाᝩុԖ܈፤рި౻ǶӵǴଷঁၗ Γᖼວި౻Ǵдᇡࣁ၀ި౻ޑႣයൔၿଯىډаᡣд܍ᏼ॥ᓀǶдճҔວሽ ୖԵᗺǴӵ݀ިሽᅍǴԖճளౢғǴԜਔሽॶڄኧࢂпڄኧǴଷӵၗΓ ᇡࣁ၀ި౻ޑႣයൔၿΠफ़Ǵдஒӛ፤၀ި౻ǶଷӵިሽΠຳǴ߾ౢғ ཞѨǴԜਔሽॶڄኧࣁсڄኧǴӧ೭ᅿݩǴջ٬ၗΓᇡࣁ၀ި౻ޑႣයൔၿ ஒեډค܍ݤᏼচٰޑ॥ᓀǴдᗋࢂӛᝩុԖ၀ި౻ǶBarber and Odean (1999)ஒೀҽਏ݀ၮҔډၗΓӕਔԖٿᅿި౻ޑݩǴଷ೭ٿᅿި౻Ҟ ᅍຳǶၗΓԜਔऩय़ᖏޑ܄ࢬډሡǴԶЪ೭ٿᅿި౻ΨؒԖཥޑၗૻ ޑቹៜǴ߾дКၨԖёૈ፤рᅍިޑ౻Ƕ Barber and Odean (1999)ନΑଷၗΓୖޑԵᗺࢂਥᏵວሽٰ،ۓϐѦǴ дॺᇡࣁሽ҂ٰوޑ༈ΨёૈቹៜୖԵᗺޑ،ۓǶٯӵǴଷԖΓӧ܊Ӧౢ ඳ҅ाᕷᄪϐа 100,000 ϡວΑෂ܊ηǴӧ܊Ӧౢඳᕷᄪϐࡕຑ၀ ܊ηԖ 200,000 ϡޑሽॶǶԜਔऩाдаচວሽ 100,000 ϡ፤р(ӆу፤ࡂޑҸ ϟҔ)ǴдёૈόԖצѳޑགǴӢࣁୖԵᗺςᡂԋ 200,000 ϡǴ܌адό ᜫཀаচວሽ 100,000 ϡ፤рǶ 4. ၠය።ֽޑᒧ ԶقǴঁΓӧ،ਔόՠԵቾҞޑߎࢬໆΨԵቾ҂ٰޑ ߎࢬໆǶLoewenstein (1988)ीΟঁჴᡍٰᇥܴၠයᒧᆶୖԵᗺϐ໔ޑᜢ߯Ƕ ӧঁჴᡍύǴڙೖޣाӧҞޑک҂ٰޑϐ໔ঁᒧǶ ่݀วǴჹڙܭೖٰޣᇥǴऩаۯᒨޑБԄрǴჹڙೖޑޣቹៜܴᡉε ܭаගԐޑБԄрǶ ٯӵځύঁჴᡍࢂڙೖޣޕёளډঁ 7 ϡޑᘶނǶ೭٤ڙೖޣႣ ۓளډᘶޑނਔ໔ёૈࢂຼࡕǵѤຼࡕࢂ܈ΖຼࡕǶฅࡕ೭٤ΓԖঁٿᒧǺ ځύঁᒧࢂᆢচٰႣۓளډᘶޑނਔ໔ǴќঁᒧࢂёаගԐளډᘶނ ՠࢂᘶޑނሽॶᡂλࡕۯࢂ܈ளډᘶނՠࢂᘶޑނሽॶᡂεǶ่݀วǴऩаচ ٰႣۓளډᘶޑނਔ໔ࣁୖԵᗺǴΓॺჹܭᒧۯᒨளډᘶ܌ނሡቚуޑᘶނሽ ॶܴᡉεܭගԐளډᘶނԶᜫཀ෧ϿޑᘶނሽॶǶӵǴऩচҁຼࡕёளډᘶ 18
ޑނΓکচҁѤຼࡕёளډᘶޑނΓҬඤǴۯᒨளډᘶޣނाᘶނቚу 1.09 ϡޑሽॶǴԶගԐளډᘶޑނΓѝᜫཀ෧Ͽ 0.25 ϡޑሽॶǹځдόӕޑҬඤಔ ӝΨள࣬ډ՟่݀ޑǶ ӧԜёаճҔ KT ఈፕٰှញॊຝǶӧఈፕύǴঁΓԖཞѨᖿ ᗉޑӛǴ܌аऩаচҁႣۓளډᘶޑނਔ໔ࣁୖԵᗺǴۯᒨளډᘶ܌ޣނ෧Ͽ ޑਏҔکගԐளډᘶ܌ޣނቚуޑਏҔᔈ၀࣬Ǵ߾ۯᒨளډᘶ܌ޣނाቚу ߎޑᚐଯܭගԐளډᘶޣނᜫཀ෧ϿߎޑᚐǶ ཞѨᖿᗉۺཷޑΨૈҔٰှញঁΓᒿਔ໔ᡂޑࠠᄊǶਥᏵၠය ፕύޑғຼڮයଷᇥ(life-cycle hypothesis)ǴঁΓғޑϷ܌ளޑᕴໆࣣڰ ۓǴЪਔ໔ୃӳܭჴ፦ճਔǴයኬǶՠࢂ Loewenstein and Prelec (1989)วऩаၸѐНྗୖԵᗺǴঁΓჹܭ҂ٰޑࠠᄊୃӳ ຫٰຫӭǴ೭߄ҢঁΓޑਔ໔ୃӳࣁॄǴ೭کғຼڮයଷᇥ٠όठǶՠࢂऩঁ ΓаၸѐޑࣁୖԵᗺٰຑሽҞޑਔǴཞѨᖿᗉޑགྷߦݤ٬ঁΓόᜫ ཀ෧ϿǴѝᜫཀቚуǶ 5. ЈЊ ନΑ Tverskey and Kahneman (1981) کThaler (1985)ϐѦǴӭᏢޣΨᇡࣁ ঁΓӧ،ਔ٠όᆕᢀ܌ԖёૈวғޑрຝǴԶࢂஒ،ϩԋӳ൳ঁλҽ ٰ࣮Ǵջࢂϩԋӳ൳ঁЈЊǴჹܭόӕޑЈЊԖόӕޑӢᔈϐၰǶ Shefrin and Thaler (1988)ᇡࣁঁΓஒԾρ܌ޑளϩԋΟҽǺҞޑᖒၗ܌ ளǵၗౢ܌ளک҂ٰ܌ளǴჹܭ೭Οᅿ܌ளঁΓޑᄊࡋ٠ό࣬ӕǴӵჹܭ҂ٰ ܌ளঁΓᕴࢂόϼᜫཀѬǴջ٬೭܌ளࢂዴ܌ۓளǶShefrin and Statman (1994)ᇡࣁණЊஒԾρޑၗಔӝϩԋٿҽǴঁҽࢂե॥ᓀޑӼӄ ၗǴќҽࢂ॥ᓀ܄ၨଯයఈᡣԾρ׳ԖޑၗǶа೭٤ፕᇡࣁǴε ҽޑၗΓགྷᗉխ೦ጁӕਔΞགྷाᡂளࡐԖǶԜਔǴၗΓעҞޑ ϩࣁঁٿЈЊǴࢂࣁΑᗉխ೦ጁǴќঁ߾ࢂགྷाδठǶKahneman and Lovallo (1993)ᇡࣁΓॺӛԛԵቾঁ،ǴҞޑୢᚒځکѬޑᒧϩ ໒࣮Ƕ Shefrin and Statman (2000)а Lopes (1987) کKT ޑఈፕࣁ୷ᘵǴวр Չࣁၗಔӝፕ(behavioral portfolio theoryǴаΠᆀࣁ BPT)ǶдॺճҔൂЈ Њ(single mental accountǴаΠᆀࣁ BPT-SA)کӭঁЈЊ(multiple mental accountsǴаΠᆀࣁ BPT-MA) ٰᄽ BPTǶBPT-SA ၗΓᜢЈၗಔӝύӚঁ ၗౢ໔ޑӅᡂ౦ኧǴ܌адॺஒၗಔӝঁܫӧӕঁЈЊύǶ࣬ϸޑ BPT-MA ၗΓஒၗಔӝϩᚆԋόӕޑЊǴ۹ຎӚঁЊϐ໔ޑӅᡂ౦ኧǴ ܌адॺԖёૈӧࢌঁЊࢂޜܫچՠࢂӧќঁЊࠅວ࣬ӕޑ چǶ೭ှញΑ Friedman-Savage (1948)ϐᖮǺࣁՖΓॺӧວߥᓀޑӕਔΨᖼວ 19
றچǻ Βǵ Չࣁ୍ᏢځޑѬፕ ӵॺךӧقύ܌ගޑډǴЎ٠҂ᝄϩȨՉࣁ୍ᏢȩᆶȨЈ ୍Ꮲȩޑৡ౦ǶቶݱԶقǴॺךаࣁȨЈ୍Ꮲȩᔈࢂၨ࡞ޑӜᆀǴԶȨՉ ࣁ୍ᏢȩᔈѝࢂаЈᏢύȨՉࣁᏢࢴȩޑፕࣁ୷ᘵǴᔈҔӧ୍ࣴزጝΑǶ Tvede (1999)ࡰрǴᆶЈ୍Ꮲ࣬ᜢޑЈᏢᏢࢴǴନΑȨՉࣁᏢࢴȩѦǴۘ хࡴȨֹᏢࢴ(gestalt school)ȩǵȨᇡޕᏢࢴ(cognitive psychology school)ȩϷȨᆒ ઓϩᏢࢴ(psychoanalysis school)ȩǶٯӵǴTvede (1999) ஒఈፕᆶаΠஒϟ ಏޑȸઓࡘޑ܄ڻԵȹޑᢀٰۺԾՉࣁᏢࢴǴȸж߄ୃ܄ᇤȹٰԾֹᏢࢴǴԶ ځдӵࡕ৷ፕǵคᜢਏ݀ǵၸࡋԾߞǵࡕـϐܴǵЈЊޑᢀྍ߾ۺԾᇡ ޕᏢࢴǶځჴǴᏢࢴѝࢂਂਆ܈ှញΑϩޑȸჴ࣬(reality)ȹǴԶঁ ӝޑፕ܈ඔᛤᜢঁܭΓ܈ဂᡏЈᆶՉࣁֹޑ ȸკႽȹΨϝ҂рǶа ΠޑॺךϩୖԵ Shefrin (2000)ޑϩᜪǶ Shefrin (2000) ӧȨBeyond Greed and FearȩਜύǴஒՉࣁ୍Ꮲزࣴޑ ЬᚒϩԋΟᜪǴϩձࢂᡍୃ߾ݤᇤ(heuristic-driven bias)ǵਣࢎ࣬٩(framing dependence)کคਏѱ(inefficient markets)Ƕ ȨคਏѱȩӧΠύԖ ᇥܴǴҁЬाࢂࢂଞჹᡍୃޑ߾ݤᇤᆶਣࢎ࣬٩ᇥܴǶ ) ᡍୃ߾ݤᇤ 1ǵ ܰᕇளୃ܄ᇤ (availability heuristic) Kahneman and Tversky (1973)ᇡࣁܰзΓᖄགྷޑډ٣ҹᡣΓᇤаࣁ೭ ঁ٣ҹததวғǴдॺஒ೭ᅿຝᆀࣁܰᕇளୃޑ܄ᇤǶShiller (2000)൩ࡰрᆛ ၡ٬Ҕޣӛஒ 1990 ԃжࡕයިޑѱᄪඳᘜܭزᆛሞᆛၡޑวǶ Kahneman and Tversky (1973)ǵPennington and Hastie (1988)ᇡࣁԖܰᕇள ୃ܄ᇤࢂӢࣁঁΓόૈֹӄவᏫύᕇள܌Ԗ࣬ᜢޑၗૻǶFischhoff, Slovic and Lichtenstein (1977)ᇡࣁǴঁΓჹܭԾρόϼૈགྷႽޑ٣ҹǴեځวғޑёૈ ܄Ǵ೭ёૈԋঁΓၸࡋԾߞکၸࡋϸᔈޑݩǶ Shiller (1984, 1987)ࡰрၗ॥کᐒ܄ၗౢޑሽ܄ݢ՟Яဂ ݙޑཀΚ܌ѰѓǶၗΓჹၗಔӝޑᜢЈǴӵۭډाၗި౻ǵ܊܈چӦౢǴ ࢂ܈ाၗ୯ϣ܈୯ѦǴډڙਔޗ॥܌ቹៜǴԶЪၗΓჹѱޑᜢ ݙᒿਔжӧׯᡂǶ 2ǵ ж߄܄চ߾ୃᇤ(representativeness heuristic) ܌ᒏж߄܄চ߾ୃᇤࡰঁࢂޑΓᕴࢂаၸѐ݈څӑຝղᘐǶDe Bondt and Thaler (1985)൩ᇡࣁၗΓჹܭၸѐިѱޑᒡৎၸࡋൿᢀǴၸѐޑគৎၸࡋ (
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ᢀǴ่݀٬ިሽ୷کҁय़ሽॶৡ౦ࡐεǶ Grether (1980)ǵKT (1973)ǵTversky and Kahneman (1971, 1974)ᇡࣁΓॺ ӛܭਥᏵၸѐ࣬܈ᜪ՟ޑݩǴჹ٣ҹуаϩᜪǴฅࡕӧຑᐒଯե ਔǴၸࡋ࣬ߞᐕўख़ᄽޑёૈǶΨ൩ࢂӧຑࢌ٣ҹวғޑёૈ܄ਔǴததၸ ࡋ٩ᒘԾρ܌གځډڙд࣬՟٣ҹޑᡍࠅόख़ຎঁ҆ᡏݩރޑǴᇤаࣁλኬ ҁΨҔεኧ(߾ݤlaw of large numbers)ǴᇤҔΑᘜԿѳ֡ኧ(regression to the mean) ೭ঁཷۺǴঁܴᡉٯޑη൩ࢂ።২ޑᙤᇤ(gambler’s fallacy) ǶDe Bondt (1991)วިѱԖঁຝک።২ޑᙤᇤठǴӧ 3 ԃޑӭᓐѱϐࡕႣෳၸ ࡋൿᢀǴӧ 3 ԃޜޑᓐѱϐࡕႣෳၸࡋᢀǶDe Bondt (1998)ᇡࣁᅟຉޑ ϩৣӛҍΠ።২ޑᙤᇤǴததᇡࣁሽஒϸᙯǴԶණЊ߾ӛᇡࣁިѱᖿ ༈ஒុǴ೭ޣٿڙज़ܭၸѐࡽԖޑགྷݤǶ 3ǵ ၸࡋԾߞ(overconfidence) ȨၸࡋԾߞȩεཷࢂҔٰှញӚᅿՉࣁϷߎᑼຝനቶޑᢀۺϐǶDe Bondt and Thaler (1995)ࣗԿᇡࣁȬၸࡋԾߞεཷࢂᜢܭղᘐޑЈБय़നளଆ ԵᡍޑวȭǶ ჴᡍࣴزᡉҢǴΓॺதၸߞ࣬ܭԾρղᘐ҅ޑዴ܄Ƕ Lichtenstein, Fischhoff and Philips (1982)ߡวǴ၌ୢڙೖޣ٤ୢᚒਔǴڙೖޣӛܭ ଯдॺเჹޑᐒǶջ٬ڙೖޣዴߞдॺ๊ჹเჹਔǴ೯தเᒱޑᐒϝଯၲ 20%Ƕ Shefrin and Statman (1994)ᇡࣁǴၗΓϐ܌аӢࣁၸࡋԾߞΑόӳޑၗ ࢂӢࣁдॺόޕၰԾρࢂၗૻόޑىǶOdean (1998a)ӧϩऍ୯ঁΓၗޑޣ ၗՉࣁਔǴวдॺӧᕇճΑ่ਔ٠ߚᏤӢ܄ࢬܭሡǵิॄཞѨᎍ୧ǵख़ཥ ፓၗಔӝࢂ܈ஒၗߎ౽۳ե॥ᓀިޑ౻ǶԶЪ࣬ჹٗܭ٤р୧ިޑ౻Զ قǴᝩុԖިޑ౻ӧ҂ٰޑൔၿϸԶКၨեǴԜջࣁၗޣၸࡋԾߞޑ ᏵǶOdean (1999)วණЊӧ፤ި౻ϐࡕࡐזӦΞວќᅿި౻Ǵՠࢂѳٰ֡ ᇥӧಃԃޑਔংǴջ٬ԌନҬܰԋҁǴдॺ፤ިޑ౻Кдॺວިޑ౻߄ा ӳǶ೭ኬҬܰၸࡋᓎᕷёૈࢂӢࣁၗΓၸࡋԾߞǶ 5
6
ǵ ۓՏ(anchoring)کፓ(adjustment) Tversky and Kahneman (1974)ᇡࣁঁΓ᠘ࢌ٤٣ҹޑኧໆਔǴځଆॶۈ ޑۓǴΨ൩ࢂۓՏǴӢࣁୢᚒഋॊਔ܌ගޑډҺՖኧໆ܌ቹៜǴԶЪதத 4
ᘜԿѳ֡ኧ(regression to the mean)ࡰࢂޑ҂ٰޑݩௗ߈ᐕўѳ֡ኧǴԶόࢂࣁΑᅈىѳ֡ ኧ(߾ݤlaw of averages)Զե܈ܭଯܭѳ֡ኧǶ ऩᘊል݈ೱុӭԛр҅)ϸ*य़ǴΓॺᕴࢂᇡࣁΠԛᔈ၀рϸ)҅*य़Ǵ೭൩ࢂ።২ޑ ᙤᇤǶ٣ჴǴል݈ԛр҅)ϸ*य़ޑᐒࢂ 61&ǶTverskey and Kahneman (1971)ஒ።২ޑ ᙤᇤຎࣁᅿλኧ(߾ݤlaw of small numbers)Ƕ
5
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ࢂόӦቹៜǶSlovic and Lichtenstein (1971)මࡰрǴঁΓӧჹܭόዴۓኧໆ ޑኧӷीਔǴவଆॶۈፓޑ൯ࡋ೯தόǶ Cutler, Poterba and Summers (1989)วख़ा৲วғਔǴި౻ѱሽ೯ தѝԖ٤ޑᡂǴᒿࡕωӧؒԖϙሶε৲วғਔวғѮ൯ᡂǶCutler, Poterba and Summers (1991)Ψวอܭԃޑอයൔၿև҅Ծ࣬ךᜢޑ ຝǴԜᅿ҅Ծ࣬ךᜢޑຝཀᒏሽჹ৲໒ۈϸᔈόىǴฅࡕωᅌ ޑϸᔈрٰǶBernard and Thomas (1992)วϦљި౻ሽۯᒨϸᔈϦљࣦᎩ ޑ৲Ƕ La Porta (1996)วϩৣႣයեࣦᎩԋߏޑϦљިሽӧࣦᎩ࠹Вඦ ϲǴՠࢂϩৣႣයଯࣦᎩԋߏޑϦљިሽӧࣦᎩ࠹ВΠຳǶځᇡࣁচӢ ӧܭϩ(ৣᆶѱ)ၸࡋਥᏵၸѐࣦޑᎩᡂϯٰႣෳǴԶЪࣦᎩޑ৲ౢ ғਔǴፓᒱᇤޑೲࡋࡐᄌǶShefrin (2000)ᇡࣁϩৣჹܭཥၗૻޑϸᔈۓՏ ளϼߥӺǴፓளόזǶӵࣦᎩ࠹ϐࡕǴϩৣᕴࢂӢۓՏϼߥӺǴԶჹ ҅य़(ॄय़)࠹ޑᕴࢂᡣϩৣᡋǴԶΞӢࣁፓόىΞᏤठΠԛ҅य़(ॄ य़)ޑᡋǶ 5ǵ ࡕـϐܴ(hindsight) ࡕـϐܴᔅշঁΓࡌᄬঁჹၸѐ،՟Яࢂӝޑ٣ࡕ߾ݤǴ٬ঁΓ ჹԾρޑ،ૈΚགډԾᇬǶKahneman and Riepe (1998)ᇡࣁࡕـϐܴӧٿБय़ ࢂԖ্ޑǴಃঁБय़ࢂࡕـϐܴᡣΓౢғၸࡋԾߞǴӢࣁ೭շߏԾρᇤа ࣁ٣ࢂёаႣෳޑᒱǶಃΒঁБय़߾ࢂၗΓӧި౻ΠຳϐࡕǴܰܭӢࡕـ ϐܴԶೢୢϩࣁৣՖ҂Ԑᗺࡌ፤ި౻ǹ೭ёૈԋچϩৣགډڙภ धǴԶቹៜځډ،࠼ޑᢀ܄Ƕ 6ǵ ኳጋᖿᗉ (ambiguity aversion) ঁΓϐ܌аᜫཀ።ঁόዴޑۓ٣ҹǴନΑ٩ൻޑόዴޑ܄ۓำࡋϐѦǴ ΨԵቾډѬྍٰޑǶEllsberg (1961)ᢀჸঁډΓ഻።х֖࣬ӕኧҞޑआౚکᆘ ౚޑ።ֽǴό഻።όޕၰٿᅿౚКޑ።ֽǶдஒ೭ᅿຝᆀϐࣁᖿᗉኳጋǴ Ψ൩ࢂঁΓӧߵᓀਔ഻৾ςޑޕᐒ(॥ᓀ)܄ਥᏵǴԶߚ҂ޑޕᐒ(όዴۓ )܄Ƕ೭٤ኳࠠύԖ٤ଷঁΓࢂൿᢀঁ(ޑΓόፕϙሶόዴ(܄ۓԶόࢂ॥ᓀ)܄ ޑ،Ǵᇡࣁࡕ݀ᡂᚯ)ǴᙖԜਂਆډᖿᗉόዴ(܄ۓuncertainty aversion)೭ ঁӢનǶCamerer (1995)ᇡࣁǴЇཥߎޑᑼࠔਔǴኳጋᖿᗉ٬ၗΓၸ ࡋӦቚу॥ᓀྈၿǴ೭ࢂӢࣁၗΓჹᔮᕉნک೭ߎᑼബཥ่݀όዴޑۓጔ ࡺǶ 7ǵ คᜢਏ݀(disjunction effect) คᜢਏ݀ࢂࡰঁΓԖډၗૻඟ៛ࡕωр،ޑӛǴջ٬၀ၗૻჹܭ ၀،٠όख़ाǴࢂ܈ջ٬ӧдॺޕၰၗૻϐࡕǴᗋࢂр࣬ӕޑ،Ƕ 22
ճҔჴᡍीวคᜢਏ݀ޑዴӸӧǶдॺӧڙೖ ޣჹࢌ٣Ѻ።ϐࡕǴӆ၌ୢࢂցᜫཀௗڙಃΒԛѺ።Ƕӵ݀೭٤ڙೖޣӧޕၰಃ ԛѺ።ޑᒡគ่݀ϐࡕǴόᆅдॺಃԛѺ።ࢂᒡࢂគǴεϩᜫཀௗڙಃ ΒԛѺ።ǹՠࢂӵ݀೭٤ڙೖޣᗋόޕၰಃԛѺ።ޑᒡគ่݀ޑ၉Ǵεϩ όᜫཀௗڙಃΒԛѺ።Ƕ೭ջࢂঁзΓ֚ൽ่݀ޑǺӢࣁࡽฅόᆅಃԛѺ። ࢂᒡࢂគǴௗڙಃΒԛѺ።ޑ၉Ǵж߄ಃԛѺ።ޑᒡគ่݀ၗૻჹڙܭೖ ޣ٠όख़ाǶՠࢂǴࣁՖჹಃԛѺ።ޑᒡគ่݀ޕၰᆶցǴε൯ቹៜࢂցௗ ڙಃΒԛѺ።ޑཀᜫګǻ Tversky and Shafir (1992)ᇡࣁёૈޑှញࢂǺڙೖޕޣၰಃԛѺ።่ޑ ݀ࢂគ(ޑӵគΑ٤ᒲ)Ǵдॺளӆѐ።ԛΞՖ֫ǹڙೖޕޣၰಃ ԛѺ።ࢂ่݀ޑᒡ(ޑӵᒡΑ٤ᒲ)Ǵдॺளӆѐ።ԛωૈንҁǹՠࢂ ڙೖޣϙሶόޕၰਔǴдॺߡؒԖҺՖమཱޑҗѐௗڙಃΒԛѺ።ΑǶ Shiller (1999)ᇡࣁคᜢਏ݀ёૈёаҔٰှញӧၗૻඟ៛ਔǴᐒ܄ၗౢሽ ᆶҬܰໆޑᡂϯǶӵคᜢਏ݀ёаҔٰှញࣁՖϦљӧख़ा٣ҹ࠹թϐǴ ၀Ϧљިޑ౻ԖਔԖၨե܄ݢޑᆶҬܰໆǴԶЪӧख़ा٣ҹ࠹թϐࡕǴԖ ၨଯ܄ݢޑᆶҬܰໆǶ 8ǵ ઓڻԄࡘޑԵ(magical thinking) Skinner (1948)ගрঁߚதԖӜޑЈᏢჴᡍǶ೭ঁჴᡍࢂόᆅᗷηϙ ሶǴ ۓڰ15 ࣾ๏ବᎧޑᗷηϿໆޑ१ނǶջ٬ᗯ१ޑբόڙᗷηޑՉࣁቹ ៜǴՠࢂᗷηॺ໒ۈుߞࢂۓдॺޑՉࣁύࢌޑ٤ܿՋᏤठΑ೭ᗯ१ޑౢ ғǶଫᗷηܴᡉӦעԾρڋऊԋؤѸࢌঁޑۓՉࣁωૈளډ१ނǴӕ ਔଫᗷηࡐӦ߄܌ؤᇡޑۓՉࣁǴᡂளคݤှନيڋޑऊǶ೭ᅿ ݩЈᏢৎᆀࣁઓڻԄࡘޑԵǶ Shiller (1999)ගډǴԖࡐӭᔮՉࣁΨёаҔаޑຝуаှញǶӵǴ Ԗ٤Ϧљޑၗ܈ᆅ،খӳࢂӧᕮکճዎቚуޑ܌Ǵдॺ൩ᇡࣁ೭ ٤،൩ࢂ٬ᕮکճዎᡂӳޑচӢǴӢԜததӆޑр೭ᅿ،ǴԶЪӵ ݀೭วғӧঁճዎϲޑਔය(ӵਔᔮ҅வ૰ଏ໒ۈൺผ)೭ᅿགྷ׳ݤ уமǶϦљ໔ޑགྷݤࡐᜪ՟Ъ࣬ϕᢀነჹБݤޑǴ܌а೭ᅿՉࣁёૈό ࢂঁձǴԶࢂදၹޑຝǴӢԜౢғу४ޑਏ݀Ƕ Tversky and Shafir (1992)
ྗઓڻԄࡘޑԵ(quasi-magical thinking) ঁΓԖਔᇡࣁдёарࢌ٤ՉԶှନচӃޑ،ׯࢂ܈ۓᡂᐕўǶ Tversky and Shafir (1992)ᆀԜࣁȨྗઓڻԄࡘޑԵȩ ǶQuattrone and Tversky (1984) ஒڙ၂ޣϩԋڋಔکჴᡍಔǴฅࡕୢٿಔΓ࣮дॺёаעЋܫӧӇН㚊ӭΦǶ ჴᡍಔޕǺԖம֧Ј᠌ޑΓёаڙהӇНၨΦǶ่݀วჴᡍಔޑΓעЋܫ ӧӇНޑਔ໔ၨΦǶ೭ࢂӢࣁӧჴᡍಔޑΓࣁΑܴдॺԖၨம֧ޑЈ᠌ǴԶ 9.
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ஒЋܫӧӇНၨΦǴ೭൩ࢂྗઓڻԄࡘޑԵǶ ೭٤ঁձޑჴᡍ่݀ёૈှញԋԾුךᜱޑਏ݀ǶӵӕځдޑჴᡍኬǴ Tversky and Shafir (1992)ᇡࣁঁΓ߄ޑӵӕдॺᇡࣁдॺёаׯᡂࡽޑۓ ٣ჴǶ೭ᅿຝёаှញࣁՖ܄Չࣁคݤှញࢌ٤ᔮޑຝǴΨёаှញࣁ ՖঁΓѐ౻аϷިܿࣁՖՉ٬жޑຝǶӧεҽޑᒧᖐύǴঁΓ ޕۓၰдॺૈ،ۓᒧᖐޑᐒࡐեǴ܌адॺ،ۓόѐ౻ǶՠԖྗઓڻԄ ࡘԵঁޑΓѐ౻ǴӢࣁдॺᇡࣁ೭ኬቚуঁӳ܈ޗӳϦљޑёૈ ܄Ƕ Shefrin and Statman (1985)ஒၗΓӛᝩុԖၗҁཞѨިޑ౻ǴԶѐჴ ڀԖၗҁճளިޑ౻ϐݩރǴᆀࣁೀҽਏ݀ǶShiller (1999)ᇡࣁྗઓڻԄࡘԵ ёаှញೀҽਏ݀ǹঁΓளӧࢌᅿำࡋߥ੮ཞѨܿޑՋёаסᙯдॺςཞ Ѩޑ٣ჴǶި౻ςܴᡉޑଯਔǴၗεჹި౻ޑሡёૈΨԖྗઓڻԄ ࡘޑԵǴᇡࣁӵ݀ԾρᝩុԖǴ߾ި౻ុᅍǶ 9ǵ Ўϯޗکᇡޕ O’Barr and Conley (1992)٬ҔΓೖୢکΓᜪᏢޑБݤѐࣴزଏҶ୷ߎᆅ ޑޣՉࣁǶдॺ่ޑፕࢂঁଏҶ୷ߎԖԾρᐱޑЎϯǶ೯தᆶдॺԾρ ϦљޑਸЎϯԖᜢǶଏҶ୷ߎޑၗౣډڙಔᙃЎϯޑӢનቹៜǴ೭ёૈ ࢂӢࣁঁΓදၹ׆ఈஒၗޑೢҺᙯ౽๏ϦљǴࢂ܈ሡाᆶϦљߥΓሞᜢ߯Ƕ Β) ਣࢎ࣬٩ ਣࢎ࣬٩ࢂޑၗΓӢࣁნکୢᚒޑഋॊᆶ߄ၲόӕԶԖόӕޑ ᒧǶఈፕύගঁډΓਥᏵԾୖيԵᗺٰբ،൩ࢂਣࢎ࣬٩ޑຝǶ ਣࢎ࣬٩ϩࣁ൳ᅿݩǺᖿᗉཞѨǵЈЊǵೀҽਏ݀ǵ܊دᒲਏ݀ǵ চ፟ਏ݀ǵԾך(ڋself control)ǵᇡޕᒱᇤѨፓ(cognitive dissonance)کჾЄ (money illusion)ǶҽᢀۺӧςԖ၁ಒፕǴ೭㚊ӆଞჹࡕ৷کᇡޕѨ ፓǵჾЄǵԾךڋ೭൳ᇥܴǶ 1ǵ ᇡޕѨፓᆶᘜӢፕ(attribution theory) ᇡޕѨፓࢂঁΓჹ܌य़ᖏޑکݩдॺЈύޑགྷکݤଷόӕਔǴ܌ౢ ғޑᅿЈޑፂँǶFestinger (1957)ᇡࣁঁΓёૈ௦ڗՉफ़եᇡޕѨፓǴ ӵёૈᗉխཥၗૻཱུࢂ܈ΚࣁԾρᒱᇤޑགྷ៏ݤៈǶ ೭ঁᢀۺΨᆶȨࡕ৷ȩ࣬ᜢǶӭᏢޣᇡࣁঁΓӧ،ਔӢࣁࡕ৷Զ ภधǶLoomes and Sugden (1982)ᇡࣁঁΓଓঅ҅ޑႣයਏҔڄኧཱུεϯǶ೭ঁ অ҅ޑਏҔڄኧନΑԵቾঁΓޑനࡕޑᒧϐѦǴᗋѸԵቾҁٰёаޑќ ঁᒧǶ Shefrin (2000)ගډǴࡕ৷ჹঁΓٰᇥǴࢂᅿନΑཞѨϐѦǴᗋԾᇡѸ
(
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ჹཞѨाॄೢޑགڙǶӢԜࡕ৷ჹঁܭΓٰᇥКཞѨᗋाགډภधǶࡕ৷ёૈ ቹៜঁΓޑ،ǴࣁΑᗉխࡕ৷ǴঁΓКၨؒԖமਗ਼ޑᐒѐׯᡂǴёૈ٩ൻ ၸѐޑচ߾ǴҞޑ൩ࢂࣁΑ٬҂ٰࡕ৷ޑёૈ܄फ़ډനեǶ೭ΨᏤठࢌ٤ၗ Γ٬ҔިճԶόࢂ፤ި౻ٰڗள܌ሡޑҔǴӢࣁ্܂፤Αި౻ϐࡕӢѨ ѐᖺၗҁճளޑᐒԶགࡕډ৷Ƕ Goetzmann and Peles (1993) ᇡࣁᇡޕѨፓёаҔٰှញΠӈᢀჸޑډ ຝǺၗߎࢬΕᕮਏཱུӳޑߎ୷ޑೲࡋᇻКၗߎவᕮਏཱུৡࢬߎ୷ޑрޑೲࡋाז ளӭǴ೭ࢂӢࣁԖᕮਏόӳ୷ߎޑၗΓόᜫཀय़ჹдॺςᎁډཞѨޑ٣ ჴǶ ќѦঁԖᜢޑᢀ ࢂۺBem (1965)ޑȨᘜӢፕȩǺᇡࣁঁᡏעᡍځՉ ޑ٣ҹᘜӢૈځܭΚǴԶעόӵགྷޑ٣ҹ่݀ᘜܭگѦӧυᘋӢનǶDaniel, Hirshleifer and Subrahmanyam (1998) ճҔၸࡋԾߞᆶᘜӢፕٰှញѱޑၸ ࡋϸᔈᆶϸᔈόىǶॺךӧัࡕӆᇥܴǶ 2ǵ ჾЄ(money illusion) ჾЄࢂਣࢎ࣬٩ঁࡐӳٯޑηǶKahneman, Knetsch and Thaler (1986) วӧπၗǴঁΓᜢࢂޑݙӜҞޑᡂԶόࢂჴ፦ޑᡂǶӵǴӜҞπၗቚ у 5%ǴԶӕঁਔය೯ᑩࣁ 12%Ǵ೭ᅿݩᡣঁΓόܺޑำࡋեܭ෧ ᖒ 7%ǴؒԖ೯ᑩǶٰᇥǴঁΓჹჴ፦πၗԖКၨӭޑϸᔈࢂӜ ҞπၗΨफ़եޑਔংǶԶЪջ٬ࢂჴ፦ሽؒԖҺՖׯᡂǴՠࢂঁΓჹӜҞሽ ޑቚуԖॄय़ޑϸᔈǶ Shafir, Diamond and Tversky (1997)ᇡࣁঁΓᗨฅޕၰाӵՖፓ೯ᑩ ǴՠࢂჴሞдॺаӜҞ܌ளٰࡘԵǶӢԜঁΓޑགӜҞ܌ள܌Ǵ ջ٬ܴޕၰ೯ᑩ٬ჴ፦܌ளफ़եǴՠঁΓӢӜҞ܌ளޑගଯԶགډᡂޑၨ ԖǶ 3ǵ Ծךڋ ܌ᒏޑԾךࢂޑࡰڋڋᆣǶӸӧԾךޑڋୢᚒਔǴ٬ளঁΓคݤ ٩Ᏽٰ܄،ǶٯӵǴShefrin and Stateman (1984)ᇡࣁঁΓຎިճࣁ܌ள (income)ǴԶόࢂၗҁ(capital)Ǵ൩ࢂঁޑࠠڂਣࢎ࣬٩ٯޑηǶКၨԃߏޑ ၗΓǴձࢂଏҶޣǴߚதᏼЈౢளϼזǴдॺ্܂ѨѐڋǴӢԜд ॺुΠೕંߔЗԾρၸࡋǶၗΓऩިעճຎࣁ܌ளԶόࢂၗҁǴ൩ ளҔިճғࢲόࢂԾρޑౢǴόҔ፤ި౻ԶҔިճғࢲჹдॺ ٰᇥགډКၨЈӼளǴ܌аԖࡐӭၗΓ഻ᖼວวܫଯިճިޑ౻Ƕ
စǵՉࣁ୍ᏢᆶൔၿёႣෳ܄
ᏃᆅၸѐЎςวፏӭόܰࣁፕ܌ှញޑຝǴՠЍਏѱ 25
ଷᇥޑȸତᔼȹჹӚᅿȸ౦தȹຝԾԖพᇥຒǶ౦தຝࢂ܈ӚᅿൔၿёႣ ෳࠠᄊ(predictable patterns)ץຑࣁၗࡩ(data mining)่݀ޑǶԶᆢៈ EMH നԖΚޑǴεཷाа Fama ࣁനǶFama (1998) ᇡࣁЎวၸࡋϸᔈᆶϸᔈ όޑىჴޑКٯௗ߈Ǵـىၸࡋϸᔈکϸᔈόޑىрࢂᒿᐒ่݀ޑ (chance result)ǶԜѦǴ FamaȐ1998ȑᇡࣁ౦தൔၿޑीჹ܌٬ҔزࣴޑБݤ ࣬௵གǹ౦தൔၿࡐܰӢόӕޑኳࠠ܈όӕޑीБݤԶѨǶ Shefrin (2000, p87)߾ჹॊޑᇥݤගр፦ᅪǴҗܴࡐܭᡉޑϸᔈόޑىຝ วғӧอයȐϤډΜΒঁДȑǴԶၸࡋϸᔈޑຝวғӧߏයȐΟډϖԃа ȑǴ܌а೭٤౦தຝޑวғ٠όӄฅࢂᒿᐒޑǶ ᗨฅՉࣁ୍Ꮲ՟ЯჹӚᅿຝԖၨӝޑᇥܴǴՠाղۓՖࣁޣǴ৮܂ ᗋा٤ਔВǴӢࣁഖࣽޗᏢޑၗȐኬҁȑٰԾჴǴԶคݤӧჴᡍ࠻ύ ख़ፄᡍǶ ज़ܭጇ൯Ǵҁϩձ൩ፕᆶՉࣁ୍ᏢޑᢀᗺǴፕൔၿёႣෳޑ܄ ԋӢǶаΠॺךϩձ൩ਔ໔ׇӈᆶᐉᘐय़ޑൔၿёႣෳٿ܄Бय़ٰǶ 4.1
ᐉᘐय़ൔၿёႣෳ(܄return predictability)
߈ԃٰЎύനᜤаှញޑຝ൩ࢂ܌ᒏޑλϦљೕኳਏ݀ᆶय़ѱॶК (ratio of book to market equity (BM))ਏ݀Ǵҭջၨλѱॶᆶၨଯय़ѱॶКިޑ ౻Ԗၨଯޑѳ֡ൔၿǴЪԜྈၿค ࣁݤCAPM ܌ှញǶԜΒਏ݀Ψϩձᆀࣁ ೕኳྈၿϐᖮ(size premium puzzle)ᆶሽॶྈၿϐᖮ(value premium puzzle)Ƕ ፕຎШࣚࣁӭӢηޑШࣚǴӢԜԜΒਏ݀ਂ܌ਆࢂޑѱၗಔӝаѦޑ॥ᓀ Ӣη(distressed risk factors)Ƕ Barberis and Huang (2001)аཞѨᖿᗉᆶЈЊٰۺཷޑှញঁձި౻ൔ ၿޑՉࣁǶдॺԵቾٿᅿݩǺಃঁࢂݩၗΓᜢЈঁձި౻Ǵჹঁܭձި ౻ሽݢޑԖཞѨᖿᗉޑӛǴԶЪ،ډڙԛޑၗᕮਏ܌ቹៜǶд ॺஒ೭ᅿݩᆀࣁঁձި౻ޑЈЊǶಃΒঁࢂݩၗΓᜢЈঁၗಔ ӝǴჹܭঁၗಔӝሽݢޑཞѨᖿᗉǴ،ډڙԛޑၗᕮਏ܌ ቹៜǴдॺஒ೭ᅿݩᆀࣁၗಔӝޑЈЊǶ Barberis and Huang (2001)ᇡࣁঁձި౻שޑࢂި౻ၸѐޑᕮਏڄޑ ኧǴଷӵި౻ၸѐޑᕮਏࡐӳǴӢࣁ܊دᒲਏ݀ǴၗΓᇡࣁ೭ঁި౻॥ᓀၨ եǴԶҔၨեשޑש҂ٰޑߎࢬໆǶӧ೭ᅿݩϐΠǴӢࣁၨեשޑ ϲሽިճКǴ܌аᏤठΠයޑൔၿၨեǴ೭Ψ٬ளި౻ൔၿݢᡂ εǶќѦǴдॺᇡࣁǴԋߏިکεϦљި౻ӧၸѐ೯த߄ၨӳǴၗΓຎϐࣁ ե॥ᓀԶाၨեޑൔၿǶԶሽॶިکλϦљި౻ӧၸѐ೯தКၨৡǴၗΓ ຎϐࣁၨଯ॥ᓀǴӢԶाၨଯޑൔၿǶҗԜёޕǴঁձި౻ޑЈЊёаԖ 26
ਏޑှញࣁՖӧਔ໔ኧӈБय़ঁձި౻ൔၿԖଯѳ֡ኧǵଯܴک܄ݢᡉޑёႣ ෳ܄ǴӕਔΨှញΑᐉᘐय़ൔၿޑሽॶྈၿᆶೕኳྈၿϐᖮǶ ϸϐǴܫቨၗΓޑਣࢎǴջவঁձި౻ЈЊܫቨډၗಔӝЈ ЊਔǴሽॶྈၿکೕኳྈၿѨǶ೭ࢂӢࣁӧၗಔӝЈЊύǴঁձި౻ש ׯޑᡂࢂډڙঁၗಔӝሽޑݢቹៜǺၗಔӝޑᕮਏࡐӳǴၗ ΓၨόᜢЈд܌Ԗঁޑձި౻ޑཞѨǴӢࣁԛၗಔӝޑճள෧ᇸཞ ѨޑภधǴдຎ܌Ԗި౻ޑ॥ᓀၨեǴ܌Ԗި౻שޑΠफ़Ƕ೭٬ள ঁձި౻ޑᕮਏόӆቹៜשǴӢԜሽॶྈၿکೕኳྈၿѨǶ 4.2
ਔ໔ׇӈൔၿёႣෳ(܄time-series predictability)
ၸѐςԖ࣬ӭޑჴЎǴхࡴऍ୯ᆶځд୯ৎޑѱޑჴ่݀ǴᡉҢ ԶقǴอයިሽൔၿȐঁДډԃ໔ȑև҅ޑԾ࣬ךᜢǴԶߏයൔၿ Ȑԃаȑ߾ևॄ࣬ᜢǶӢԜǴໆౣ(momentum strategy)ӧอයёᕇ ճǴԶϸӛᏹբౣ(contrarian strategy)߾ӧߏයԖਏǶ ፕᇡࣁൔၿਔ໔ׇӈёႣෳ܄ёٰԾӭٰྍǶFama (1991)ᇡࣁё Ⴃෳ܄ёаྍԾႣයൔၿᆶਔԶᡂ(time varying)ޑ܄ǴӢԜ҂Ѹࢂѱคਏ ޑᏵǶԜѦǴວ፤ሽৡ(bid-ask spread)ᆶߚӕҬܰ(nonsynchronous trading) ѱነᔔӢનΨԋঁިൔၿ࣬ॄޑᜢǶ ! Չࣁ୍Ꮲ߾Ԗόӕݤ࣮ޑǶอය҅ޑԾ࣬ךᜢຎࣁࢂϸᔈόޑى ຝǴԶߏයൔၿ࣬ॄޑᜢ߾ࢂၸࡋϸᔈ่݀ޑǶอය҅ޑԾ࣬ךᜢёᏤӢܭၗ ΓอයჹϸᔈߥޑӺ)dpotfswbujtn*ǴԶࡕុΞӢȨж߄܄চ߾ୃᇤȩԶၸࡋϸ ᔈިሽ) ـBarberies, Shleifer, and Visney (BSV, 1998))Ƕՠ Daniel, Hirshleifer, and Subrahmanyam (DHS, 1998)߾ᇡࣁอය࣬҅ޑᜢࣁុޑၸࡋϸᔈǶॺךӵ ΠǶ De Bondt and ThalerȐ1985, 1987ȑගрѱߏයၸࡋϸᔈຝǴDe Bondt and Thaler ᇡࣁཥၗૻрਔǴၗΓ٠ؒԖ٩ྣنԄ܌ගр࠼ޑᢀБݤፓдॺ ۺߞޑǴԶࢂଯཥၗૻޑख़ा܄ǴեᙑԖޑᆶၨߏයޑၗૻǴඤقϐǴдॺ ჹ่݀ޑᐒຑǴࢂਥᏵ܌ᒏޑȬж߄܄চ߾ȭǴԶόࢂਥᏵᐕўᐒޑ܌ ࠼ᢀीᆉǶ่݀ިሽόࢂᅍၸᓐ൩ࢂຳၸᓐǴόፕԏǵިճځ܈д࠼ᢀӢનว ғϙሶᡂϯǴϸቸѸฅёයǶShiller (1979, 1981)ҭᇡࣁၗౢሽڀ܌Ԗޑၸࡋ ݢǴځჴ൩ࢂѱၸࡋϸᔈޑຝǶ DeLong, Shleifer, Summers and Waldmann (DSSW‚ 1990)ᇡࣁᚇૻҬܰޣ ЇଆၸࡋϸᔈǴӢԜӧߏයൔၿԖॄޑԾ࣬ךᜢǶӧၗౢሽᅍϼଯ܈ຳϼ ుਔǴஒёૈӣᔞঅ҅ǶၸࡋϸᔈӕਔΨᏤठൔၿޑၸࡋݢǶ Odean (1998b)ගрঁаၸࡋԾߞࣁ୷ᘵൂޑ॥ᓀ܄ၗౢޑᓉᄊኳࠠǶ คݤቹៜѱሽޑޑၗΓᇡࣁԾρ܌ளૻޑډ৲КჴሞޑၗૻाᆒዴਔǴჹ ೭ঁૻ৲ѱሽၸࡋϸᔈǶჴݩރޑวғࡕǴѱሽӆঅ҅ӣٰǶ 27
ჹ೭ঁૻ৲ၸࡋϸᔈکሽϸᙯޑᖿ༈ЇଆၸࡋሽߏکݢයൔၿևॄԾ ࣬ךᜢǶ BSV (1998)ᇡࣁҗܭၗΓόΑှ॥ᓀ܄ၗౢޑჴሞࣦᎩࢂᒿᐒᅐޑኳ ࠠǴӢԶ٬ளၸࡋϸᔈ܈ϸᔈόޑىຝวғǶၗΓᇤᇡࣁࣦᎩࢂӧঁ mean-reverting ୱکঁႣයԋߏୱϐ໔ᒿᐒݢǶଷӵന߈ࣦޑᎩᡂ ᙯǴၗΓᒱᇤӦ࣬ߞϦљࢂӧ mean reverting ޑୱǴӢԶեΑཥၗૻǶ ଷӵၗΓ࣮ډೱՍࣦޑᎩԋߏǴдॺӛϦљࢂӧࣦᎩԋߏޑୱǴ೭ࢂ ঁж߄܄চ߾ୃޑᇤǶჹߏܭයᖿ༈ޑၸࡋϸᔈᗦ֖Αӧިሽঅ҅ޑၸำԖ եޑൔၿǶӢԜǴߏයޑၸࡋϸᔈکঅ҅ёૈЇଆߏයॄޑൔၿޑԾ࣬ךᜢǶฅ ԶǴჹܭচۈፂᔐޑѳ֡ϸᔈёૈࢂѳޑǴ೭ᗦ֖ࢂอය҅ޑԾ࣬ךᜢǶ DHS (1998)ᇡࣁၗΓჹԾρ܌ҔԖدޑΓૻ৲ၸࡋԾߞǶၗΓаدΓ ၗૻᆶϦ໒ၗૻբࣁ،ޑ٩ᏵǶਥᏵᘜӢፕǴϦ໒ၗૻวթЪ֍ӝԾޑך دԖၗૻᆶ،ਔǴၗΓᇡӕԾρૈޑΚԶуుၸࡋԾߞޑำࡋǴӢԶ٬ள ިሽុӕБӛޑᡂǶϸϐǴϦ໒ၗૻᆶԾدޑךԖၗૻᆶ،ό಄ਔǴ ၗΓஒᒱᇤᘜፏѦӧ༈ǴԶߚԾρૈΚޑୢᚒǶӢԜǴၸࡋԾߞޑำࡋ҂Ѹ ෧եǴӕਔΨ҂Ѹଭঅ҅Ӄޑᒱᇤ،Ǵӧ೭ΠǴިሽ҂ѸϸᙯǶ ඤقϐǴިሽอය҅ޑԾ࣬ךᜢࢂុၸࡋϸᔈ่݀ޑǴԶߚϸᔈόىǶߏයޑ ॄ࣬ᜢ߾ࢂঅ҅ၸࡋϸᔈϐިሽ่݀ޑǶ Ўќঁ࣬ᜢޑᚒ൩ࢂ܌ᒏޑྈၿϐᖮǶMehra and Prescott (1985)ࡰр S&P500 ൔၿکค॥ᓀճϐ໔Ԗ 6%аޑৡ౦Ƕдॺᇡࣁӧςᢀ ჸޑډԋߏᡂ౦ኧࡐλޑݩΠǴިѱޑႣයൔၿکค॥ᓀճϐ໔ޑ ৡຯϼεǴ೭ᅿຝࡐᜤҔፕှញǴջ܌ᒏޑྈၿϐᖮȐequity premium puzzleȑǶ ፕεӭаଷਸޑႣයਏҔڄኧٰှញྈၿϐᖮǶӵ Constandinides (1990) ᇡࣁΓॺԖ habit persistence ޑ܄Ǵջᎃ߈ޑӚයϐ໔Ԗ ϕံޑ܄ǴӢԜѝाܫႣයਏҔڄኧύਔ໔ёϩᚆ(time separable) ޑଷǴߡૈӧ܄ႣයࢎޑᄬΠǴှញྈၿϐᖮǹCampbell and Cochrane (1999)ΨวǴଷႣයਏҔڄኧԖ habit persistence ޑࣁࢂ܄ΑှញёႣෳޑ ѱ܄ݢǶਥᏵаزࣴޑёޕǴႣයਏҔፕѸଞჹόӕݩीό ӕޑਏҔڄኧωૈှ،ୢᚒǴคݤගрठޑ܄ှញǶ ଞჹྈၿၸଯϐᖮǴՉࣁ୍ᏢගрཥۺཷޑуаှញǶBenartzi and Thaler (1995) ၮҔఈፕٰှ،ྈၿၸଯϐᖮǶਥᏵఈፕǴΓॺԖᖿ ᗉཞѨޑӛǴԶЪӢࣁި౻ޑၗය໔ϼอǴ܌аၗΓόϼᜫԖި౻܌ аᗉխၗި౻ǴдॺᆀԜࣁȬอຎ߈ճޑཞѨ០ᗉȐmyopic loss aversionȑȭǶ ӢԜ࣬ჹܭค॥ᓀ۬ࡹޑچԶقǴި౻Ѹाᖺளߚதεޑൔၿωૈ֎Їၗ ΓٰၗǶ ǴBarberis, Huang and Santos (2001)યΕ KT ఈፕύཞѨᖿᗉޑ 28
ཷ کۺThaler and Johnson (1990)܌ගр܊دޑᒲਏ݀Ǵঅ҅ᔮޑኳࠠǴҔ аှ،ྈၿၸଯϐᖮǶдॺᇡࣁቹៜၗΓਏҔޑӢનόѝࢂΨߎډڙ ᑼᡂॶޑቹៜǴၗΓჹܭ෧Ͽ௵ޑགࡋᇻଯܭቚуǴ೭کఈፕ ཞѨᖿᗉۺཷޑठǶќѦдॺᇡࣁ Benartzi and Thaler (1995)ޑፕѝԵቾཞѨ ᖿᗉ٠όૈֹӄှញྈၿǴѸӝٳԛޑрຝǴΨ൩ࢂѸԵቾ܊دᒲ ਏ݀ǶдॺᇡࣁӧόԵቾၸѐᐕўޑݩΠǴၗΓޑ॥ᓀᖿᗉޑำࡋόᒿਔ ໔ׯޑᡂԶׯᡂǴިሽѨѐख़ाྍٰ܄ݢޑǶ೭ኬ܄ݢλޑൔၿᏤठ॥ᓀΨ λǴόૈှញࣁՖளډঁࡐεޑྈၿǴӢԜόૈှញ॥ᓀྈၿၸଯϐᖮǴ ܌адॺќѦЇԛޑൔၿӵՖቹៜཞѨᖿᗉۺཷޑǶ Barberis, Huang and Santos (2001)วऩިճቚуǴ೭٬ި౻ൔၿቚуǴҗ ܊دܭᒲਏ݀Ǵफ़եၗΓ॥ᓀᖿᗉޑำࡋǴ೭ࢂӢࣁऩճளϐࡕрཞѨǴ ߾ঁΓჹԜཞѨ܌གډڙภधၨࣁեǴӢࣁѬޑፂᔐԛޑճள܌෧ ᇸǶၗΓҔၨեשޑٰשިճǴ٬ளިሽ׳ଯǴԋިሽ࣬ჹިܭճ ޑሽॶୃଯǴ܌аௗΠٰިޑ౻ൔၿफ़եǶӕኬޑǴӧިճΠຳϐࡕǴҗدܭ ܊ᒲਏ݀ޑቹៜǴ٬ၗΓჹ॥ᓀޑࡋהफ़եǶ೭ࢂӢࣁཞѨϐࡕऩӆр ཞѨǴ߾ঁΓჹԜཞѨ܌གډڙภधၨ׳εǴӢࣁၸԛཞѨޑፂᔐϐ ࡕǴঁΓჹӆԛޑཞѨ௵׳གǶၗΓҔၨଯשޑש҂ٰޑߎࢬ ໆǶӧ೭ᅿݩϐΠၨଯשޑᏤठިሽ׳եǴᏤठΠයޑൔၿၨଯǶ೭ ኬٰǴ٬ளި౻ൔၿ܄ݢڀ׳Ƕ೭ঁ่ፕૈှញൔၿޑଯൔၿǵଯݢ ک܄ଯࡋޑёႣෳ܄Ǵଯ܄ݢޑёᏤрଯޑྈၿǴӢԜёаှញྈ ၿϐᖮǶ
Ҵǵ่ፕᆶఈ
ҁЎ၂ӣ៝ΑՉࣁ୍Ꮲ࣬ޑᜢፕϷวǶՉࣁ୍ᏢޑวගٮΑཥ ޑ୍ࣴࡘޑزԵБӛǶٯӵǴӚᅿݤзޑԖਏ܄ᆶ܄ӧՉࣁ୍Ꮲޑᢀᗺ ΠёૈԖၨமޑፕЍǶӚᅿѱᐒڋीϷѱ༾่ᄬޑᚒΨࢂՉࣁ ୍ᏢёΚޑБӛǶ όၸǴᏃᆅՉࣁ୍ᏢӧӭຝޑှញԖӝޑှញǴՠᄒԿҞࣁ ЗǴ٠҂Ԗᜪ՟ CAPM ܈APT ቶࣁௗޑڙፕǶӕਔǴᗨฅፕᇡࣁ Ӛᅿ౦தຝ܈ൔၿёႣෳ܄ёૈࢂၗࡩ่݀ޑǴՉࣁ୍ᏢޑፕΨӕኬ ፦ᅪԖኳࠠࡩ(model mining)ޑୢᚒӸӧǹӚᅿՉࣁ୍Ꮲޑፕᗨฅقϐ ԋǴՠӧኳࠠᏤதሡ٤(ۓad hoc)ଷǶ ځჴόፕࢂፕࢂ܈Չࣁ୍ᏢǴԖѨϐୃሥϐဤǶፕܭ ࠼ᢀޑѱݩރǴԶ۹ౣΑȸΓ܄ȹǴՉࣁ୍Ꮲ߾ঁܭݙᡏՉࣁԶ۹ౣѱ ࠼ޑᢀచҹǶᡉฅᆶѳᑽӦ่ӝΒࢂޣёՉЪӝޑวБӛǶ வՉࣁ୍ᏢޑЇЈᏢᆶޗᏢᢀᗺٰ࣮Ǵځჴ҂ٰࣴزᡉฅࢂঁ ၠሦୱ(inter-discipline)ࣴޑزਔжǶғނᏢǵނᏢޑፕᆶᢀᗺӧၸѐаٰǴ 29
ޔӧ୍ࣴزύ՞ԖৢϐӦǶٯӵǴΓπඵችπڀǴхࡴ୷Ӣᄽᆉݤ (genetic algorithm)ǴςቶҔܭჴ୍ࣚҬܰౣᆶ॥ᓀᆅޑวȐ࣬ᜢޑ ፕᆀࣁނ୍Ꮲ(phynance)ȑǶԶຎѱࣁፄᚇسǴԶаኳᔕБԄѱ ܄Ȑջ܌ᒏޑΓπѱ(artificial markets)ȑޑᢀٰ߾ۺԾғނᏢǶόӕᏢߐ ޑᢀۺǴஒԖշॺךܭᕕှѱޑҁ፦Ϸ୷ҁΚǶ Չࣁ୍ᏢΨගٮҁβࣴزமԶԖΚޑЍኖᗺǴӢࣁவՉࣁ୍Ꮲޑᢀᗺ ٰ࣮ǴନΑঁΓ፦ޑৡ౦ѦǴЎϯᆶޑޗৡ౦Ψ٬ளόӕ୯ৎޑѱԖό ӕޑ܄Ƕ೭߄ҢҔܭऍ୯ޑፕ҂ѸҔځܭдӚ୯Ƕ୯ϣҞՉࣁ୍Ꮲ زࣴޑϝ࣬Ԗज़Ǵᡉฅࢂ҂ٰॶளѐࡩޑሦୱǶ
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