An Empirical Analysis of Prospect Theory, Mental Accounting, and Momentum in Taiwan Stocks Market

• Main Authors: Shih-Hao Tsai, 蔡詩豪
• Other Authors: 林允永
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/86422390879934829804

碩士 === 淡江大學 === 財務金融學系碩士班 === 95 === Based on the research conducted by Grinblatta, and Han(2005), the study focuses on whether momentum exist in Taiwan stock market under the framework of prospect theory and mental accounting, within Panel Data model. There are three objectives in this research. Firstly, the study probes into the relationship between relative factors and stock returns and whether momentum exist during different periods of Taiwan stock market. Secondly, it analyzes the influence of momentum strategies on asymmetric risk attitude of investors under the disposition effect. Finally, the study investigates, in comparison with other factors, whether capital gain overhang factor has better ability of prediction, or even it’ could be a key factor of gain or loss when investors make use of momentum strategies. Research findings indicate that , first of all, momentum and size effects indeed exist in Taiwan stock market during sample periods. In addition, momentum didn’t disappear after capital gain overhang factor was drawn into the regression model. This finding is different from that claimed in Grinblatt and Han’ study. The characteristics of single market and investor’ behaviors may cause these differences; however, capital gain overhang factor still plays a significant role in explaining stock returns in Taiwan stock market.