Risk Conception and Evaluation in Taiwan Financial Markets

NCUTIR > College of Management > Department of Distribution Management > 【流通管理系所】期刊論文 > Item 987654321/5904

Please use this identifier to cite or link to this item: http://ir.lib.ncut.edu.tw/handle/987654321/5904

Title:	Risk Conception and Evaluation in Taiwan Financial Markets
Authors:	Jan, Yin-Ching
Contributors:	圖書館
Keywords:	Downside risk Martingale variance Martingale semivariance
Date:	2015
Issue Date:	2016-10-18 15:22:07 (UTC+8)
Abstract:	An experiment is designed to explore risk conception and evaluation of investors. A new risk measurement, which is called martingale variance, is included. The new measure uses previous return as benchmark instead of mean return to calculate variance. The results show that respondents are more care about expected loss than variance, but are indifferent between variance and loss probability. Meanwhile, the respondents prefer martingale semivariance to martingale variance significantly. The weighted martingale semivariance also dominates martingale semivariance. The results can be helpful to explain the relationship between risk and return.
Relation:	Asian Journal of Finance & Accounting, 7(1)
Appears in Collections:	[Department of Distribution Management] 【流通管理系所】期刊論文

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