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투자자감성과유형에관한네가지실증연구

Title
투자자감성과유형에관한네가지실증연구
Other Titles
FourEmpiricalEssaysonInvestorSentimentandTypes
Author
김석환
Alternative Author(s)
KimSuk-Hwan
Advisor(s)
강형구
Issue Date
2019.2
Publisher
한양대학교
Degree
Doctor
Abstract
국문요지 본연구의목적은행동재무학의관점에서경제관련지표에대한빅데이터의예측력에대한연구를실시하고,투자자의감성이투자의사결정에어떠한영향을미치는지에대해연구하는것이다.이를위해본연구는4가지주제로구분하여접근하였다.본연구가설정한주제는ⅰ)거시경제지표인제경제심리지수가MBS조기상환율에미치는영향의검증,ⅱ)빅데이터로부터추출된투자자감성과기계학습을활용한MBS조기상환율예측,ⅲ)실험군과대조군의위험선호,휴리스틱조절효과차이와MBTI성격유형과의관계에관한연구,그리고ⅳ)빅데이터로부터추출된시장심리지수,이를이용한어플리케이션의수용결정요인과수용결정에관여하는투자자휴리스틱에관한연구등4가지주제의실증적연구로구성되어있다. 본연구의결과는구분한주제와같이4가지로정리할수있다.첫째,거시경제지표인제경제심리지수의MBS조기상환율예측에효과가존재하며이를통해실제투자자들의심리·감성이MBS조기상환율에영향을미칠수있다는것을학문적으로검증하였다.둘째,투자자들의심리·감성을나타내는구글트렌드자료와라소회귀분석을이용하여MBS조기상환율예측력을검증하였다.이러한결과는최근연구되고있는대중의지혜(WisdomofCrowds)의존재를실증적으로지지하는것이며대중의심리·감성그리고심리지수가MBS조기상환율을예측할수있다는것을검증한연구이다.셋째,기존재무학연구에서는시도되지않았던MBTI성격유형에따른HoltandLaury(2002)의위험선호도와의인과관계및휴리스틱의조절효과를검증하였고MBTI의주기능(ST,NF)에따른위험선호도차이를분석하였다.Webberetal.(2002)의위험감수를측정하는요인간(gamble,recreation)위험선호도차이를검증하였고연령대및MBTI의주기능(ST,NF)에따라인지신뢰,감정신뢰에서PrivateBanker사용의도로가는인과경로상에가용성휴리스틱,감정휴리스틱등의조절효과가존재함을확인하였다.넷째,기술수용모델(TechnologyAcceptnceModel:TAM)을기반으로본연구의기본모델을확장하여빅데이터시장심리지수를기반으로만들어진어플리케이션의지속적사용의도에영향을끼치는제요인그룹들을정의하여이들의인과관계를실증적으로분석하였다.또한휴리스틱의매개효과를검증하기위하여확장된합리적행동이론(ExtendedTheoryofReasonedAction:ETRA)+휴리스틱(heuristics)매개모형을구축하였다.ETRA+휴리스틱매개모형을이용하여빅데이터시장심리지수를기반으로만들어진어플리케이션을사용하려는행동의도,선택행동과이에영향을미치는제요인그룹과의인과관계사이에서가용성휴리스틱과대표성휴리스틱이매개효과를나타냄을실증적으로밝혀냈다. 본연구의의의는다음과같다고할수있다.먼저,본연구를통해투자자들의심리가경제지표를예측할수있으며,대중의지혜가경제지표를예측하는데기여할수있음을확인할수있었다.이는기존의전통적재무학에서다루던경제지표간의인과관계에대한연구에서보다미시적차원으로접근하여경제지표를발생시키는소비행위자에대한탐구를시작하였고이들의감성이중요한정보임을증명하기위해빅데이터마이닝(bigdatamining)과기계학습(machinelearning)을이용한분석방법을기존재무학에접목시키는등학문의융·복합화측면에서그의의가크다고할수있다.이러한새로운분석방법론을이용하여소비행위자들의금리에대한반응또는검색어빈도및심리지수등이기존의경제현상을설명하는데기여할수있다는점을설명하고있다.다음으로본연구에서는이러한현상을통해개인의성격또는특성등이개인의의사결정에영향을미칠수있다는점을위험선호도와투자의사결정을이용하여분석하였다.이는기존의개인의특성만을연구하던단계에서더욱발전하여MBTI와같은성격유형검사를활용한최초의연구이며,고액자산가(VVIP)를대상으로수집한희귀자료(uniquedataset)를이용한연구라는점에서기존의재무학,행동경제학,그리고심리학연구에새로운지평을제시하였다고할수있다.마지막으로새로운기술에대한수용요인을밝히고자새롭게개발한인덱스(index)를사용하고신뢰성높은검증된모형(TAM)을이용하여수용요인과새로운기술의사용의도간의인과관계를확인하였으며인간의여러가지휴리스틱이최근화두가되고있는Fintech의수용에어떠한영향을미치는지분석하였다이러한연구를통해현재급속하게성장하고있는혁신적기술을기반으로한Fintech의발전에따라그기술을이용하는소비자의기술수용행태를이해하고발전시키는데학술적·실무적기여를하였다.|Abstract Thepurposeofthisstudyistoinvestigatethepredictivepowerofbigdataoneconomicindicatorsthroughthebehavioralfinancialaspectandtoverifywhetherinvestors'sentimentsaffectinvestmentdecisions.Toachievethepurpose,Thisstudywasdividedintofourtopic,Thefirsttopicisⅰ)Astudyonverificationoftheeffectoftheeconomicsentimentindex,whichisamacroeconomicindicator,ontheMBSconditionalprepaymentrate,Thesecondtopicisⅱ)AstudyonMBSConditionalPrepaymentRate(CPR)predictionusinginvestorsentimentextractedfrombigdataandmachinelearning.Thethirdtopicisⅲ)AstudyoftherelationshipbetweenriskpreferenceandheuristicmoderatingeffectsoftheexperimentalandcontrolgroupsaccordingtotheMBTIpersonalitytypes,andThelasttopicisⅳ)AstudyontheacceptancefactorofMarketSentimentIndex(MSI)toextractedfrombigdataandInvestigationoftheacceptancedecisionofapplicationusingitandinvestorheuristicinvolvedinacceptancedecision.Itconsistsofempiricalstudiesonfourthemes. Theresultsofthisstudycanbesummarizedintofourkindsasthedividedtopics.Majorfindingsareasfollows,First,ⅰ)thevariouseconomicsentimentindexhasaneffectonthepredictionabouttheMBSCPRandItisacademicallyverifiedthatthesentimentsofactualinvestorcouldaffecttheMBSCPR.Second,ⅱ)ItisconfirmedthatthedataextracedbyGoogleTrendsverifythepredictivepoweroftheMBSCPRusingmachinelearningsuchasLassoRegressionanalysis.TheseresultssupporttheexistenceofWisdomofCrowdswhichisbeingstudiedrecently.andpsychologicalsentimentofcrowds,psychologicalindexcanpredicttheMBSCPR.Third,ⅲ)ThisstudyanalyzewhetherthereisadifferenceinHoltandLaury(2002)riskpreferencescoreaccordingtoMBTIpersonalitytypes.ThedifferenceinriskpreferenceandheuristicsmoderatingeffectsaccordingtoMBTIpersonalitytypesisexaminedandso,ItisrevealedthatthedifferenceinriskpreferencebetweentheMBTImainpreferencefunction(ST,NF)andtherisktolerancefactor(gamble,recreation)whichwassuggestedbyWebberetal.(2002).Also,Itisrevealedthattherearemoderatingeffectsofavailabilityheuristics,affectiveheuristicsaccordingtoageandMBTImainpreferencefunction(ST,NF).Fourth,ⅳ)ThisstudyextendedthebasicmodelbasedontheTechnologyAcceptanceModel(TAM).ThefactorsthataffectthepersistentuseintentoftheapplicationbasedontheMarketSentimentIndexextractedfrombigdataaredefinedanditscausalrelationshipisanalyzedempirically.also,TheETRA(ExtendedTheoryofReasonedAction)+heuristicsmediatingeffectsmodelisbuilt.ThefactorsthataffectthepersistentintentiontousetoanapplicationbasedonthemarketsentimentindexextractedfrombigdataisanalyzedandfurtherthecausalrelationshipbetweenbehavioralintentionandchoicebehaviorfromETRA+heuristicsmediatingeffectsmodelareinvestigated.Andthen,itisrevealedthattheavailabilityheuristicandtherepresentationheuristicplayaroleintheETRA+heuristicsmediatingeffectsmodel. Thecontributionandimplicationofthisstudyareasfollows.First,throughthisstudy,Itisconfirmedthattheinvestors’psychologycanpredicteconomicindicator.anditcanbeconfirmedthatthewisdomofcrowdscancontributetopredicttheeconomicindicator.Thisresultshedlightontheconsumeractorswhodevelopeconomicindicatorsbymicroapproach.Inadditionanewmethodologysuchasbigdatamining,machinelearninginfinancialresearchareproposed.Thisisasignificantmeaningfulattemptintheaspectofintegrationandfusionofheterogeneoussocialsciencebycombiningbigdataminingandusingmachinelearningintotypicalfinancialmethodologysuchastimeseriesanalysis,econometrics.Usingthisnewanalyticalmethodology,Consumerreactiontointerestrates,frequencyofsearchtermsextractedfromGoogleTrends,andpsychologicalindexcancontributetoexplaintheexistingeconomicphenomenaaredemonstrated.Second,throughthisstudy,weanalyzedthepossibilitythatindividualpersonalityorcharacteristicsinfluencedindividualdecisionmakingthroughthisphenomenonbyusingriskpreferenceandinvestmentdecisionmaking.ThisisthefirststudytousepersonalitytypetestssuchasMBTI,developedatthestageofstudyingonlythetraitsofindividuals,anditisastudyusinguniquedatasetcollectedfrompersonwithhugeassets(namedVVIP).anditprovidesanewview-sightoffinancial,behavioraleconomicalandpsychologicalresearchFinally,weusedthenewlydevelopedindextoidentifyacceptancefactorsfornewtechnologiesandfoundcausalrelationshipsbetweentheacceptancefactorsandtheintentiontousenewtechnologies.ThisstudyanalyzesheuristicsmediatingeffectsontheacceptanceofFintech,whichisthecurrenttopicofdiscussion.AsFintechbasedontherapidlyinnovativetechnologydevelops,thisresearchhasmadeacademicandpracticalcontributionstounderstandinganddevelopingthetechnologyacceptancebehaviorofconsumerswhousethetechnology.
URI
http://hanyang.dcollection.net/common/orgView/200000435407https://repository.hanyang.ac.kr/handle/20.500.11754/188167
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GRADUATE SCHOOL[S](대학원) > BUSINESS ADMINISTRATION(경영학과) > Theses (Ph.D.)
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