| Summary: | 碩士 === 國立臺北大學 === 企業管理學系 === 93 === In the tradition Financial Theory, Capital Asset Pricing Model (CAPM) told us that systematic risk is the only relevant risk. And the idiosyncratic risk can be diversified away. The CAPM, like all models which attempt explain complex real world phenomena using simplifying assumptions, is an abstraction and does not completely and perfectly. In the latest study about CAPM shows that systematic risk is not the only risk in the stock market. The reason is that diversification is too expensive for investors.
In this paper, we employ the indirect decomposition method to decompose systematic risk and idiosyncratic risk and use PSY estimate investor psychology. The conclusion was that idiosyncratic risk can effect the investor psychology in the bear market. In the other words, in the bear market, investors are not willing to hold their stock and want to sell it when idiosyncratic risk increasing. And in 2000 the market is the most information efficiency than other periods.
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