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題名:台灣股票型基金經理人行為與績效之研究
作者:黃美賢 引用關係
校院名稱:國立彰化師範大學
系所名稱:商業教育學系
指導教授:陳信憲
學位類別:博士
出版日期:2008
主題關鍵詞:共同基金經理人過度自信處分效果風險調整基金績效mututal fund manageroverconfidencedisposition effectrisk adjustmentperformance
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共同基金經理人為專業投資人,理論上其投資績效應該能輕鬆地打敗以散戶居多的大盤,但事實卻不盡然,專業基金經理人之投資決策似乎也存在不理性的行為,使得績效不彰。本研究以行為財務學的角度探究台灣股票型基金經理人是否有過度自信、自利性調整風險為、處分效果等非理性行為,並檢驗這些行為對基金績效的影響,同時探討這些行為之間是否有特定的關聯性。研究期間自1998年至2007年,研究樣本以排除存活偏誤的方式逐年篩選出樣本基金,再以差異性分析、VAR時間序列分析及panel data迴歸分析進行檢定。
研究結果顯示(1)週轉率過高的股票型基金經理人有過度自信情況;且基金經理人的過度自信程度會受前期績效好壞而增強或減弱。(2)股票型基金經理人的自利性調整風險行為是存在的。(3)股票型基金經理人有處分效果行為(4)股票型基金經理人的過度自信與績效呈負向相關,調整風險和處分效果行為對報酬則有正向影響(5)處分效果與風險調整行為間呈現正向相關,過度自信與風險調整行為為負向關係,過度自信與處分效果則無明顯相關性。
Generally the mutual fund managers are professional investors who could beat the market easily. The facts surprise us that most mutual fund managers created less return than the market did in recent years. We suspect the mutual fund managers’ investment decisions may carry some irrational behaviors. This study investigates whether the irrational behaviors of overconfidence, risk adjustment and disposition effect are held in Taiwan stock mutual fund managers, and inspects what the relationships are among these behaviors and fund performances as well. Sample funds are selected year by year to prevent the survivorship bias, the data cover the period from 1998 to 2007. The methodology of variance analysis, vector autoregression (VAR) and panel data regression are used to test the hypotheses.
The empirical results indicate that the Taiwan stock mutual fund managers do hold the behaviors of overconfidence, risk adjustment and disposition effect. The mutual fund managers’ overconfidence will decrease the fund’ performance while the risk adjustment and disposition effect are positive related to fund performance. The mutual fund managers’ overconfidence is significantly positive related to risk adjustment but negative related to the disposition effect. The sample data show no significant correlation between mutual fund managers’ overconfidence and the disposition effect。
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