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題名：共同基金處分效果與強化承諾之實證研究
作者：林煜恩
作者(外文)：Yu-En Lin
校院名稱：國立東華大學
系所名稱：企業管理學系
指導教授：池祥萱
學位類別：博士
出版日期：2010
主題關鍵詞：反向操作策略；動能投資策略；強化承諾；處分效果；持股偏好；群聚行為；holdings preference；herding behavior；momentum；escalation of commitment；disposition effect；contrarian
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本研究是由兩篇關於共同基金處分效果與強化承諾之文章所組成的。
第一篇文章是探討在處分效果與強化承諾現象在控制了共同基金動能投資風格後，是否仍然具有穩健性的結果。首先採用相依分組的方式，先將共同基金依照動能投資風格進行分組，再檢驗不同動能風格投資組合下，處分效果與強化承諾投資組合的績效，第二，檢驗共同基金的持股偏好，探討在控制了股票的其他特徵後，共同基金的持股是否會受帳面利得或帳面損失所影響。結果如下，第一，處分效果與強化承諾對共同基金的績效有著負面影響；第二，控制了共同基金的動能投資風格後，處分效果與強化承諾對基金績效的負面影響依然存在；第三，共同基金持股確實受帳面利得或帳面損失影響而改變，顯示處分效果與強化承諾確實會影響共同基金的持股偏好。
第二篇文章是探討在處分效果與強化承諾與基金群聚行為的關係。首先檢驗不同群聚風格投資組合下，處分效果與強化承諾投資組合的績效，第二，檢驗共同基金的群聚行為，探討在控制了股票的其他特徵後，共同基金的群聚是否會受帳面利得或帳面損失所影響。結果如下，第一，處分效果與強化承諾對共同基金的績效有著負面影響；第二，在買進群聚型風格基金中，處分效果與強化承諾對基金的負面績效影響最大，在賣出群聚型基金中，該負面績效不顯著；第三，共同基金群聚行為確實受帳面利得或帳面損失影響而改變。
This study contains two essays about disposition effect and escalation of commitment of mutual fund managers.
Essay 1 examines whether the impact of disposition effect and escalation of commitment holds after controlling the momentum investing style. First, this paper ranks the mutual fund into five groups by momentum measure, and we examine DISP and ESCA zero investment portfolios in each momentum style portfolio. Then, we investigate whether the paper gain ratio or paper loss ratio impact on holding preference after controlling other characteristics. Our results can be sumarize as follow: first, disposition effect and escalation of commitment has negative impact on mutual fund performance. Second, the result still holds after controlling the momentum style of mutual funds. Finally, we find the disposition effect and escalation of commitment indeed have influence on holding preference.
Essay 2 investigates the relationship between disposition effect and escalation of commitment and herding behavior. First, this paper ranks the mutual fund into five groups by herding style, and we examine DISP and ESCA zero investment portfolios in each herding style portfolio. Then, we investigate whether the paper gain ratio or paper loss ratio impact on herding behavior after controlling other characteristics. Our results can be sumarize as follow: first, disposition effect and escalation of commitment has negative impact on mutual fund performance. Second, in buy herding style fund, the disposition effect and escalation of commitment has the most negative impact on performance, however, in sell herding style fund, the negative effect disappears. Finally, we find the disposition effect indeed has effect on herding behavior.
Essay 1
中文部分
池祥萱、林煜恩、周賓凰，(2009)，「處份效果、強化承諾與共同基金績效」，管理評論，第28卷，第4期，1 - 18。new window
池祥萱、林煜恩、黃少宣、李婉真，(2009)，「過早賣出贏家股票與過晚賣出輸家股票一定是不理性的行為嗎？」，中國金融國際年會，中國廣州。
英文部分
Ang, A., Hodrick, R., Xing, Y. and Zhang, X. (2006), “The Cross-Section of Volatility and Expected Returns,” Journal of Finance 59(1), 259-299.
Arkes, H. R., and Blumer, C, (1985), “The Psychology of Sunk Cost,” Organizational Behavior and Human Decision Processes, 35, 124–140.
Badrinath, S. G., Gay, G. D. and J. R. Kale, (1989), “Patterns of Institutional Investment, Prudence, and the Managerial ‘Safety-Net’ Hypothesis,” Journal of Risk and Insurance 56, 605–629.
Badrinath, S. G., Kale, J. R. and Ryan, Jr., (1995), “Characteristics of Common Stock Holdings of Insurance Companies,” Journal of Risk and Insurance 63(1), 49–76.
Baker, M., Litov, L., Wachter, J. and Wurgler, J., (2009), “Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements,” Working paper.
Baker, M., and Wurgler, J., 2006, “Investor Sentiment and the Cross-Section of Stock Returns,” Journal of Finance 61, 1645-1680.
Baker, M., and Wurgler, J., 2007, “Investor Sentiment in the Stock Market,” Journal of Economic Perspective 21, 129-151.
Bennett, J., Sias, R. and Starks, L., (2003), “Greener Pastures and the Impact of Dynamic Institutional Preferences,” Review of Financial Studies 16(4), 1203-1238.
Biyalogorsky, E. Bounding, W., and Staelin, R., (2006), “Stuck in the Past: Why Managers Persist with New Product Failures,” Journal of Marketing 70, 108–121.
Brown, P. Chappel, N. Da Silva Rosa, R., and Walter, T., (2006), “The Reach of the Disposition Effect: Large Sample Evidence across Investor Classes” International Review of Finance 6, 43-78.
Carhart, M. M., 1997, “On Persistence in Mutual Fund Performance,” Journal of Finance 52, 57-82.
Chan, L., Chen, H., and Lakonshok, J., (2002), “On Mutual Fund Investment Styles,” Review of Financial Studies 15(5), 1407-1437.
Chen, J., Hong, H., Huang, M., and Kubik, J., (2004), “Does Fund Size Erode Performance? Liquidity, Organizational Diseconomies and Active Money Management,” American Economic Review, 94(5), 1276–1302.
Chen, H. L., Jegadeesh, N. and Wermers, R. (2000), “The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers,” Journal of Financial Quantitative Analysis 36(3), 343-368.
Chow, C. W. Harrison, P. Lindquist, T., and Wu, A., (1997), “Escalating Commitment to Unprofitable Projects: Replication and Cross–Cultural Extension,” Management Accounting Research 8, 347–361.
Cici, C., (2005), “The Relation of the Disposition Effect to Mutual Fund Trades and Performance,” Working paper.
Conlon, E. and Leatherwood, M. L., (1989), “Sunk Costs and Financial Decision Making: Integration and Implications,” Advances in Financial Planning and Forecasting 3, 37–61.
Da Silva Rosa, R. To, H. M., and Walter, T., (2006), “Tests of the Disposition Effect amongst UK Managed Funds,” Working Paper.
Daniel, K., Grinblatt, M., Titman, S. and Wermers, R., (1997), “Measuring Mutual Fund Performance with Characteristic-based Benchmarks,” Journal of Finance 52, 1035-1058.
De Bondt, W., and Thaler, R., (1985), “Does the Stock Market Overreact?” Journal of Finance 40(3), 793-805.
De Bondt, W., and Thaler, R., (1985), “Further Evidence on Investor Overreaction and Stock Market Seasonality” Journal of Finance 42(3), 557-581.
Drucker, P. F. (1986), “To End the Raiding Roulette Game,” Across the Board 23(4), 30-39.
Fama, E. F., and K. R. French, (1993), “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Finance 33, 3–56.
Falkenstein, E. G., (1996), “Preferences for Stocks Characteristics as Revealed by Mutual Fund Portfolio Holdings,” Journal of Finance 51(1), 111-135.
Ferris, S., Haugen, R., and Makhija, A., (1988), “Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting Disposition Effect,” Journal of Finance 43. 698–699.
Graves, S. B. and Waddock, S. A. (1990), “Institutional Ownership and Control: Implication for Long-Term Corporate Strategy,” Academy of Management Executive 4(1), 75-83.
Grinblatt, M. and Keloharju, M., (2001), “What Makes Investors Trade?” Journal of Finance 56, 589-616.
Grinblatt, M., Titman, S. and Wermers, R., (1995), “Momentum Investment Strategies, Portfolio Performance, and Herding: Herding: A Study of Mutual Fund Behavior,” American Economic Review 85(5), 1088-1105.
Haunschild, P. R., Davis–Blake, A., and Fichman, M., (1994), ‘Managerial Overcommitment in Corporate Acquisition Processes,’ Organization Science 5, 528–540.
Jagadeesh, N., and Titman, S., (1993), “Returns to buying winners and selling losers: Implication for market efficiency,” Journal of finance 48, 65-91.
Kaminsky, G., Lyons, R. and Schmukler, S., (2004), “Managers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets,” Journal of International Economics 64, 113-134.
Kaustia, M., (2004), “Market-Wide Impact of the Disposition Effect: Evidence from IPO Trading Volume” Journal of Financial Market 7, 207-235.
Kim, W. and Nofsinger, J. (2005), “Institutional Herding, Business Groups, and Economic Regimes: Evidence from Japan,’ Journal of Business 78(1), 213-242.
Kim, W. and Wei, S. (2002), “Foreign Portfolio Investor Before and During a Crisis,” Journal of International Economics 56, 77-96.
Lakonishok, J., Shleifer, A. and Vishny, R. (1994), “Contrarian Investment, Extrapolation, and Risk,” Journal of Finance 49(5), 1541-1578.
Merton, R. C., (1987), “A Simple Model of Capital Market Equilibrium with Incomplete Information,” Journal of Finance 42(3), 483–510.
Nofsinger, John R., and Sias, Richard W., (1999), “Herding and Feedback Trading by Institutional and Individual Investors,” Journal of Finance 54(6), 2263-2295.
Odean, T., (1998), “Are Investors Reluctant to Realize Their Losses?” Journal of Finance 53, 1775–1798.
Odean, T., Strahilevitz, M., and Baber, B. M., (2004), “Once Burned, Twice Shy: How native Learning and Counterfactuals Affect the Repurchase of Stocks Previously Sold,” Working Paper.
Porter, M. E. (1992), “Capital Disadvantage: America’s Failing Capital Investment System,” Harvard Business Review 70(5), 65-82.
Repenning, N. P., (2001), “Understanding Fire Fighting in New Product Development,” Journal of Product Innovation Management 18, 285–300
Sapp, T., and Tiwari, A., (2004), “Does stock return momentum explain the smart money effect?” Journal of Finance 59, 2605-2622.
Scherbina, A. and Jin, K., (2005), “Change is Good or the Disposition Effect among Mutual Fund Managers,” Working Paper.
Shefrin, H. and Statman, M., (1985), “The Disposition to Sell Winners too Early and Ride Loser too Long: Theory and Evidence,” Journal of Finance 40, 777–792.
Staw, B. M, (1976), “Knee–Deep in the Big Muddy: A Study of Escalating Commitment to a Chosen Course of Action,” Organizational Behavior and Human Performance 16, 27–44.
Staw, B. M., and Hoang, H., (1995), “Sunk Costs in the NBA: Why Draft Order Affects Playing Time and Survival in Professional Basketball,” Administrative Science Quarterly 40, 474–494.
Werber, M. and Camerer, C. F., (1998), “The Disposition Effect in the Securities Trading：An Experimental Analysis,” Journal economic behavior & organization 33, 167-184.
Essay 2
中文部分
池祥萱、林煜恩、周賓凰，(2009)，「處份效果、強化承諾與共同基金績效」，管理評論，第28卷，第4期，1 - 18。new window
池祥萱、林煜恩、黃少宣、李婉真，(2009)，「過早賣出贏家股票與過晚賣出輸家股票一定是不理性的行為嗎？」，中國金融國際年會，中國廣州。
英文部分
Ang, A., Hodrick, R., Xing, Y. and Zhang, X. (2006), “The Cross-Section of Volatility and Expected Returns,” Journal of Finance 59(1), 259-299.
Arkes, H. R., and Blumer, C, (1985), “The Psychology of Sunk Cost,” Organizational Behavior and Human Decision Processes, 35, 124–140.
Badrinath, S. G., Gay, G. D. and J. R. Kale, (1989), “Patterns of Institutional Investment, Prudence, and the Managerial ‘Safety-Net’ Hypothesis,” Journal of Risk and Insurance 56, 605–629.
Badrinath, S. G., Kale, J. R. and Ryan, Jr., (1995), “Characteristics of Common Stock Holdings of Insurance Companies,” Journal of Risk and Insurance 63(1), 49–76.
Baker, M., Litov, L., Wachter, J. and Wurgler, J., (2009), “Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements,” Working paper.
Baker, M., and Wurgler, J., 2006, “Investor Sentiment and the Cross-Section of Stock Returns,” Journal of Finance 61, 1645-1680.
Baker, M., and Wurgler, J., 2007, “Investor Sentiment in the Stock Market,” Journal of Economic Perspective 21, 129-151.
Bennett, J., Sias, R. and Starks, L., (2003), “Greener Pastures and the Impact of Dynamic Institutional Preferences,” Review of Financial Studies 16(4), 1203-1238.
Bikhchandani, S., Hirshleifer, D. and Welch, I. (1992), “A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades,” Journal of Political Economy 100, 992-1026.
Biyalogorsky, E. Bounding, W., and Staelin, R., (2006), “Stuck in the Past: Why Managers Persist with New Product Failures,” Journal of Marketing 70, 108–121.
Brown, P. Chappel, N. Da Silva Rosa, R., and Walter, T., (2006), “The Reach of the Disposition Effect: Large Sample Evidence across Investor Classes” International Review of Finance 6, 43-78.
Cai, F., Kaul, G.and Zheng, L., (2000), “Institutional Trades and Stock Returns,” Working paper.
Carhart, M. M., 1997, “On Persistence in Mutual Fund Performance,” Journal of Finance 52, 57-82.
Chen, H. L., Jegadeesh, N. and Wermers, R. (2000), “The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers,” Journal of Financial Quantitative Analysis 36(3), 343-368.
Choe, H., Kho, B. and Stulz, R. (1999), “Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997,” Journal of Financial Economics 54, 227–264.
Chow, C. W. Harrison, P. Lindquist, T., and Wu, A., (1997), “Escalating Commitment to Unprofitable Projects: Replication and Cross–Cultural Extension,” Management Accounting Research 8, 347–361.
Cici, C., (2005), “The Relation of the Disposition Effect to Mutual Fund Trades and Performance,” Working paper.
Conlon, E. and Leatherwood, M. L., (1989), “Sunk Costs and Financial Decision Making: Integration and Implications,” Advances in Financial Planning and Forecasting 3, 37–61.
Da Silva Rosa, R. To, H. M., and Walter, T., (2006), “Tests of the Disposition Effect amongst UK Managed Funds,” Working Paper.
Devenow, A. and Welch, I. (1996), “Rational Herding in Financial Economics,” European Economic Review 40, 603–615.
Drucker, P. F. (1986), “To End the Raiding Roulette Game,” Across the Board 23(4), 30-39.
Fama, E. F., and K. R. French, (1993), “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Finance 33, 3–56.
Falkenstein, E. G., (1996), “Preferences for Stocks Characteristics as Revealed by Mutual Fund Portfolio Holdings,” Journal of Finance 51(1), 111-135.
Ferris, S., Haugen, R., and Makhija, A., (1988), “Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting Disposition Effect,” Journal of Finance 43. 698–699.
Froot, I. A., Scharfstein D. and Stein, J. (1992), “Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation,” Journal of Finance 47, 1461-1484.
Graves, S. B. and Waddock, S. A. (1990), “Institutional Ownership and Control: Implication for Long-Term Corporate Strategy,” Academy of Management Executive 4(1), 75-83.
Grinblatt, M. and Keloharju, M., (2001), “What Makes Investors Trade?” Journal of Finance 56, 589-616.
Grinblatt, M. and Titman S. (1993), ‘Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns’, Journal of Business 66, 47-68.
Grinblatt, M., Titman, S. and Wermers, R., (1995), “Momentum Investment Strategies, Portfolio Performance, and Herding: Herding: A Study of Mutual Fund Behavior,” American Economic Review 85(5), 1088-1105.
Hirshleifer, D., Subranhmanyam, S. and Titman, S., (1994), “Security Analysis and Trading Patterns when Some Investors Receive Information before Others,” Journal of Finance 49, 1665-1698.
Jagadeesh, N., and Titman, S., (1993), “Returns to buying winners and selling losers: Implication for market efficiency,” Journal of finance 48, 65-91.
Jones, S. L., Lee, D. and Weis, E., (1999), “Herding and Feedback Trading by Different Types of Institutions and the Effects on Stock Prices,” Working Paper.
Kaustia, M., (2004), “Market-Wide Impact of the Disposition Effect: Evidence from IPO Trading Volume” Journal of Financial Market 7, 207-235.
Kim, W. and Nofsinger, J. (2005), “Institutional Herding, Business Groups, and Economic Regimes: Evidence from Japan,’ Journal of Business 78(1), 213-242.
Lakonishok, J., Shleifer, A. and Vishny, R. (1992), “The Impact of Institutional Trading on Stock Prices,” Journal of Financial Economics 32, 23–44.
Lakonishok, J., Shleifer, A. and Vishny, R. (1994), “Contrarian Investment, Extrapolation, and Risk,” Journal of Finance 49(5), 1541-1578.
Merton, R. C., (1987), “A Simple Model of Capital Market Equilibrium with Incomplete Information,” Journal of Finance 42(3), 483–510.
Nofsinger, John R., and Sias, Richard W., (1999), “Herding and Feedback Trading by Institutional and Individual Investors,” Journal of Finance 54(6), 2263-2295.
Odean, T., (1998), “Are Investors Reluctant to Realize Their Losses?” Journal of Finance 53, 1775–1798.
Odean, T., Strahilevitz, M., and Baber, B. M., (2004), “Once Burned, Twice Shy: How native Learning and Counterfactuals Affect the Repurchase of Stocks Previously Sold,” Working Paper.
Porter, M. E. (1992), “Capital Disadvantage: America’s Failing Capital Investment System,” Harvard Business Review 70(5), 65-82.
Repenning, N. P., (2001), “Understanding Fire Fighting in New Product Development,” Journal of Product Innovation Management 18, 285–300
Sapp, T., and Tiwari, A., (2004), “Does stock return momentum explain the smart money effect?” Journal of Finance 59, 2605-2622.
Scherbina, A. and Jin, K., (2005), “Change is Good or the Disposition Effect among Mutual Fund Managers,” Working Paper.
Shefrin, H. and Statman, M., (1985), “The Disposition to Sell Winners too Early and Ride Loser too Long: Theory and Evidence,” Journal of Finance 40, 777–792.
Sias, R. (2004), “Institutional Herding,” Review of Financial Studies 17(1), 165-206.
Staw, B. M, (1976), “Knee–Deep in the Big Muddy: A Study of Escalating Commitment to a Chosen Course of Action,” Organizational Behavior and Human Performance 16, 27–44.
Staw, B. M., and Hoang, H., (1995), “Sunk Costs in the NBA: Why Draft Order Affects Playing Time and Survival in Professional Basketball,” Administrative Science Quarterly 40, 474–494.
Walter, A. and Weber, F. (2006), “Herding in the German Mutual Fund Industry,” European Financial Management 12(3), 375-406.
Werber, M. and Camerer, C. F., (1998), “The Disposition Effect in the Securities Trading：An Experimental Analysis,” Journal economic behavior & organization 33, 167-184.
Wermers, R. (1999), “Mutual Fund Herding and the Impact on Stock Prices,” Journal of Finance 54(2), 581-622.
Wylie, S. (2005), “Fund Manager Herding: A Test of the Accuracy of Empirical Results Using UK Data,” Journal of Business 78(1), 381-403.

 
 
 
 
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