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題名:基金經理人從眾行為與股價崩盤風險
書刊名:商管科技季刊
作者:羅進水
作者(外文):Lo, Chin-shui
出版日期:2019
卷期:20:4
頁次:頁371-401
主題關鍵詞:基金經理人從眾行為股價崩盤風險Fund managerHerdingStock price crash
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:8
從眾行為可能具有影響股票價格的效果,本文探討基金經理人從眾行為與股價崩盤關聯性。以1998年到2018年的樣本資料,實證結果顯示基金經理人反向回饋交易行為可降低股價崩盤風險。從眾買入行為與當期股價崩盤有負向關係,與下期股價崩盤有正向關係。從眾行為預測未來股價崩盤的效果於小型股、高基金交易家數及資訊較為模糊的公司更為顯著。本文以不同崩盤風險變數及從眾指標的實證結果仍具有穩定性。本文實證結果顯示基金經理人的從眾行為不具有穩定股價效果,散戶投資人如跟隨基金經理人交易,應注意未來所承擔股價崩盤風險,造成財富損失。
The herding behavior of investors may stabilize or destabilize stock prices. Focusing on the institutional herding behavior, this study examines its impact on stock price crash for listed companies in Taiwan from 1998 to 2018. The empirical results suggest that the negative feedback trading by fund managers decreases the risk of stock price crash. In addition, fund managers' buy-herding is positively associated with future stock price crash risk. The positive relationship is more profound in companies with small capitalizations, high actively fund managers, and vague financial information. The results are robust to different measures of herding and crash risk. To short, fund managers' herding actions do not have a stabilizing effect. Accordingly, when following the trading of fund managers, individual investors should take the possibility of price crash risk into account.
期刊論文
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26.Hirshleifer, D.、Teoh, S. Hong(2003)。Herd behaviour and cascading in capital markets: A review and synthesis。European Financial Management,9(1),25-66。  new window
27.Hsieh, S. F.(2013)。Individual and institutional herding and the impact on stock returns: Evidence from Taiwan stock market。International Review of Financial Analysis,29,175-188。  new window
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研究報告
1.Clarke, J.、Ornthanalai, C.、Tang, Y.(2010)。Informational Herding by Institutional Investors: Evidence from Analyst Recommendations。Georgia Institute of Technology:Peking University。  new window
2.Gutierrez, R. C. Jr.、Kelley, E. K.(2008)。Institutional Herding: Destabilizing Buys, Stabilizing Sells。  new window
圖書
1.Asch, S. E.(1952)。Social Psychology。Prentice-Hall。  new window
 
 
 
 
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