臺灣博碩士論文加值系統

本文探討從眾行為與非從眾行為下，基金投資人之處分效果，以2001年7月至2006年7月之123檔台灣開放式股票型基金為研究對象。相對於本文所回顧的主要文獻，本文首度結合從眾行為與處分效果，引入分量迴歸來探討從眾與非從眾下，基金投資人在不同績效水準下是否具有處分效果，以及其型態是否有所差異。本文發現：第一，在非從眾之一般贖回期時，當基金績效大贏大盤時，投資人處理方式為急售獲利；而當基金績效小輸與大輸大盤時，投資人處理方式為惜售損失；因此，在非從眾之一般贖回期時，基金投資人發生「贖回意願不顯著的處分效果」。第二，在贖回熱潮下，當基金績效大贏大盤時，投資人處理方式為急售獲利；當基金績效小輸大盤時，投資人處理的方式則為贖回意願更低；因此，此時發生「贖回意願更低的處分效果」；而當基金績效大輸大盤時，則投資人轉而積極贖回。由上述實證結果發現，從眾與非從眾下之處分效果型態確實有所差異，且面對大贏大盤以及小贏大盤，或小輸大盤以及大輸大盤之基金，投資人有不同偏好的投資行為。

We study the disposition effect vis-à-vis herding and non-herding fund investors. To our knowledge, this is the first case to combine herding behavior and disposition effect, and use quantile regression to estimate the herding and non-herding investors have the disposition effect or not on different level of fund performance. We find two type of disposition effect: the first, at the normal redemption times, fund investors prefer to sell the best fund; and hold the bad and worse funds, therefore, investors with the disposition effect--hold losers too long, and this effect is often investigated in past research. Second, at the hot redemption times, investors prefer to sell the best funds and averseness to redeem the bad funds, therefore, investors with the disposition effect--hold loser longer, and this effect is only investigated in fewer research; in addition, investors will redeem the worse fund. To sum up, we find that the impact patterns vis-à-vis herding and non-herding fund investors are different, and the investing behaviors are different when they face different level of fund performance.

目 錄
1. 前言1
2. 文獻回顧4
2.1 金融市場從眾行為4
2.2 從眾行為的影響 5
2.3 處分效果之影響 5
2.4 分量迴歸之應用 6
3. 實證模型與變數定義7
3.1 實證模型7
3.2 變數說明8
3.2.1 基金績效指標之區分8
3.2.2 解釋變數之影響情形9
3.3 分量迴歸模型10
4. 資料來源與敘述性統計12
4.1 資料來源12
4.2 敘述性統計12
5. 實證結果與分析13
6. 結論17
參考文獻24

表目錄
表1 非量化解釋變數敘述性統計表19
表2 台灣各類型基金之受益人數比率20
表3 敘述性統計表21
表4 相關係數表22
表5 變異數膨脹係數 22
表6 實證結果表23

圖目錄
圖1 非等權重下，市場調整後報酬率區分釋意圖19

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