臺灣博碩士論文加值系統

處分效果 (disposition effect) 是一種投資人所持有資產發生獲利或損失時所出現不對稱資產處分傾向之現象。投資人在資產獲利時，投資人會傾向風險趨避者 (risk-averse)而快速出售資產以獲利了結。相反的，資產虧損時，投資人的處分行為會傾向風險愛好者 (risk-seeking) 而持有虧損資產較長時間。本文以2013年6月至2016年1月335檔臺灣開放式境內共同基金做為研究對象，探討基金類型對投資人處分行為的調節效果，並且更進一步研究在不同績效指標區間的處分行為。研究結果發現，在未探討基金類別的情況下，臺灣基金投資人確實普遍存在處分效果。納入基金類別作為調節變數時，不同基金類型的投資人呈現出不同的處分效果，基金類別確實會調節處分行為。固定收益型基金出現較特別的「逆處分效果」，表示投資人在基金出現虧損時則迅速贖回基金。

The disposition effect is an asymmetric disposition behavior discovered in behavioral finance. Investors tend to be risk-averse and sell financial assets with increased prices. Instead, investors tend to be risk-seeking and keep assets to wait for another price rise when the price dropped. The sample covers 335 Taiwan open-end equity mutual funds from 2013 June to 2016 January. This is the first case to research on the moderating effect of type of mutual fund on investor’s disposition. The major findings are as follows: Investors of all types of fund in Taiwan possess the disposition effect. When types of fund are used as a moderator, the disposition behavior of investors is not the same on different type of fund. The investors of fixed-income fund possess the inverse disposition effect; that is, most investors will proactively redeem those fixed-income funds which drop in value.

目　　錄
中文摘要 i
英文摘要 ii
誌　　謝 iii
目　　錄 iv
表 目 錄 vi
圖 目 錄 vi
第一章、 緒論 1
第二章、 文獻探討與假說建立 8
2.1 處分效果 8
2.1.1 股票投資人 9
2.1.2 期貨交易商 10
2.1.3 基金經理人 10
2.1.4 基金投資人的處分效果 11
2.2 假說建立 12
第三章、 研究方法 14
3.1 資料型態及分析方法 14
3.1.1 混合迴歸(Pooled OLS)模型 15
3.1.2 固定效果(fixed effects)模型 15
3.1.3 隨機效果(random effects)模型 16
3.2 模型之檢驗與選用 17
3.3 實證模型 19
3.3.1 模型1 (單一績效指標，未分類) 20
3.3.2 模型2 (單一績效指標，分四類納入三個虛擬變數) 21
3.3.3 模型3 (兩類績效指標，未分類) 22
3.3.4 模型4 (兩類績效指標，分四類納入三個虛擬變數) 23
3.3.5 模型5 (五類績效指標，未分類) 24
3.3.6 模型6 (五類績效指標，分四類納入三個虛擬變數) 26
第四章、 實證分析 28
4.1 資料來源 28
4.2 敘述統計 28
4.3 模型檢驗結果 29
4.3.1 多餘固定效果檢定(Redundant Fixed Effects Tests) 29
4.3.2 Hausman 檢定 30
4.4 模型實證結果 31
4.4.1 模型1 (單一績效指標，未分類) 31
4.4.2 模型2 (單一績效指標，分四類納入三個虛擬變數) 32
4.4.3 模型3 (兩類績效指標，未分類) 33
4.4.4 模型4 (兩類績效指標，分四類納入三個虛擬變數) 34
4.4.5 模型5 (五類績效指標，未分類) 37
4.4.6 模型6 (五類績效指標，分四類納入三個虛擬變數) 39
第五章、 結論與建議 44
5.1 結論 44
5.1.1 單一基金績效指標：基金報酬率(RR) 44
5.1.2 兩類基金績效指標：贏家(winner)、輸家(loser) 44
5.1.3 五類基金績效指標：大贏(BW)、小贏(SW)、持平(E)、小輸(SL)、大輸(BL) 45
5.2 研究限制與建議 47
5.3 管理意涵與建議 48
參考文獻 50
中文部分 50
英文部分 51

中文部分
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李建興、沈中華、顏碧霞 (2010a)，「從眾贖回與非從眾贖回下基金投資人處分效果之探討: 分量迴歸最小平方虛擬變數法」，管理與系統，第17卷，第1期，1-26 頁。
李建興、沈中華、顏碧霞 (2010b)，「基金風險狀態與投資人之處分效果: 追蹤門檻模型的應用」，管理學報，第27卷，第5期，459-477 頁。
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