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研究生:黃美賢
論文名稱:台灣股票型基金經理人行為與績效之研究
論文名稱(外文):A Study of Taiwan Stock Mutual Fund Managers' Behaviors and Performances
指導教授:陳信憲陳信憲引用關係
指導教授(外文):Bryan H. Chen
學位類別:博士
校院名稱:國立彰化師範大學
系所名稱:商業教育學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:121
中文關鍵詞:共同基金經理人過度自信處分效果風險調整基金績效
外文關鍵詞:mututal fund manageroverconfidencedisposition effectrisk adjustmentperformance
相關次數:
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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。
摘要 I
Abstract II
目錄 IV
表目錄 VII
圖目錄 VIII
第壹章 緒 論 1
第一節 研究背景 1
第二節 研究動機 3
第三節 研究目的 8
第四節 研究內容與架構 9
第貳章 文獻探討 11
第一節 過度自信相關文獻 12
第二節 風險調整相關文獻 22
第三節 處分效果的相關文獻 27
第四節 文獻評析與研究假說 36
第参章 研究方法 41
第一節 研究樣本與資料來源 41

一、資料處理 41

二、多空市場的區別 43
第二節 研究方法設計 45

一、基金經理人的過度自信行為檢驗 46

二、共同基金經理人風險調整行為 54

三、基金經理人的處分效果 57

四、過度自信、風險調整、處分效果與績效的關聯性 59
第肆章 實證結果 63
第一節 基金經理人過度自信行為檢驗 63

ㄧ、基金經理人是否有過度自信行為 64

二、基金經理人在多頭市場或空頭市場過度自信行為檢定 67

三、基金經理人過度自信是否受前期績效影響 70
第二節 共同基金經理人風險調整行為 74

ㄧ、基金經理人的前期績效是否會影響後期風險調整 74

二、基金風險調整對績效的影響 80
第三節 基金經理人的處分效果 85

一、基金經理人是否有處分效果行為 85

二、過度自信、風險調整與處分效果的關聯性 88

三、過度自信、風險調整、處分效果與績效的關聯性 90
第四節 討論 95
第伍章 結論與建議 101
第一節 結論 101
第二節 建議 104
參考文獻 106
中文文獻 106

英文文獻 107

附錄1 多空市場區分(UDSD) 119
附錄2 多空市場區分(UD20%) 121

表1 -1國內股票型基金與大盤週轉率與績效 2
表3-1 週轉率、風險調整與處分效果關聯表 60
表4-1年度樣本數統計 63
表4-2 樣本期間基金月週轉率與月報酬率 65
表4-3 基金經理人過度自信檢定 66
表4-4 多空市場之基金經理人過度自信檢定 69
表4-5 股票型基金週轉率、報酬率及基金規模 71
表4-6 初始資料單根檢定結果 72
表4-7 基金經理人過度自信VAR檢定結果 73
表4-8 前期贏家/輸家風險調比率RARsd(6-6)差異分析 75
表4-9 以週轉率為風險調整替代變數RARtn (6-6) 77
表4-10 以報酬率標準差為風險調整替代變數RARsd(9-3) 78
表4-11 週轉率為風險調整替代變數RARtn(9-3) 79
表4-12 風險調整RAR(6-6) 81
表4-13 風險調整 RAR (9-3)81
表4-14 風險調整對評估後期績效影響分析結果 84
表4-15 共同基金處分係數統計 86
表4-16 風險調整、處分效果、過度自信列聯表 89
表4-17 過度自信、風險調整、處分效果與績效關聯性 92

圖1-1 研究流程與架構 9
圖4-1 整體基金過度自信、風險調整、處分效果、績效關係圖 94
圖4-2 一般股票型樣本基金過度自信、風險調整、處分效果、績效
關係圖 94
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