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研究生:蔡佳穎
研究生(外文):Chia-Yin Tsai
論文名稱:投資人情緒與愚笨錢效果之研究
論文名稱(外文):A Study of Investor Sentiment and Dumb Money Effect
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:碩士
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:2009
畢業學年度:97
語文別:中文
論文頁數:62
中文關鍵詞:投資人情緒基金流量愚笨錢效果
外文關鍵詞:investor sentimentfund flowdumb money effect
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本研究利用共同基金流量來衡量投資人情緒,探討投資人情緒對於共同基金績效及基金持股超額報酬之影響,並進一步探討其相互關係。本研究以投資標的為國內上市櫃股票之開放式股票型基金為研究對象,研究期間為2000年1月至2008年12月。研究結果顯示,共同基金在短期投資人情緒水準下,存在愚笨錢效果。發現高情緒的基金比低情緒的基金,基金績效在未來表現相對較差。而不論前期基金績效的高低,高情緒的基金在未來績效表現也皆不如低情緒的基金。此外,在基金持股的超額報酬方面,發現高情緒的股票比低情緒的股票,股票超額報酬在未來表現相對較差,意即高情緒使得股價被推高超過基本價值,在未來就會出現低報酬。而不論前期股票報酬的高低,高情緒的股票在未來報酬表現也皆不如低情緒的股票。因此,投資人的資金因為情緒的影響而造成減損,說明了投資人應避免情緒化的投資行為。
This study used mutual fund flows as a measure of investor sentiment, then tested whether sentiment affect mutual fund performance and excess returns for different stocks that hold by mutual funds. Also this study examined the interaction between investor sentiment, fund performance and excess returns. The sample was consisted the stock mutual funds in Taiwan from January 2000 to December 2008. The results indicated that the dumb money effect existed in short investor sentiment horizons. Findings indicated that high sentiment predicts lower future fund performance, and the performance of funds of low sentiment is better than high sentiment whether in high or low past returns. Moreover, the excess returns of stocks of low sentiment is better than high sentiment. If sentiment pushes stock price above fundamental value, high sentiment stocks should have low feature returns. Therefore, investors reduce their wealth because sentiment. That investors should avoid emotional investment behavior.
第壹章 緒論.................................................1
第一節 研究背景與動機........................................1
第二節 研究目的.............................................6
第三節 研究架構.............................................7
第二章 文獻探討.............................................8
第一節 基金績效持續性相關文獻.................................8
第二節 基金績效與基金流量相關文獻............................12
第三節 聰明錢效果相關文獻...................................14
第四節 基金流量與市場報酬相關文獻............................16
第五節 投資人情緒與績效報酬相關文獻..........................19
第参章 研究方法............................................22
第一節 研究對象、期間與資料來源..............................22
第二節 研究假說............................................23
第三節 研究設計............................................24
第肆章 實證結果分析.........................................30
第一節 投資人情緒對於未來基金績效之影響.......................30
第二節 投資人情緒與過去基金績效之相互關係.....................37
第三節 投資人情緒對於未來股票報酬之影響.......................40
第四節 投資人情緒與過去股票報酬之相互關係.....................46
第伍章 結論與建議...........................................54
參考文獻...................................................57
表次
表4-1 共同基金投資人情緒....................................33
表4-2 投資人情緒與持有三個月基金超額報酬......................34
表4-3 投資人情緒與持有六個月基金超額報酬......................35
表4-4 投資人情緒與持有一年基金超額報酬........................36
表4-5 投資人情緒與形成期三個月績效之相互關係(持有六個月)........38
表4-6 投資人情緒與形成期三個月績效之相互關係(持有一年)..........39
表4-7 股票投資人情緒........................................42
表4-8 投資人情緒與持有三個月股票超額報酬......................43
表4-9 投資人情緒與持有六個月股票超額報酬......................44
表4-10 投資人情緒與持有一年股票超額報酬.......................45
表4-11 投資人情緒與形成期三個月股票報酬之相互關係(持有三個月)...47
表4-12 投資人情緒與形成期三個月股票報酬之相互關係(持有六個月)...48
表4-13 投資人情緒與形成期三個月股票報酬之相互關係(持有一年).....49
表4-14 投資人情緒與形成期六個月股票報酬之相互關係(持有三個月)...51
表4-15 投資人情緒與形成期六個月股票報酬之相互關係(持有六個月)...52
表4-16 投資人情緒與形成期六個月股票報酬之相互關係(持有一年).....53

圖次
圖3-1 投資組合建構-重複持有.................................29
一、中文部分
池祥萱、林煜恩和周賓凰 (2007),基金績效持續與聰明錢效果:台灣實證,管理學報,24(3),307-330。
周賓凰、張宇志和林美珍 (2007),投資人情緒與股價報酬互動關係,證券市場發展季刊,74,153-190。
林修葳、王佳真 (2003),台灣共同基金績效持續性之研究,管理學報,20(4),655-688。
二、英文部分
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Edwards, F. F., & Zhang, X. (1998). Mutual Funds and Stock and Bond Market Stability. Journal of Financial Services Research, 13, 257-282.
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