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研究生:李如欣
研究生(外文):Ju-hsin Lee
論文名稱:金融海嘯期間台灣共同基金經理人過度自信行為之探討
論文名稱(外文):The Overconfidence Behavior of Taiwaness Fund Managers During Financial Crisis
指導教授:徐苑玲徐苑玲引用關係
指導教授(外文):Yuan-Lin Hsu
學位類別:碩士
校院名稱:世新大學
系所名稱:財務金融學研究所(含碩專班)
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:72
中文關鍵詞:行為財務學過度自信共同基金經理人情緒價值股
外文關鍵詞:Behavior FinanceOverconfidenceFund ManagerSentimentValue stock
相關次數:
  • 被引用被引用:5
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  • 收藏至我的研究室書目清單書目收藏:0
本研究為了解基金經理人個人特徵、基金及基金公司與過度自信之間的關係,個人特徵包含經理人人口變數、情緒及投資行為三類;基金包括操作基金檔數、基金類型、基金規模及交易量;基金公司包括外商及本土、投資決策制定,並將過度自信區分為「確定型過度自信」及「預測型過度自信」二種,以問卷調查法針對台灣共同基金經理人進行調查。
本研究透過敍述統計及卡方檢定,實證發現基金經理人的確存在過度自信行為,且「確定型過度自信」較「預測型過度自信」顯著,並將結果顯著之影嚮變數代入二元分類對數模型進行分析,研究結果顯示「預測型過度自信」較「確定型過度自信」顯著,其中基金經理人個人特徵面向中女性、教育程度較低、年收入高者之基金經理人較有過度自信的傾向,悲觀的基金經理人較樂觀者感到過度自信,操作基金檔數越多之基金經理人越容易有過度自信的行為,最後,基金公司的投資決策採取層層把關或團體討論之經理人,較有過度自信的傾向。
The purpose of this study is to examine the relationship among characteristics of fund or fund companies, personal characteristics of fund managers, and their overconfidence. We define three dimensions of fund manager’s characteristics include demographics, sentiment, and investment behavior. As to the fund, it covers the numbers of operating funds, the type of fund, the scale of fund, and its trading volume. With respect to the fund company, it comprises of foreign or local companies and their investment decision making types. The overconfidence of fund manager is classified into two types as “certainty overconfidence” and “prediction overconfidence” by adopting questionnaire survey on investigating current Taiwanese fund managers.
Based on descriptive statistics and chi-square tests, the study finds that the overconfidence behavior exists among Taiwanese fund managers, and it is more significant in certainty overconfidence than in prediction overconfidence. In addition, we apply the logarithm model and show the similar results that prediction overconfidence is more significant than certainty overconfidence. Fund managers who are female, have lower education level, manage high-income funds are prone to be overconfidence. Pessimistic fund managers are presenting more overconfident than optimistic fund managers. The more funds a fund manager runs, the easier he/she would be tending to be overconfidence. Finally, when fund companies adopt the step by step or group discussion decision-making strategy, their fund managers would toward to be more overconfidence.
第一章 緒論 1
第一節 研究背景 1
第二節 研究動機與目的 4
第三節 研究架構 5
第二章 文獻探討 7
第一節 行為財務理論模型 7
第二節 過度自信的理論基礎 7
第三節 國內外相關文獻 9
第三章 研究方法 11
第一節 研究架構 11
第二節 資料來源與問卷設計 12
第三節 分析方法 19
第四章 實證結果 22
第一節 樣本結構分析 22
第二節 信度分析及效度分析 34
第三節 基金經理人個人特徵變數與過度自信 37
第四節 基金及基金公司變數與過度自信 45
第五節 二元分類對數模型之迴歸分析 49
第五章 結論 55
參考文獻 57
中文文獻 57
英文文獻 58
附錄 61
參考文獻
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