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研究生:楊欣盈
研究生(外文):Hsin Ying Yang
論文名稱:處分效果和強化承諾對基金績效及流量之影響
論文名稱(外文):The Effects of Disposition and Escalation of Commitment on Mutual Fund Performance and Flows
指導教授:王祝三王祝三引用關係
指導教授(外文):C. Edward Wang
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:企業管理學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2010
畢業學年度:98
語文別:中文
論文頁數:45
中文關鍵詞:處分效果強化承諾基金績效基金流量
外文關鍵詞:Disposition EffectEscalation of CommitmentFund PerformanceFund Flow
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  過去文獻發現台灣基金經理人存在出盈保虧的「處分效果」及對帳面有虧損的股票持續加碼的「強化承諾」行為,然而卻未衡量其長期績效及長短期流量情形,並且在衡量績效時未考量系統風險。本文之研究目的即為探討基金經理人之此兩種投資行為對長短期異常績效及流量的影響。
  本研究證實我國約40%的基金經理人存在處分效果與強化承諾的行為,而其效果對績效及流量之衝擊如下。一、處分效果對基金流量負面影響僅存在於短期,長期則無影響;相反地強化承諾對基金流量的負面影響僅存在於長期,短期則無影響。二、強化承諾對異常報酬之負面影響僅侷限於短期,而長期有正向效果;處分效果則無論持有期之長短,對異常報酬皆為正向影響。本文之實證結果隱含可能是因台灣股市之散戶投資人居多,使得股票常有暴漲暴跌的過度反應現象,因此基金經理人從事賣出贏家股、甚至加碼輸家股的反向操作策略,反而可以得到更高的投資績效。
The literature reveals that mutual fund managers in Taiwan suffer from the disposition effect, i.e., they tend to hold losers too long and sell winners too early, and escalation of commitment, i.e., they tend to invest more money in losers. But prior studies didn’t measure the effects on long-term returns and flows, especially they failed to consider systematic risks when measuring returns.This thesis addresses these issues and examines the managerial behaviors on the fund performance and flows from both the short- and long-term approaches.
This research first shows that 40% of mutual fund managers in Taiwan are exposed to the disposition effect and escalation of commitment. The major findings are as follows. First, the escalation of commitment has negative impacts on abnormal returns in short-term, but the long-term influences are positive. In contrast, the impacts of the disposition effect are positive in both long-term and short-term. The empirical results imply that those mutual fund managers who possess these two behaviors can enjoy superior fund performance in the long-term. Second, the disposition effect has negative impacts on fund flows for short-term holding period, but not for long-term. In contrast the commitment bias has negative impacts on fund flows for long-term, but not for short-term.
目錄

謝辭 I
中文論文提要 II
ABSTRACT III
目錄 IV
表次 VI
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 論文架構 5
第貳章 文獻探討 6
第一節 處分效果之驗證及與基金績效之關係 6
第二節 處分效果與基金流量之關係 8
第三節 強化承諾之驗證及與基金績效之關係 9
第参章 研究設計 10
第一節 研究假說 10
第二節 研究樣本與研究期間 11
第三節 研究方法 12
第肆章 實證結果 18
第一節 敘述性統計 18
第二節 處分效果與強化承諾之檢驗 20
第三節 處分效果和強化承諾對基金報酬之影響 21
第四節 處分效果和強化承諾對基金流量之影響 27
第伍章 結論與建議 29
第一節 結論 29
第二節 研究限制與建議 30
附錄一 形成期三個月處分效果與強化承諾對基金原始報酬之影響 32
附錄二 形成期六個月處分效果與強化承諾對基金原始報酬之影響 33
附錄三 形成期三個月處分效果與強化承諾對基金異常報酬之影響
(控制市場因子) 34
附錄四 形成期六個月處分效果與強化承諾對基金異常報酬之影響
(控制市場因子) 35
附錄五 形成期三個月處分效果與強化承諾對基金異常報酬之影響
(控制市場因子、價值及規模因子) 36
附錄六 形成期六個月處分效果與強化承諾對基金異常報酬之影響
(控制市場因子、價值及規模因子) 37
附錄七 形成期十二個月處分效果與強化承諾對基金異常報酬之影響
(控制市場因子、價值及規模因子) 38
附錄八 形成期三個月處分效果與強化承諾對基金流量之影響 39
附錄九 形成期六個月處分效果與強化承諾對基金流量之影響 40
參考文獻 41

表次
表 1 共同基金相關敘述統計表 19
表 2 各形成期投資組合之處分價差(DISP)與承諾差距(ESCA) 21
表 3 處分效果與強化承諾對基金原始報酬之影響 22
表 4 處分效果與強化承諾對基金異常報酬之影響(控制市場因子) 26
表 5 處分效果與強化承諾對基金流量之影響 28
參考文獻
一、中文部分
1.白芳苹(2002),「基金投資人之錯置效果-台灣地區實證研究」,國立台灣大學財務金融所碩士論文。
2.周賓凰、池祥萱、林煜恩(2009),「處份效果、強化承諾與共同基金績效」,《管理評論》,第28卷第4期,1-18。
3.郭敏華(2008),《行為財務學》,台北:智勝文化。
4.郭迺鋒、康毓紋、陳美琇(2007),「國內共同基金投資人處分效果之行為研究-處分係數法之應用」,《貨幣觀測與信用評等》,第67期,52-69。
5.許保忠(2005),「台灣股市處分效果之研究」,《台灣金融財務季刊》,第6輯第2期,21-33。
6.黃少宣(2006),「處分效果是否會影響基金績效?」,國立東華大學國際經濟所碩士論文。
7.劉靜樺(2006),「IPO錯置效果對股票報酬率影響之探討-錯置差距之應用」,義守大學財務金融所論文。
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13.Harrison, P. and A. Harrell, 1994,“An Incentive to Shirk Privately Held Information, and Managers’ Project Evaluation Decisions,”Accounting, Organizations and Society 19(7), 569-577.
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20.Odean, T., M. A. Strahilevitz and B. M. Baber, 2004,“Once Burned, Twice Shy: How Naive Learning and Counterfactuals Affect the Repurchase of Stocks Previously Sold,”Working Paper, University of Arizona.
21.Rutledge, R. W. and K. E. Karim, 1999 “The Influence of Self-Interest and Ethical Considerations on Managers’ Evaluation Judgments,”Accounting, Organizations and Society 24(2), 173-184.
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24.Singal V., T. Virginia and Z. Xu, 2009, “Selling Winners, Holding Losers:
Effect on Fund Flows and Survival of Disposition-Prone Mutual Funds,” Working Paper, Washington State University.
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27.Thaler, Richard H. 1980, “Toward a Positive Theory of Consumer Choice,” Journal of Economic Behavior and Organization 1, 39-60.
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29.Wermers, R., 2003, “Is Money Really "Smart"? New Evidence on the Relation between Mutual Fund Flows, Manager Behavior, and Performance Persistence,”Working Paper, University of Maryland.
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