本篇論文中，我們利用積極比例(Active Share)作為基金經理人的行為指標，觀察過去績效是否會讓經理人更積極管理，我們研究2003年至2012年台灣一般型股票型共同基金共124個樣本，並將基金依過去績效分為四組。我們發現基金上一季績效在前25%與最後25%的基金在下一季其積極比例會明顯較高，而且績效越好與越差者，積極比例會越高，過去績效與積極比例呈現U型關係。若延長績效衡量期間至前兩季與前三季，發現前兩季與前三季績效較佳者，基金在年底會有較高的積極比例；前兩季與前三季績效較差者卻不影響年底積極比例，顯示之前表現好的基金會為了全年績效與年終排名而更加積極，而基金經理人只會因為上一季表現較差而改變策略。最後，我們分析較高的積極比例是否會影響基金當季的績效，我們發現基金績效與積極比例成正比，表示基金經理人因過去績效好而提高積極比例並不會損害投資人的報酬，依積極比例來看台灣基金經理人並沒有過度自信的行為。

In this paper, we use active share as a measurement of fund manager’s behavior to examine whether past performance would affect active share of mutual funds. We document 124 Taiwan General Equity Mutual Funds from the time period of 2003 to 2012, and we divide the fund into four groups according to their performance. We found that fund with last quarter’s performance in first and last performance quartile would have significant higher active share. Furthermore, fund with better and worse past performance would have higher active share. Therefore, there is a U-shaped relationship between active share of mutual funds and past performance. When we lengthen the measurement of fund performance to fund return of first half year and first three quarters, we found that fund with better performance in first half year and first three quarters would have higher active share at the end of the year; however, bad performance in first half year and first three quarters would not affect active share of mutual funds. The result showed that fund with better performance would be more active to obtain better ranking and compensation. Finally, we found that there is a positive relationship between active share and fund performance, so funds with higher performance would not harm the investors. It indicates that fund managers do not have overconfident behavior, and increasing active share would not harm fund performance.

口試委員會審定書 i
誌謝 ii
中文摘要 iii
ABSTRACT iv
Chapter 1 Introduction 1
Chapter 2 Literature Review 3
2.1 Overconfidence behavior of investors 3
2.2 Fund performance and active management 4
2.3 Active share as a measurement of active management 5
Chapter 3 Data and Methodologies 6
3.1 Methodologies 6
3.1.1 Measurement of Active Share 6
3.1.2 Measurement of Fund Performance 7
3.2 Data and Sample Selection 8
Chapter 4 Empirical Results 9
4.1 The impact of last season’s performance on the active share 10
4.2 The impact of first half year’s performance on active share 20
4.3 The impact of performance of first three quarters on active share 26
4.4 Active Share and Fund Performance 32
Chapter 5 Conclusion 36
References 39

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