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研究生:蔡宗霖
研究生(外文):Tsung-Lin Tsai
論文名稱:機構投資人交易行為與基金淨流入之關係:以台灣股票型基金為例
論文名稱(外文):Institutional Buying Behavior and Net Fund Inflow: Empirical Study on Taiwanese Equity Mutual Fund
指導教授:邱顯比邱顯比引用關係
指導教授(外文):Shean-Bii Chiu
口試委員:陳明賢陳彥行
口試委員(外文):Ming-Shen ChenYan-Shing Chen
口試日期:2015-06-25
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
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:2015
畢業學年度:103
語文別:中文
論文頁數:32
中文關鍵詞:行為財務學機構投資人資金流買進決策基金績效
外文關鍵詞:Behavioral FinanceInstitutional InvestorFund FlowBuying decisionFund Performance
相關次數:
  • 被引用被引用:1
  • 點閱點閱:125
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本研究以2001至2014年所有台灣開放式股票型基金為樣本,觀察當基金經理人遇到資金淨流入時,傾向採取何種買進策略,及該策略對於基金績效與後續資金流的影響,即連結資金流-買進策略-績效三個構面,並以行為財務理論解釋所觀察到的現象。
本研究最主要的結論為,當面對資金淨流入時,基金經理人傾向加碼原有的持股,而非找尋新的標的,而這樣的行為有助於基金後續績效勝過其他基金,表示基金經理人因過去績效好而吸引資金流入,自信因而受到強化,因此相信自己原先的判斷而加碼原持股,且比起其他面對淨流出的競爭對手,更有餘裕地加碼持股中動能較差的股票,實證研究顯示這類被贏家基金選中、過去表現差的股票,對於基金長期績效有正面貢獻,此亦可歸因台股基金經理人之績效於選股能力之差異,即能力強的經理人本就持有潛在具上漲空間的股票,而資金流入則給予其等待市場調整股價的空間。本研究亦發現台股經理人無論在淨流入或流出時,皆不受處分效果的影響,與過去以台灣為樣本的實證結果不同。


This study focuses on the fund managers’ buying decision following net fund inflow. Observations of the behavior of Taiwanese equity mutual fund managers are made within 2001-14 time frame. I demonstrate how the fund flows affect the fund managers’ buying behavior and how the behavior affects future performance and subsequent fund flows.
The main finding of this study is fund managers tend to invest in the stocks they already have when facing net fund inflows, which increases the funds’ performance compared to other competitors’ and attract further inflows. This indicates fund inflows allow fund managers to gain confidence and provide them room to wait for the market to correct the undervalued stocks and enjoy persistent performance. Also, unlike previous studies, I found that Taiwanese fund managers do not show disposition effect.


第一章、 緒論 1
第二章、 文獻回顧 2
2.1 基金績效與資金流向的關係 2
2.2交易策略分類的定義 2
2.3行為財務學理論 3
2.4資金流(Fund flow)對基金交易策略的影響 4
第三章、 研究假說 6
第四章、 研究方法 9
4.1 樣本 9
4.2 基金績效與資金流關係之衡量 10
4.3 交易策略比重衡量 11
4.4 衡量交易策略與基金績效之關係 12
第五章、 實證結果 14
5.1 基金績效與資金流之關係 14
5.2 資金流與交易行為之關係 15
5.3 交易行為對基金績效的影響 21
5.4 資金流、交易策略、資金流三者之連結 25
參考文獻 27
附錄一、 處分效果:台股基金實證研究 31


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