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研究生:林宣成
研究生(外文):Lin, Syuan-Cheng
論文名稱:基金經理人過度自信對從眾行為之影響
論文名稱(外文):The Effect of Fund Manager Overconfidence on Herding Behavior
指導教授:黃志仁黃志仁引用關係
指導教授(外文):Huang, Chih-Jen
口試委員:何月芳王南喻
口試委員(外文):Ho, Yueh-FangWang, Nan-Yu
口試日期:2016-06-07
學位類別:碩士
校院名稱:靜宜大學
系所名稱:財務金融學系
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:2016
畢業學年度:104
語文別:中文
論文頁數:41
中文關鍵詞:從眾行為過度自信基金經理人
外文關鍵詞:HerdingOverconfidenceFund managers
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Menkhoff(2006)指出當基金經理人過度自信程度較高、較低程度的從眾行為或風險趨避較低時,基金經理人的風險承擔會較高,因而本研究主要針對基金經理人之行為進行探討,以2005年至2014年台灣股票型一般式開放型基金為研究樣本,是文獻上首度探討「基金經理人過度自信程度是否會對其從眾行為產生影響」的研究。以落後三期之過度自信為解釋變數,實證結果顯示績效較優之基金中,過度自信對從眾行為呈現顯著之負向影響。綜合以上結果,表示過度自信程度較高的基金經理人,在交易上較不會從眾。進一步分別以金融海嘯、基金規模、成立時間及市場多、空頭探討經理人過度自信與從眾行為之間的關係,並未發現四者對上述結論具有影響。
Menkhoff (2006) finds that fund managers with higher degree of overconfidence, lower degree of herding, or lower degree of risk aversion have higher risk taking behavior. The main objective of our study discusses behavior of fund manager. This is the first research to explore the relation between fund manager overconfidence and the magnitude of herding behavior. We use open-ended equity funds as the sample from 2005 to 2014, using three-period lagged overconfidence as the independent variable. The results show that funds with better prior performance. Overconfidence has negative impact on the magnitude of herding. The above evidence indicates that overconfident fund managers are less likely to herd in trading. We further find that financial crisis, fund size, fund age, and market condition do not affect behavior.
摘要 I
Abstract II
1.緒論 1
1.1 研究背景與動機 1
1.2 研究架構 4
2.文獻回顧及假說 5
2.1 過度自信相關文獻 5
2.2 從眾行為相關文獻 6
2.3 從眾行為與績效相關文獻 8
3.研究方法 9
3.1 研究樣本與資料來源 9
3.2 研究方法 9
3.3 變數 9
3.4 研究模型 11
3.5 變數表 14
4.實證結果與分析 15
4.1 敘述性統計分析 15
4.2 相關係數 15
4.3 金融海嘯與非金融海嘯期間差異性檢定 15
4.4 績效優劣差異性檢定 16
4.5 規模大小差異性檢定 16
4.6 成立時間長短差異性檢定 17
4.7 市場多空頭差異性檢定 17
4.8 過度自信對從眾行為影響全樣本迴歸分析 18
4.9 過度自信對從眾行為影響分組迴歸分析 18
5.結論 22
參考文獻 23
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