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研究生:葉亭妤
研究生(外文):YEH, TING-YU
論文名稱:共同基金持有過度自信的股票是否影響其報酬?
論文名稱(外文):Does mutual fund holding overconfidence constituents influence performance?
指導教授:黃介良黃介良引用關係
指導教授(外文):HUANG, CHAI-LIANG
口試委員:雲慕書張瑞娟
口試委員(外文):YUN, MU-SHUCHANG, JUI-CHUAN
口試日期:2020-07-16
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融系研究所
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:2020
畢業學年度:108
語文別:英文
論文頁數:92
中文關鍵詞:基金表現過度自信經理人
外文關鍵詞:Fund performanceOverconfident CEOUnintentionalIntentional
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本篇論文,以實證方式研究過度自信經理人所領導下的公司與共同基金表現的關係。我們研究標的著重於美國2004年至2014年的積極成長型基金、成長型基金、與收益型基金,同時以三種過度自信的指標來衡量過度自信的公司經理人,並以報酬、風險、夏普比率來衡量共同基金的表現。

實證結果顯示,無論是在起始年、一年、或是三年後,收益型基金與成長型基金的表現,與持有過度自信的股票呈現負向關係,因此,我們認為收益型基金與成長型基金的經理人,是無意持有過度自信的股票。

相反的,另一個結果顯示,積極成長型的基金在起始年時,過度自信的股票與基金的表現呈現正向關係,但是在隨後的一年與三年後,這樣的優勢便逐漸消失,因此,我們認為積極成長型的基金經理人在短期內是有意持有過度自信的股票,並且能夠通過這樣的方式賺取報酬。
In this thesis, we empirically examine on the relation between holding of overconfident constituents and mutual fund performance. We focus on income, growth and aggressive growth funds, since theses three types of funds have different investment strategies and investments targets. We collect data from Morningstar database during 2004-2014, use three overconfidence indicators to present the holding of overconfident constituents, and measure performance of mutual funds in return, fund risk and Sharpe ratio.

The empirically results show that the nexus between overconfident stock holding and fund performance is negative no matter in the beginning year or in the long run in the income funds and growth funds. Therefore, we could recognize the fund manager of income fund and growth fund is unintentionally holding such overconfident equities.

Conversely, the results show that the nexus between overconfident stocks and performance is positive for aggressive growth funds. However, the advantage of holding overconfident stocks gradually disappear in the next one and three years. This means that the manager of aggressive growth fund intentionally holds such overconfident equities in the short-term to make profit.

Chapter One Introduction 1
Chapter Two Literature Review 3
2.1. Positive Performance with Overconfidence. 3
2.2. Negative Performance with Overconfidence. 5
2.3. Overconfidence Evidence from Professional Investors 7
2.4. Funds Concentration and Diversification 8
2.5. Manager Characteristics 10
2.6. Mutual Fund Characteristics 11
Chapter Three Data Description and Research Design 13
3.1. Data 13
3.2. Research Design 13
3.3. Models 17
3.4. Summary Statistic 19
Chapter Four Empirical Results 23
4.1. Income Fund 23
4.1.1. The Relation between Holding Overconfident Constituents and Fund Performance in Income Funds. 23
4.1.2. The Relation Between Concentration and Overconfidence in Income Fund. 31
4.1.3. The Relation between Holding Overconfident Constituents and Fund Performance in the next One Year in Income Fund. 33
4.1.4. The Relation between Holding Overconfident Constituents and Fund Performance in the next Three Year in Income Fund. 39
4.2. Growth Funds 44
4.2.1. The Relation between Holding Overconfident Constituents and Fund Performance in Growth Fund. 44
4.2.2. The Relation Between Concentration and Overconfidence in Growth Fund. 51
4.2.3. The Relation between Holding Overconfident Constituents and Fund Performance in the next One Year in Growth Fund. 53
4.2.4. The Relation between Holding Overconfident Constituents and Fund Performance in the next Three Year in Growth Fund. 59
4.3. Aggressive Growth Funds 65
4.3.1. The Relation between Holding Overconfident Constituents and Fund Performance in Aggressive Growth Fund. 65
4.3.2. The Relation Between Concentration and Overconfidence in Aggressive Growth Fund. 72
4.3.3. The Relation between Holding Overconfident Constituents and Fund Performance in the next One Year in Aggressive Growth Fund. 74
4.3.4. The Relation between Holding Overconfident Constituents and Fund Performance in the next Three Year in Aggressive Growth Fund. 80
Chapter Five Conclusion 87
Reference 89

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