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題名 共同基金投資者是否過早實現獲利?
Do mutual fund investors realize gains too early?作者 邱雯儀
Chiu, Wen-Yi貢獻者 陳鴻毅
邱雯儀
Chiu, Wen-Yi關鍵詞 基金流量
基金績效
處分效果
Fund flow
Fund performance
Disposition effect日期 2017 上傳時間 11-Jul-2017 11:27:55 (UTC+8) 摘要 本論文主要研究共同基金投資者是否存在處分效果之行為偏誤，即共同基金投資者是否過早實現獲利的部位並保留損失的部位。本論文運用基金過去績效推論投資者基金部位的損益，並利用基金流量判斷投資者是否賣出或繼續持有基金。實證結果顯示整體基金投資者對過去正報酬基金的贖回程度並不顯著異於過去負報酬的基金，唯部分基金投資者在面對高報酬基金時才傾向實現獲利。本論文亦發現投資者實現獲利的基金除了具有高報酬之外，其費用率亦較未實現獲利的基金高。本研究因此推論基金高額費用率是投資者實現獲利之主因。最後，本研究發現基金投資者所賣出的高報酬基金其未來績效劣於買進的高報酬基金。因此本研究認為基金投資者實現獲利之行為是基於理性考量，即考慮基金之持有成本及其未來展望而做的決策，並非處分效果之行為偏誤所致。
The main purpose of this study is to investigate the existence of the disposition effect, selling winners too early and holding losers too long, among mutual fund investors. Specifically, this study examines the relationship between the fund performance and fund flows to see whether mutual fund investors tend to realize their profits too early. Empirical results show that fund investors do not sell more mutual funds with positive returns than those with negative returns, while some fund investors tend to sell mutual funds with returns in the highest quintile group. In addition, this study finds that the high-return mutual funds sold by fund investors have higher expense ratios, indicating that the expense ratio may be one of the key factors of the selling decision of fund investors. Finally, in terms of the future performance, high-return mutual funds sold by fund investors perform worse than high-return mutual funds held by fund investors. This study, therefore, demonstrates that the tendency of selling winners in the mutual fund investment is under the consideration of the holding cost and future performance of mutual funds rather than the disposition effect of fund investors.參考文獻 Annaert, J., Heyman, D., Vanmaele, M., Osselaer, S.V., 2008. “Disposition bias and overconfidence in institutional trades.” Working Paper, Antwerp University and Ghent University.Carhart, M., 1997. “On persistence in mutual fund performance.” Journal of Finance 52, 57-82.Chevalier, J., Ellison, G., 1997. “Risk taking by mutual funds as a response to incentives.” Journal of Political Economy 105, 1167-1200.Cici, G., 2010. “The relation of the disposition effect to mutual fund trades and performance.” Working Paper, College of William and Mary.Coval, J., Shumway, T., 2005. “Do behavioral biases affect prices?” Journal of Finance 60, 1-34.Fama, E.F., French, K.R., 1993. “Common risk factors in the returns on stocks and bonds.” Journal of Financial Economics 33, 3-53.Ferris, S.P., Haugen, R.A., Makhija, A.K., 1988. “Predicting contemporary volume with history volume at differential price levels: Evidence supporting the disposition effect.” Journal of Finance 43, 677-699.French, K.R., 2008. “The cost of active investing.” Journal of Finance 63, 1537-73.Garvey, R., Murphy, A., 2004. “Are professional traders too slow to realize their losses?” Financial Analysts Journal (July/August), 35-43.Grinblatt, M., Kelojarju, M., 2001. “What makes investors trade?” Journal of Finance 56, 589-616.Gruber, M., 1996. “Another puzzle: The growth in actively managed mutual funds.” Journal of Finance 51, 783-810.Ippolito, R. A., 1992. “Consumer reaction to measure of poor quality: Evidence from the mutual fund industry.” Journal of Law and Economic 35, 45-70.Jensen, M.C., 1968. “The performance of mutual funds in the period 1945-1964.” Journal of Finance 23, 389-416.Jin, L., Scherbina, A., 2011. “Inheriting losers.” Review of Financial Studies 24, 786-820.Kahneman, D., Tversky, A., 1979. “Prospect theory: An analysis of decision under risk.” Econometrica 47, 263-291.Khorana, A., Servaes, H., Tufano, P., 2009. “Mutual fund fees around the world.” Review of Financial Studies 22, 1279–1310.Lakonishok, J., Smidt, S., 1986. “Volume for winners and losers: Taxation and other motives for stock trading.” Journal of Finance 41, 951-97.Locke, P., Mann, S.C., 2005. “Professional trader discipline and trade disposition.” Journal of Financial Economics 76, 401-444.Odean, T., 1998. “Are investors reluctant to realize their losses?” Journal of Finance 53, 1775-1798.Shapira, Z., Venezia, I., 2001. “Patterns of behavior of professionally managed and independent investors.” Journal of Banking and Finance 25, 1573-1587.Shefrin, H., Statman, M., 1985. “The disposition to sell winners too early and ride losers too long: Theory and evidence.” Journal of Finance 40, 777-790.Sirri, E.R., Tufano, P., 1998. “Costly search and mutual fund flows.” Journal of Finance 53, 1589-1622.Weber, M., Camerer, C.F., 1998. “The Disposition Effect in Securities Trading: An Experimental analysis.” Journal Economic Behavior & Organization 33, 167-184.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. 描述 碩士
國立政治大學
財務管理研究所
104357006資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104357006 資料類型 thesis dc.contributor.advisor 陳鴻毅 zh_TW dc.contributor.author (Authors) 邱雯儀 zh_TW dc.contributor.author (Authors) Chiu, Wen-Yi en_US dc.creator (作者) 邱雯儀 zh_TW dc.creator (作者) Chiu, Wen-Yi en_US dc.date (日期) 2017 en_US dc.date.accessioned 11-Jul-2017 11:27:55 (UTC+8) - dc.date.available 11-Jul-2017 11:27:55 (UTC+8) - dc.date.issued (上傳時間) 11-Jul-2017 11:27:55 (UTC+8) - dc.identifier (Other Identifiers) G0104357006 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/110792 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 104357006 zh_TW dc.description.abstract (摘要) 本論文主要研究共同基金投資者是否存在處分效果之行為偏誤，即共同基金投資者是否過早實現獲利的部位並保留損失的部位。本論文運用基金過去績效推論投資者基金部位的損益，並利用基金流量判斷投資者是否賣出或繼續持有基金。實證結果顯示整體基金投資者對過去正報酬基金的贖回程度並不顯著異於過去負報酬的基金，唯部分基金投資者在面對高報酬基金時才傾向實現獲利。本論文亦發現投資者實現獲利的基金除了具有高報酬之外，其費用率亦較未實現獲利的基金高。本研究因此推論基金高額費用率是投資者實現獲利之主因。最後，本研究發現基金投資者所賣出的高報酬基金其未來績效劣於買進的高報酬基金。因此本研究認為基金投資者實現獲利之行為是基於理性考量，即考慮基金之持有成本及其未來展望而做的決策，並非處分效果之行為偏誤所致。 zh_TW dc.description.abstract (摘要) The main purpose of this study is to investigate the existence of the disposition effect, selling winners too early and holding losers too long, among mutual fund investors. Specifically, this study examines the relationship between the fund performance and fund flows to see whether mutual fund investors tend to realize their profits too early. Empirical results show that fund investors do not sell more mutual funds with positive returns than those with negative returns, while some fund investors tend to sell mutual funds with returns in the highest quintile group. In addition, this study finds that the high-return mutual funds sold by fund investors have higher expense ratios, indicating that the expense ratio may be one of the key factors of the selling decision of fund investors. Finally, in terms of the future performance, high-return mutual funds sold by fund investors perform worse than high-return mutual funds held by fund investors. This study, therefore, demonstrates that the tendency of selling winners in the mutual fund investment is under the consideration of the holding cost and future performance of mutual funds rather than the disposition effect of fund investors. en_US dc.description.tableofcontents 摘要 IAbstract IIContents IIIList of Tables IV1.Introduction 12.Literature Review 42.1 Fund Performance and Fund Flow 42.2 Disposition Effect 52.3 Hypothesis Development 73.Data and Methodology 103.1 Data 103.2 Methodology 113.2.1 Methodology to Test Hypothesis 1 113.2.2 Methodology to Test Hypothesis 2 133.2.3 Methodology to Test Hypothesis 3 143.2.4 Definition of Fund Flows 153.2.5 Measure of Fund Previous Performance 163.2.6 Measure of Fund Future Performance 174.Empirical Results 184.1 Investors Selling Decision 184.2 The Effect of the Expense Ratio on Selling Decisions 214.3 Future Performance between Realized-Gains and Unrealized-Gains Groups 225.Conclusion and Further Research 245.1 Conclusion 245.2 Suggestion for Further Research 24References 25 zh_TW dc.format.extent 1405771 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104357006 en_US dc.subject (關鍵詞) 基金流量 zh_TW dc.subject (關鍵詞) 基金績效 zh_TW dc.subject (關鍵詞) 處分效果 zh_TW dc.subject (關鍵詞) Fund flow en_US dc.subject (關鍵詞) Fund performance en_US dc.subject (關鍵詞) Disposition effect en_US dc.title (題名) 共同基金投資者是否過早實現獲利? zh_TW dc.title (題名) Do mutual fund investors realize gains too early? en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Annaert, J., Heyman, D., Vanmaele, M., Osselaer, S.V., 2008. “Disposition bias and overconfidence in institutional trades.” Working Paper, Antwerp University and Ghent University.Carhart, M., 1997. “On persistence in mutual fund performance.” Journal of Finance 52, 57-82.Chevalier, J., Ellison, G., 1997. “Risk taking by mutual funds as a response to incentives.” Journal of Political Economy 105, 1167-1200.Cici, G., 2010. “The relation of the disposition effect to mutual fund trades and performance.” Working Paper, College of William and Mary.Coval, J., Shumway, T., 2005. “Do behavioral biases affect prices?” Journal of Finance 60, 1-34.Fama, E.F., French, K.R., 1993. “Common risk factors in the returns on stocks and bonds.” Journal of Financial Economics 33, 3-53.Ferris, S.P., Haugen, R.A., Makhija, A.K., 1988. “Predicting contemporary volume with history volume at differential price levels: Evidence supporting the disposition effect.” Journal of Finance 43, 677-699.French, K.R., 2008. “The cost of active investing.” Journal of Finance 63, 1537-73.Garvey, R., Murphy, A., 2004. “Are professional traders too slow to realize their losses?” Financial Analysts Journal (July/August), 35-43.Grinblatt, M., Kelojarju, M., 2001. “What makes investors trade?” Journal of Finance 56, 589-616.Gruber, M., 1996. “Another puzzle: The growth in actively managed mutual funds.” Journal of Finance 51, 783-810.Ippolito, R. A., 1992. “Consumer reaction to measure of poor quality: Evidence from the mutual fund industry.” Journal of Law and Economic 35, 45-70.Jensen, M.C., 1968. “The performance of mutual funds in the period 1945-1964.” Journal of Finance 23, 389-416.Jin, L., Scherbina, A., 2011. “Inheriting losers.” Review of Financial Studies 24, 786-820.Kahneman, D., Tversky, A., 1979. “Prospect theory: An analysis of decision under risk.” Econometrica 47, 263-291.Khorana, A., Servaes, H., Tufano, P., 2009. “Mutual fund fees around the world.” Review of Financial Studies 22, 1279–1310.Lakonishok, J., Smidt, S., 1986. “Volume for winners and losers: Taxation and other motives for stock trading.” Journal of Finance 41, 951-97.Locke, P., Mann, S.C., 2005. “Professional trader discipline and trade disposition.” Journal of Financial Economics 76, 401-444.Odean, T., 1998. “Are investors reluctant to realize their losses?” Journal of Finance 53, 1775-1798.Shapira, Z., Venezia, I., 2001. “Patterns of behavior of professionally managed and independent investors.” Journal of Banking and Finance 25, 1573-1587.Shefrin, H., Statman, M., 1985. “The disposition to sell winners too early and ride losers too long: Theory and evidence.” Journal of Finance 40, 777-790.Sirri, E.R., Tufano, P., 1998. “Costly search and mutual fund flows.” Journal of Finance 53, 1589-1622.Weber, M., Camerer, C.F., 1998. “The Disposition Effect in Securities Trading: An Experimental analysis.” Journal Economic Behavior & Organization 33, 167-184.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. zh_TW
