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題名 台灣基金經理人背景對過度自信行為與處分效果行為的影響
Impact of Taiwan Fund Manager Background on overconfidence behavior and disposition effect作者 廖紹甯
Liao, Shao-Ning貢獻者 周冠男
Chou, Robin K.
廖紹甯
Liao, Shao-Ning關鍵詞 基金經理人
行為財務
過度自信
處分效果
fund manager
behavior finance
overconfidence
disposition effects日期 2020 上傳時間 1-Jul-2020 13:40:05 (UTC+8) 摘要 市場上常爭論，人們在進行財務決策時究竟為理性抑或是不理性，而主張人們僅具有限理性最著名的學派就是行為財務學，認為人們可能受到個人思維、情緒所影響，而做出非理性的行為。本文以2013~2017年台灣市場的基金經理人在投資時所產生的行為切入，探討其在進行投資時，是否會出現不理性的行為如過度自信、處分效果，即透過觀察當期的買賣週轉率是否受到前期報酬率影響，如當期買進週轉率與前期報酬率顯著為正向關係，則歸類為過度自信；如當期賣出週轉率與前期報酬率顯著為正向關係，則歸類為處分效果。將所有132位基金經理人歸類後，進一步探討出現過度自信、處分效果的基金經理人，是否會受其背景如性別、學校屬性、科系、學位、入行時間影響。最終結果顯示，不論基金經理人的性別、學校屬性、科系、學位、入行時間，皆不影響其出現過度自信、處分效果的行為，表示無法依照經理人的背景去預測其是否會做出不理性的投資決策行為。
It was often argued in the market that whether people are rational or irrational in financial decision-making. The most famous school which advocated people have only limited rationality is the behavior finance school. They believed that people who act irrationally may affected by such as personal thinking and internal emotions.Based on the investment behavior of Taiwan’s fund managers from 2013 to 2017, this paper explored whether fund managers will appear irrational behavior such as overconfidence and disposition effects during investing. The methodology how we evaluate irrational behavior was to observe whether the fund turnover rate in current period will be affected by the previous return rate. If the current buying turnover rate and the previous return rate are significantly positive related, we classified as overconfidence；if the current selling turnover rate and the previous return rate are significantly positive related, we classified as disposition effects. After classifying all 132 fund managers, we further discuss whether fund managers with overconfidence and disposition effect will be affected by their backgrounds such as gender, university property, departments, degrees and entry time.The results showed that regardless of the gender, university property, departments, degrees and entry time of the fund managers, it will not affect their behavior of overconfidence and disposition effects. It means that it is difficult to predict whether the fund manager will make irrational investment decisions according to their backgrounds.參考文獻 1.池祥萱, 林煜恩, 與周賓凰(2009), “處份效果、強化承諾與共同基金績效,”《管理評論》, 28, 1–18。(Chih, Hsiang-Hsuan, Yu-En Lin, and Ping-Huang Chou (2009), “Disposition Effects, Escalation of Commitment and Mutual Fund Performance,” Management Review, 28, 1–18.)2.林美珍與馬麗菁(2012), “基金經理人交易行為及其影響因素之研析,” 《管理與系統》, 19, 495–525。(Lin, Mei-Chen and Li-Ching Ma (2012),“Trading Behavior and Influential Factors of Mutual Fund Managers,” Journal of Management and Systems, 19, 495–525.)3.郭敏華, 郭迺鋒, 邱耀初, 與范秉航(2005), “性別與投資行為: 以台灣股票市場為例,” 《財務金融學刊》, 13, 1–28。(Kuo, Min-Hua, Nai-Fong Kuo, Yao-Chu Chiu, and Ping-Hang Fan (2005), “Gender and Investment Behavior: On Taiwanese Individual Investors,” Journal of Financial Studies, 13, 1–28.)4.許培基, 陳軒基, 與黃淑貞(2005), “基金經理人為何出現群集行為,” 《管理評論》, 24, 57–81。(Shu, Pei-Gi, Hsuan-Chi Chen, and Shu-Zhen Huang (2005), “WhyDoMutual FundManagers Trade inHerd?”Management Review, 24, 57–81.)5.蔡孟谷(2014), “基金經理人教育背景與基金績效之關連,” 碩士論文, 嘉義, 國立中正大學企業管理研究所 (Tsai (2014), “Fund Manager Education and Fund Performance,” thesis, Chiayi, Master of Business Administration in National Chung Cheng University)6.Barber, Brad M. and Terrance Odean (2000), “Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors,” Journal of Finance, 55, 773–806.7.Barber, Brad M., Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean (2007). ”Is the Aggregate Investor Reluctant to Realize Loss? Evidence From Taiwan,” European Financial Management, 13, 423–447.8.Chou, Robin K., Yun-Yi Wang, and Xuemin Yan (2010), “Patterns and Consequences of the Disposition Effect,” The 18th Conference on the Theories and Practices of Securities and Financial Markets, Kaohsiung: National Sun Yat-sun University.9.Chow, Edward H., Hsiao-Mei Lin, Yo-Min Lin, and Yin-CheWeng (2011), ”The Performance of Overconfident fund Managers,” Emerging Market Finance and Trade, 47, 21–30.10.Chou, Robin K. and Yun-Yi Wang (2011), “A Test of the Different Implications of the Overconfidence and Disposition Hypotheses,” Journal of Banking and Finance, 35, 2037–2046.11.De Bondt, Werner F. M. and Richard Thaler (1995), “Financial Decision-Making in Markets and Firms: A Behavioural Perspective,” in V. Maksimovic R. Jarrow and W. T. Ziemba (eds.), Handbook of Operations Research and Management Science, vol. 9, Amsterdam: North Holland, 385–410.12.Gervais, Simon and Terrance Odean (2001), “Learning to be Overconfident,” Review of Financial Studies, 14, 1–27.13.Gong and Wright (2013), “Investor Characteristics and the Disposition Effect,” Business school of the university of Sydney.14.Hastorf, A. H., D. J. Schneider, and J. Polefka (1970), “Person Perception,” Addison-Wesley, Reading, Mass.15.Hsu, Kuang-Hua and Ping-Wei Lin (2005), “A Study on Disposition Effect of Individual Investors: Empirical Findings Taking into Account Market Valuations,” Journal of Management, 22, 85–107.16.Jin and Scherbina (2004), “Disposition Effect Among Mutual Fund Managers,” Finance Department of Harvard Business School.17.Kahneman, D., Tversky, A. (1979), "Prospect Theory: An Analysis of Decision under Risk," Econometrica. 47 (2): 263–291.18.Lichtenstein, Sarah, Baruch Fischhoff, and Phillips (1982), Calibration of Probabilities: The State of the Art to 1980, Cambridge: Cambridge University Press.19.Odean, Terrance (1998), “Are Investors Reluctant to Realize Their Losses?” Journal of Finance, 53, 1775–1798.20.Puetz and Ruenzi (2011), “Overconfidence Among Professional Investors:Evidence from Mutual Fund Managers,” Journal of Business Finance and Accounting, 38(5)&(6), 684-71221.Shefrin, Hersh and Meir Satman (1985), “The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory And Evidence,” Journal of Finance, 40, 777–790.22.Statman, Meir, Steven Thorley, and Keith Vorkink (2006), “Investor Overconfidence and Trading Volume,” Review of Financial Studies, 19, 1531– 1565.23.Statman, M., Thorley, S., Vorkink, K., 2006. Investor overconfidence and trading volume. Review of Financial Studies 19, 1531–1565. 描述 碩士
國立政治大學
財務管理學系
107357033資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107357033 資料類型 thesis dc.contributor.advisor 周冠男 zh_TW dc.contributor.advisor Chou, Robin K. en_US dc.contributor.author (Authors) 廖紹甯 zh_TW dc.contributor.author (Authors) Liao, Shao-Ning en_US dc.creator (作者) 廖紹甯 zh_TW dc.creator (作者) Liao, Shao-Ning en_US dc.date (日期) 2020 en_US dc.date.accessioned 1-Jul-2020 13:40:05 (UTC+8) - dc.date.available 1-Jul-2020 13:40:05 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2020 13:40:05 (UTC+8) - dc.identifier (Other Identifiers) G0107357033 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130537 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 107357033 zh_TW dc.description.abstract (摘要) 市場上常爭論，人們在進行財務決策時究竟為理性抑或是不理性，而主張人們僅具有限理性最著名的學派就是行為財務學，認為人們可能受到個人思維、情緒所影響，而做出非理性的行為。本文以2013~2017年台灣市場的基金經理人在投資時所產生的行為切入，探討其在進行投資時，是否會出現不理性的行為如過度自信、處分效果，即透過觀察當期的買賣週轉率是否受到前期報酬率影響，如當期買進週轉率與前期報酬率顯著為正向關係，則歸類為過度自信；如當期賣出週轉率與前期報酬率顯著為正向關係，則歸類為處分效果。將所有132位基金經理人歸類後，進一步探討出現過度自信、處分效果的基金經理人，是否會受其背景如性別、學校屬性、科系、學位、入行時間影響。最終結果顯示，不論基金經理人的性別、學校屬性、科系、學位、入行時間，皆不影響其出現過度自信、處分效果的行為，表示無法依照經理人的背景去預測其是否會做出不理性的投資決策行為。 zh_TW dc.description.abstract (摘要) It was often argued in the market that whether people are rational or irrational in financial decision-making. The most famous school which advocated people have only limited rationality is the behavior finance school. They believed that people who act irrationally may affected by such as personal thinking and internal emotions.Based on the investment behavior of Taiwan’s fund managers from 2013 to 2017, this paper explored whether fund managers will appear irrational behavior such as overconfidence and disposition effects during investing. The methodology how we evaluate irrational behavior was to observe whether the fund turnover rate in current period will be affected by the previous return rate. If the current buying turnover rate and the previous return rate are significantly positive related, we classified as overconfidence；if the current selling turnover rate and the previous return rate are significantly positive related, we classified as disposition effects. After classifying all 132 fund managers, we further discuss whether fund managers with overconfidence and disposition effect will be affected by their backgrounds such as gender, university property, departments, degrees and entry time.The results showed that regardless of the gender, university property, departments, degrees and entry time of the fund managers, it will not affect their behavior of overconfidence and disposition effects. It means that it is difficult to predict whether the fund manager will make irrational investment decisions according to their backgrounds. en_US dc.description.tableofcontents CHAPTER 1 : INTRODUCTION 11.1 Research background and motivation 11.2 Research Hypothesis 21.3 Chapter Outline 3CHAPTER 2 : LITERATURE REVIEW 32.1 Overconfidence 32.2 Disposition effects 5CHAPTER 3 : DATA AND METHODOLOGY 63.1 Data description 63.2 Research methodology 7CHAPTER 4 : EMPIRICAL RESULTS 94.1 Relationship between return and turnover 94.2 Vector Autoregression Model 104.3 Logistic Regression Model 17CHAPTER 5 : CONCLUSION 20REFERENCES 21 zh_TW dc.format.extent 1180458 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107357033 en_US dc.subject (關鍵詞) 基金經理人 zh_TW dc.subject (關鍵詞) 行為財務 zh_TW dc.subject (關鍵詞) 過度自信 zh_TW dc.subject (關鍵詞) 處分效果 zh_TW dc.subject (關鍵詞) fund manager en_US dc.subject (關鍵詞) behavior finance en_US dc.subject (關鍵詞) overconfidence en_US dc.subject (關鍵詞) disposition effects en_US dc.title (題名) 台灣基金經理人背景對過度自信行為與處分效果行為的影響 zh_TW dc.title (題名) Impact of Taiwan Fund Manager Background on overconfidence behavior and disposition effect en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1.池祥萱, 林煜恩, 與周賓凰(2009), “處份效果、強化承諾與共同基金績效,”《管理評論》, 28, 1–18。(Chih, Hsiang-Hsuan, Yu-En Lin, and Ping-Huang Chou (2009), “Disposition Effects, Escalation of Commitment and Mutual Fund Performance,” Management Review, 28, 1–18.)2.林美珍與馬麗菁(2012), “基金經理人交易行為及其影響因素之研析,” 《管理與系統》, 19, 495–525。(Lin, Mei-Chen and Li-Ching Ma (2012),“Trading Behavior and Influential Factors of Mutual Fund Managers,” Journal of Management and Systems, 19, 495–525.)3.郭敏華, 郭迺鋒, 邱耀初, 與范秉航(2005), “性別與投資行為: 以台灣股票市場為例,” 《財務金融學刊》, 13, 1–28。(Kuo, Min-Hua, Nai-Fong Kuo, Yao-Chu Chiu, and Ping-Hang Fan (2005), “Gender and Investment Behavior: On Taiwanese Individual Investors,” Journal of Financial Studies, 13, 1–28.)4.許培基, 陳軒基, 與黃淑貞(2005), “基金經理人為何出現群集行為,” 《管理評論》, 24, 57–81。(Shu, Pei-Gi, Hsuan-Chi Chen, and Shu-Zhen Huang (2005), “WhyDoMutual FundManagers Trade inHerd?”Management Review, 24, 57–81.)5.蔡孟谷(2014), “基金經理人教育背景與基金績效之關連,” 碩士論文, 嘉義, 國立中正大學企業管理研究所 (Tsai (2014), “Fund Manager Education and Fund Performance,” thesis, Chiayi, Master of Business Administration in National Chung Cheng University)6.Barber, Brad M. and Terrance Odean (2000), “Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors,” Journal of Finance, 55, 773–806.7.Barber, Brad M., Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean (2007). ”Is the Aggregate Investor Reluctant to Realize Loss? Evidence From Taiwan,” European Financial Management, 13, 423–447.8.Chou, Robin K., Yun-Yi Wang, and Xuemin Yan (2010), “Patterns and Consequences of the Disposition Effect,” The 18th Conference on the Theories and Practices of Securities and Financial Markets, Kaohsiung: National Sun Yat-sun University.9.Chow, Edward H., Hsiao-Mei Lin, Yo-Min Lin, and Yin-CheWeng (2011), ”The Performance of Overconfident fund Managers,” Emerging Market Finance and Trade, 47, 21–30.10.Chou, Robin K. and Yun-Yi Wang (2011), “A Test of the Different Implications of the Overconfidence and Disposition Hypotheses,” Journal of Banking and Finance, 35, 2037–2046.11.De Bondt, Werner F. M. and Richard Thaler (1995), “Financial Decision-Making in Markets and Firms: A Behavioural Perspective,” in V. Maksimovic R. Jarrow and W. T. Ziemba (eds.), Handbook of Operations Research and Management Science, vol. 9, Amsterdam: North Holland, 385–410.12.Gervais, Simon and Terrance Odean (2001), “Learning to be Overconfident,” Review of Financial Studies, 14, 1–27.13.Gong and Wright (2013), “Investor Characteristics and the Disposition Effect,” Business school of the university of Sydney.14.Hastorf, A. H., D. J. Schneider, and J. Polefka (1970), “Person Perception,” Addison-Wesley, Reading, Mass.15.Hsu, Kuang-Hua and Ping-Wei Lin (2005), “A Study on Disposition Effect of Individual Investors: Empirical Findings Taking into Account Market Valuations,” Journal of Management, 22, 85–107.16.Jin and Scherbina (2004), “Disposition Effect Among Mutual Fund Managers,” Finance Department of Harvard Business School.17.Kahneman, D., Tversky, A. (1979), "Prospect Theory: An Analysis of Decision under Risk," Econometrica. 47 (2): 263–291.18.Lichtenstein, Sarah, Baruch Fischhoff, and Phillips (1982), Calibration of Probabilities: The State of the Art to 1980, Cambridge: Cambridge University Press.19.Odean, Terrance (1998), “Are Investors Reluctant to Realize Their Losses?” Journal of Finance, 53, 1775–1798.20.Puetz and Ruenzi (2011), “Overconfidence Among Professional Investors:Evidence from Mutual Fund Managers,” Journal of Business Finance and Accounting, 38(5)&(6), 684-71221.Shefrin, Hersh and Meir Satman (1985), “The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory And Evidence,” Journal of Finance, 40, 777–790.22.Statman, Meir, Steven Thorley, and Keith Vorkink (2006), “Investor Overconfidence and Trading Volume,” Review of Financial Studies, 19, 1531– 1565.23.Statman, M., Thorley, S., Vorkink, K., 2006. Investor overconfidence and trading volume. Review of Financial Studies 19, 1531–1565. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000590 en_US
