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題名 共同基金經理人撤換與處分效果關係之研究
A Study of the Relationship between Mutual Fund Managerial Turnover and Disposition Effect
作者 楊皇遠
Yang, Huang-Yuan
貢獻者 陳鴻毅
Chen, Hong-Yi
楊皇遠
Yang, Huang-Yuan
關鍵詞 動能因子
處分效果
基金經理人撤換
基金經理人行為
Momentum factor
Disposition effect
Fund managerial turnover
Fund manager’s behavior
日期 2024
上傳時間 5-Aug-2024 13:44:37 (UTC+8)
摘要 有部分共同基金經理人存在處分效果之行為偏誤，本研究主要探討共同基金經理人在撤換時，是否會影響基金管理的處分效果之行為。本研究預期基金經理人被撤換後的基金管理之處分效果將有所改善。利用 Carhart (1997) 的四因子模型中動能因子的係數衡量基金管理之處分效果程度，實證結果顯示，處分效果在基金經理人撤換後有顯著改變，即基金經理人被撤換後，基金管理之處分效果有所改善。此外，實證結果亦顯示，基金經理人撤換比率越高，基金經理人在撤換後的基金管理之處分效果改善越好。另外，本研究亦發現，當基金管理之處分效果改善時，有助於提升基金之績效表現。
Some mutual fund managers exhibit behavioral biases related to the disposition effect. This study primarily investigates whether fund managerial turnover affects the disposition effect behavior in fund management. This study expects that the disposition effect in fund management will improve after fund managerial turnover. The momentum factor loading in Carhart's (1997) four-factor model is used to measure the level of the disposition effect in fund management. Empirical results show that there is a significant change in the disposition effect in fund management after fund managerial turnover, indicating that after managerial turnover, there is an improvement in the disposition effect in fund management. In addition, the empirical results also indicate that the higher the fund manager turnover ratio, the more significant the improvement in disposition effects in fund management following fund managerial turnover. Moreover, this study finds that an improvement in the disposition effect in fund management following managerial turnover benefits the fund's performance.
參考文獻 Ammann, M., Ising, A., & Kessler, S. (2012). Disposition effect and mutual fund performance. Applied Financial Economics, 22(1), 1-19. Andreu, L., Ortiz, C., & Sarto, J. L. (2020). Disposition effect in fund managers. Fund and stock-specific factors and the upshot for investors. Journal of Economic Behavior & Organization, 176, 253-268. Brown, P., Chappel, N., da Silva Rosa, R., & Walter, T. (2006). The reach of the disposition effect: Large sample evidence across investor classes. International Review of Finance, 6(1‐2), 43-78. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82. Cashman, G. D., Nardari, F., Deli, D. N., & Villupuram, S. V. (2014). Investor behavior in the mutual fund industry: evidence from gross flows. Journal of Economics and Finance, 38, 541-567. Chen, G., Kim, K. A., Nofsinger, J. R., & Rui, O. M. (2007). Trading performance, disposition effect, overconfidence, representativeness bias, and experience of emerging market investors. Journal of Behavioral Decision Making, 20(4), 425-451. Choe, H., & Eom, Y. (2009). The disposition effect and investment performance in the futures market. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 29(6), 496-522. Chong, F. (2009). Disposition effect and flippers in the Bursa Malaysia. The Journal of Behavioral Finance, 10(3), 152-157. Cici, G. (2012). The prevalence of the disposition effect in mutual funds’ trades. Journal of Financial and Quantitative Analysis, 47(4), 795-820. Da Costa Jr, N., Goulart, M., Cupertino, C., Macedo Jr, J., & Da Silva, S. (2013). The disposition effect and investor experience. Journal of Banking & Finance, 37(5), 1669-1675. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. Frazzini, A. (2006). The disposition effect and underreaction to news. The Journal of Finance, 61(4), 2017-2046. Fu, R., & Wedge, L. (2011). Managerial ownership and the disposition effect. Journal of Banking & Finance, 35(9), 2407-2417. Grinblatt, M., & Han, B. (2002). The disposition effect and momentum. In: National Bureau of Economic Research Cambridge, Mass., USA. Grinblatt, M., & Keloharju, M. (2001). What makes investors trade? The Journal of Finance, 56(2), 589-616. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of finance, 48(1), 65-91. Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 363-391. Khorana, A. (2001). Performance changes following top management turnover: Evidence from open-end mutual funds. Journal of Financial and Quantitative Analysis, 36(3), 371-393. Lehenkari, M. (2012). In search of the underlying mechanism of the disposition effect. Journal of Behavioral Decision Making, 25(2), 196-209. Li, Y. (2020). A Summary of Theoretical and Empirical Test on the Disposition Effect of Securities Investment Fund in China. Modern Economy, 11(4), 857-866. Muermann, A., & Volkman, J. (2006). Regret, pride, and the disposition effect. Available at SSRN 930675. Odean, T. (1998). Are investors reluctant to realize their losses? The Journal of Finance, 53(5), 1775-1798. Oreng, M., Yoshinaga, C. E., & Eid, W. (2021). Disposition effect, demographics and risk taking. RAUSP Management Journal, 56, 217-233. Scherbina, A., & Jin, L. (2005). Change is good or the disposition effect among mutual fund managers. AFA 2006 Boston Meetings Paper, Shapira, Z., & Venezia, I. (2001). Patterns of behavior of professionally managed and independent investors. Journal of Banking & Finance, 25(8), 1573-1587. Shefrin, H., & Statman, M. (1985). The disposition to sell winners too early and ride losers too long: Theory and evidence. The Journal of Finance, 40(3), 777-790. Shu, P.G., Yeh, Y.H., Chiu, S.B., & Chen, H.C. (2005). Are Taiwanese individual investors reluctant to realize their losses? Pacific-Basin Finance Journal, 13(2), 201-223. Talpsepp, T., & Rieger, M. O. (2010). Explaining asymmetric volatility around the world. Journal of Empirical Finance, 17(5), 938-956. Trejos, C., van Deemen, A., Rodríguez, Y. E., & Gomez, J. M. (2019). Overconfidence and disposition effect in the stock market: A micro world based setting. Journal of Behavioral and Experimental Finance, 21, 61-69. Varan, S. (2008). Disposition effect in mutual fundsinvestment decisions: An analysis of İstanbul Stock Exchange Sosyal Bilimler Enstitüsü]. Weber, M., & Camerer, C. F. (1998). The disposition effect in securities trading: An experimental analysis. Journal of Economic Behavior & Organization, 33(2), 167-184. Wermers, R. (2003). Is money really'smart'? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence. New Evidence on the Relation Between Mutual Fund Flows, Manager Behavior, and Performance Persistence (May 2003).
描述 碩士
國立政治大學
財務管理學系
111357035
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111357035
資料類型 thesis
dc.contributor.advisor 陳鴻毅zh_TW
dc.contributor.advisor Chen, Hong-Yien_US
dc.contributor.author (Authors) 楊皇遠zh_TW
dc.contributor.author (Authors) Yang, Huang-Yuanen_US
dc.creator (作者) 楊皇遠zh_TW
dc.creator (作者) Yang, Huang-Yuanen_US
dc.date (日期) 2024en_US
dc.date.accessioned 5-Aug-2024 13:44:37 (UTC+8)-
dc.date.available 5-Aug-2024 13:44:37 (UTC+8)-
dc.date.issued (上傳時間) 5-Aug-2024 13:44:37 (UTC+8)-
dc.identifier (Other Identifiers) G0111357035en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152733-
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) 111357035zh_TW
dc.description.abstract (摘要) 有部分共同基金經理人存在處分效果之行為偏誤，本研究主要探討共同基金經理人在撤換時，是否會影響基金管理的處分效果之行為。本研究預期基金經理人被撤換後的基金管理之處分效果將有所改善。利用 Carhart (1997) 的四因子模型中動能因子的係數衡量基金管理之處分效果程度，實證結果顯示，處分效果在基金經理人撤換後有顯著改變，即基金經理人被撤換後，基金管理之處分效果有所改善。此外，實證結果亦顯示，基金經理人撤換比率越高，基金經理人在撤換後的基金管理之處分效果改善越好。另外，本研究亦發現，當基金管理之處分效果改善時，有助於提升基金之績效表現。zh_TW
dc.description.abstract (摘要) Some mutual fund managers exhibit behavioral biases related to the disposition effect. This study primarily investigates whether fund managerial turnover affects the disposition effect behavior in fund management. This study expects that the disposition effect in fund management will improve after fund managerial turnover. The momentum factor loading in Carhart's (1997) four-factor model is used to measure the level of the disposition effect in fund management. Empirical results show that there is a significant change in the disposition effect in fund management after fund managerial turnover, indicating that after managerial turnover, there is an improvement in the disposition effect in fund management. In addition, the empirical results also indicate that the higher the fund manager turnover ratio, the more significant the improvement in disposition effects in fund management following fund managerial turnover. Moreover, this study finds that an improvement in the disposition effect in fund management following managerial turnover benefits the fund's performance.en_US
dc.description.tableofcontents List of Tables vi 1. Introduction 1 2. Literature Review 3 2.1. Disposition Effect and Measures of Disposition Effect 3 2.2. Fund Manager’s Disposition Effect 5 2.3. Disposition Effect and Investment Performance 6 2.4. Disposition Effect and Fund Managerial Turnover 6 2.5. Research Questions Development 7 3. Data and Methodology 10 3.1. Methodology 10 3.1.1. The Measure of Disposition Effect 10 3.1.2. The Measure of Fund Performance, Fund Flow, and Fund Manager Turnover Ratio 11 3.1.3. Multiple Regression Specification 11 3.2. Data 13 3.2.1. Source of Data 13 3.2.2. The Selection of Sample Data 13 4. Empirical Results 15 4.1. Managers’ Behavior Before and After Managerial Turnover 15 4.2. Managers’ Behavior at Higher Manager Turnover Ratio and for Funds Solving and Not Solving the Disposition Effect 16 4.3. Disposition Effect and Fund Performance 18 4.4. Disposition Effect and Fund Flow 22 5. Conclusion and Recommendation 24 5.1. Conclusion 24 5.2. Recommendations for Future Research 24 References 26zh_TW
dc.format.extent 1355901 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111357035en_US
dc.subject (關鍵詞) 動能因子zh_TW
dc.subject (關鍵詞) 處分效果zh_TW
dc.subject (關鍵詞) 基金經理人撤換zh_TW
dc.subject (關鍵詞) 基金經理人行為zh_TW
dc.subject (關鍵詞) Momentum factoren_US
dc.subject (關鍵詞) Disposition effecten_US
dc.subject (關鍵詞) Fund managerial turnoveren_US
dc.subject (關鍵詞) Fund manager’s behavioren_US
dc.title (題名) 共同基金經理人撤換與處分效果關係之研究zh_TW
dc.title (題名) A Study of the Relationship between Mutual Fund Managerial Turnover and Disposition Effecten_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Ammann, M., Ising, A., & Kessler, S. (2012). Disposition effect and mutual fund performance. Applied Financial Economics, 22(1), 1-19. Andreu, L., Ortiz, C., & Sarto, J. L. (2020). Disposition effect in fund managers. Fund and stock-specific factors and the upshot for investors. Journal of Economic Behavior & Organization, 176, 253-268. Brown, P., Chappel, N., da Silva Rosa, R., & Walter, T. (2006). The reach of the disposition effect: Large sample evidence across investor classes. International Review of Finance, 6(1‐2), 43-78. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82. Cashman, G. D., Nardari, F., Deli, D. N., & Villupuram, S. V. (2014). Investor behavior in the mutual fund industry: evidence from gross flows. Journal of Economics and Finance, 38, 541-567. Chen, G., Kim, K. A., Nofsinger, J. R., & Rui, O. M. (2007). Trading performance, disposition effect, overconfidence, representativeness bias, and experience of emerging market investors. Journal of Behavioral Decision Making, 20(4), 425-451. Choe, H., & Eom, Y. (2009). The disposition effect and investment performance in the futures market. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 29(6), 496-522. Chong, F. (2009). Disposition effect and flippers in the Bursa Malaysia. The Journal of Behavioral Finance, 10(3), 152-157. Cici, G. (2012). The prevalence of the disposition effect in mutual funds’ trades. Journal of Financial and Quantitative Analysis, 47(4), 795-820. Da Costa Jr, N., Goulart, M., Cupertino, C., Macedo Jr, J., & Da Silva, S. (2013). The disposition effect and investor experience. Journal of Banking & Finance, 37(5), 1669-1675. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. Frazzini, A. (2006). The disposition effect and underreaction to news. The Journal of Finance, 61(4), 2017-2046. Fu, R., & Wedge, L. (2011). Managerial ownership and the disposition effect. Journal of Banking & Finance, 35(9), 2407-2417. Grinblatt, M., & Han, B. (2002). The disposition effect and momentum. In: National Bureau of Economic Research Cambridge, Mass., USA. Grinblatt, M., & Keloharju, M. (2001). What makes investors trade? The Journal of Finance, 56(2), 589-616. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of finance, 48(1), 65-91. Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 363-391. Khorana, A. (2001). Performance changes following top management turnover: Evidence from open-end mutual funds. Journal of Financial and Quantitative Analysis, 36(3), 371-393. Lehenkari, M. (2012). In search of the underlying mechanism of the disposition effect. Journal of Behavioral Decision Making, 25(2), 196-209. Li, Y. (2020). A Summary of Theoretical and Empirical Test on the Disposition Effect of Securities Investment Fund in China. Modern Economy, 11(4), 857-866. Muermann, A., & Volkman, J. (2006). Regret, pride, and the disposition effect. Available at SSRN 930675. Odean, T. (1998). Are investors reluctant to realize their losses? The Journal of Finance, 53(5), 1775-1798. Oreng, M., Yoshinaga, C. E., & Eid, W. (2021). Disposition effect, demographics and risk taking. RAUSP Management Journal, 56, 217-233. Scherbina, A., & Jin, L. (2005). Change is good or the disposition effect among mutual fund managers. AFA 2006 Boston Meetings Paper, Shapira, Z., & Venezia, I. (2001). Patterns of behavior of professionally managed and independent investors. Journal of Banking & Finance, 25(8), 1573-1587. Shefrin, H., & Statman, M. (1985). The disposition to sell winners too early and ride losers too long: Theory and evidence. The Journal of Finance, 40(3), 777-790. Shu, P.G., Yeh, Y.H., Chiu, S.B., & Chen, H.C. (2005). Are Taiwanese individual investors reluctant to realize their losses? Pacific-Basin Finance Journal, 13(2), 201-223. Talpsepp, T., & Rieger, M. O. (2010). Explaining asymmetric volatility around the world. Journal of Empirical Finance, 17(5), 938-956. Trejos, C., van Deemen, A., Rodríguez, Y. E., & Gomez, J. M. (2019). Overconfidence and disposition effect in the stock market: A micro world based setting. Journal of Behavioral and Experimental Finance, 21, 61-69. Varan, S. (2008). Disposition effect in mutual fundsinvestment decisions: An analysis of İstanbul Stock Exchange Sosyal Bilimler Enstitüsü]. Weber, M., & Camerer, C. F. (1998). The disposition effect in securities trading: An experimental analysis. Journal of Economic Behavior & Organization, 33(2), 167-184. Wermers, R. (2003). Is money really'smart'? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence. New Evidence on the Relation Between Mutual Fund Flows, Manager Behavior, and Performance Persistence (May 2003).zh_TW