The Disposition Effect in Open-end Mutual Fund Market: A Study of Taiwan Equity Funds

本文探討基金投資人之投資行爲是否具有處份效果。在報酬率方面，對投資人而言，基金的原始報酬率與超額報酬率均可能可做爲基金投資人的績效指標。而過去文獻大多僅以原始報酬率來表示基金投資人的績效指標。因此，本文同時嘗試上述兩種表示績效指標，來重新驗證投資人是否具有處份效果。我們以台灣開放式股票型基金之投資人來加以驗證，本文整理基金之淨值與基金總費用率等共計七個變數的資料，每個變數共有7280筆月資料。結果發現，採用原始報酬率爲基金淨流量的解釋變數下，投資人具有「贖回不顯著的處份效果」。採用超額報酬率分別做爲基金淨流量的解釋變數下，且在基金績效小輸於大盤時，投資人具有「贖回不顯著的處份效果」；而在基金績效大輸於大盤時，投資人具有「贖回意願更低之處份效果」。如果我們此一新發現的處份效果型態是對的，這表示績效不佳的台灣基金經理人，從事道德風險之行爲的誘因將提高。本文同時也發現展望理論並不適用於解釋台灣開放式股票型基金投資人之投資行爲。且投資人偏好申購週轉率較高與總費用率較低的基金。

關鍵字

開放式股票型基金；處份效果；變數門檻模型

並列摘要

This paper uses a unique data set with complete information of purchase and redemptions of individuals and institutions in the Taiwan open-end equity mutual fund market. We employ the recursive ordinary least square model in variable to identify the determinants of purchasing and redemption activities over a 56-month period. Our results show that investors in Taiwan have two types of disposition effect. First, we find that investors are not to redeem the funds with past negative capital return, which we call it ”insignificant redemption disposition effect”. Second, we find investors are significantly less willing to flee from past extremely negative excess returns, but the unwilling to redeem the funds with moderate negative excess return is not significant. We call that ”less willing redemption disposition effect”.

並列關鍵字

open-end mutual fund ； disposition effect ； recursive threshold model in variable

參考文獻

Barber, B. M.,T. Odean(1999).The courage of misguided convictions.Financial Analysts Journal.55,41-55.

Google Scholar

Working paper

Google Scholar

Benartzi, S.,R. Thaler(1995).Myopic loss aversion and the equity premium puzzle.Quarterly Journal of Economics.110,73-92.

Google Scholar

Brown, K.,W. Harlow,L. Starks(1996).Of tournaments and temptations: An analysis of managerial incentives in the mutual fund industry.Journal of Finance.51,85-110.