共同基金經理人在進行投資決策時,同時面臨著績效壓力與競爭對手等因素,導致其可能會同時買入或賣出同一股票,即稱為群集行為。為了更深入探究股票市場上共同基金經理人之投資行為,本研究使用LSV群集指標,並加入持有交易方向,透過三項分配驗證國內基金經理人之群集行為。 研究結果顯示,台灣基金經理人之間確實存在群集行為,在研究期間內買入群集行為較賣出群集行為顯著,且三項分配所求出之群集行為值明顯小於二項分配所求之值,顯示二項分配下可能會高估群集行為值。另外,基金經理人公司會因為公司規模、當期股票報酬率及基金績效之高低而產生不同程度之群集行為,一般而言,公司規模較小者有較明顯之群集行為,其次是公司規模較大者;至於當期股票報酬率高者,買入群集現象較為顯著,而當期股票報酬率低者,則賣出群集現象較明顯;基金績效最差者,基金經理人會基於聲譽風險的考量,而採用較顯著之群集行為。
Once mutual fund managers make investment decisions, they have to face fund performance and profession challenge and procured the behavior of buying or selling in the same stock at the same time. The purpose of this paper is to examine the herding behavior of fund managers in Taiwan by using a trinomial distribution method, extended from the traditional binomial distribution one. The trinomial distribution method considers three trade directions, namely buy, sell and hold. The empirical results show that Taiwan mutual fund managers have significant herding behavior, and buy-herding behavior is more significant than sell-herding behavior. The binomial distribution may overestimate the herding behavior owing to ignoring the trade direction - hold. The herding behavior is closely related to the firm size, current-stock returns and mutual fund performance. First, the detected level of herding is higher for the smallest and biggest size stock. Second, buy-herding is strong in high current-return stocks and sell-herding is strong in low current-return stocks. Third, managers tend to herd in funds with the worst performance based on reputation.