- 期刊
Disposition Effect among High-Turnover Mutual Fund Managersin Taiwan
並列摘要
A unique dataset of intra-month round-trip transactions of high-turnover-rate mutual funds provides this research a vehicle to uncover the evidence of a well-known behavioral anomaly-disposition effect, i.e. loss aversion, among mutual fund managers in Taiwan. This study finds on average in a 10-year period from 1999 to 2008 these funds hold losing securities significantly longer than profiting ones. The data of round-trip transactions is free from the issue of portfolio-rebalancing. It also shows that this phenomenon is not justified due to the fact that the holding period is significantly inversely related to the negative returns and positively related to the positive returns.
被引用紀錄
王若竹（2014）。台灣共同基金投資人處分效果之研究〔碩士論文，國立臺北科技大學〕。華藝線上圖書館。https://doi.org/10.6841/NTUT.2014.00676
黃欽裕（2013）。市場狀態與處分效果-以股票型與平衡型基金為例〔碩士論文，國立臺北科技大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0006-1906201312101200
延伸閱讀
- 胡讚嶽（2012）。The Disposition Effect in Taiwan Stock Market〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2012.01091
- 曾子豪（2017）。A Further Study on Investment Strategies of Taiwan Mutual Fund〔碩士論文，淡江大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0002-2506201721581500
- 王若竹（2014）。A Study of the Disposition Effect：Evidence from Taiwan Mutual Funds Market〔碩士論文，國立臺北科技大學〕。華藝線上圖書館。https://doi.org/10.6841/NTUT.2014.00676
- 黃健瑋（2009）。Earnings Announcement and Disposition Effect-Investment Behavior of Taiwan Mutual Fund〔碩士論文，中原大學〕。華藝線上圖書館。https://doi.org/10.6840/cycu200900864
- 葉銀華、陳志瑋、邱顯比（2000）。Studies of Mutual Fund Managers' Discretional Behaviors in Taiwan。中國財務學刊，8(1)，1-31。https://doi.org/10.6545/JoFS.2000.8(1).1