基金經理人績效持續性與過度自信

The Performance Persistence and Overconfidence of Fund Managers

傅英芬(Ying-Fen Fu) ； 劉海清(Hai-Ching Liu)

《Journal of Data Analysis》 11卷1期 (2016/02) Pp. 45-70

https://doi.org/10.6338/JDA.201602_11(1).0003

摘要

本文旨在探討”基金經理人”績效持續性而非”基金”績效持續性，同時以週轉率做為過度自信的代理變數探討過度自信的基金經理人，其所管理的前後支基金能否持續成為贏家?本文為站在基金投資人的觀點來探討是否追隨表現優秀的基金經理人為明智的選擇？複迴歸與羅吉斯迴歸分析的結果顯示基金經理人的績效具持續性，有過度自信會使其持續性的顯著性降低，而有否得獎並不會影響其下支管理基金的績效或提高其成為贏家基金的機率。投資人可以選擇跟隨績效好的或贏家基金經理人，因其績效普遍而言具持續性，但不一定要選擇跟隨得獎的基金經理人，因為過度自信而產生的過多交易與伴隨而來投信公司收取較高的費用，將會侵蝕投資人實際上拿到的報酬。

關鍵字

基金經理人 ； 績效持續性 ； 過度自信

並列摘要

Most past literature investigates the performance persistence of mutual funds from the viewpoint of funds. This plan contributes to the literature in that we examine the funds' performance persistence from the viewpoint of fund managers instead of from the funds. This study adopts turnover rate as the proxy of overconfidence to investigate whether the successive two funds managed by the same fund managers who are (not) overconfident can persist to be winners. This study tries to investigate whether following the previous outstanding fund managers is a wise choice from the viewpoint of fund investors. The results of multiple regressions and logit regressions show that fund managers are performance persistent. However the overconfidence will lower the significance of their performance persistence. Moreover, whether the previous funds they managed are prize winners does not affect the performance of their next funds or the probability of becoming winners. Fund investors may choose the winner fund managers due to the performance persistence. However, it is not necessarily a wise decision for investors to follow the fund managers who won the prize awards. The frequent trading due to the overconfidence and the higher fees charged by the fund company will erode the return of the fund investors.

並列關鍵字

fund managers ； performance persistence ； overconfidence

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