基金經理人裁量性投資行為之研究

本文檢視共同基金經理人隱藏於平日投資組合決策中，但可能損及基金投資人利益的三類裁量性行為。第一類為根據基金經理人上半年的表現，動態操縱基金下半年的風險水準，企圖博取較佳的全年排名。第二類為頻繁的交易，有圖利往來證券商或收取退佣之嫌。第三類為炒作股價，替投信關係企業護盤或意圖取得上市公司董監事席位。本研究樣本包括臺灣各投信公司所發行的89支股票型基金，樣本期間為1996年至1998年。實證結果發現上半年表現不佳之基金，下半年有顯著增加風險的行為，而這種行為，又導致績效進一步惡化。但是我們並未發現基金週轉率與報酬率之間的顯著的關聯性。另外我們自報章雜誌報導加上基金明細持股資料，找出75件可能存在利益衝突的個股投資，不過這些事件對基金績效的影響尚難判定。

關鍵字

共同基金；裁量性行為；代理問題

並列摘要

This paper investigates mutual fund managers' discretional behaviors, which are hidden in their ordinary investment decisions but may conflict with the interests of fund investors We examine three categories of discretional behaviors. The first category involves with the gaming of portfolio risks based on a manager's prior ' performance, aiming to get a better ranking at the 1-year performance evaluation. The second category deal with high portfolio turnover ratios which produce high transaction costs but may benefit stock brokers and/or fund managers themselves. The third category include funds' holding or trading of stocks on the purpose of manipulating the prices of some specific stocks or gaining control of board seats for fund companies' major shareholders . Our sample includes 89 equity funds in Taiwan for the period 1996-1998. Empirical results show those managers who are losers in the first 6 months of a year tend to increase their portfolio risks in the second half of the year. These changes in portfolio risks have negative impacts on funds' performance in our sample period. On the other hand, we did not find significant correlation between funds' turnover ratios and their performances. Based on press reports and corresponding portfolio holding data, we document 75 funds' investments that exhibit potential agency problems. However, the impacts of these investments on funds' returns are not clear.