處分效果和強化承諾對基金績效及流量之影響

The Effects of Disposition and Escalation of Commitment on Mutual Fund Performance and Flows

楊欣盈(Hsin-Ying Yang)

指導教授 ： 王祝三

國立臺北大學/商學院/企業管理學系/碩士(2010年)

摘要

過去文獻發現台灣基金經理人存在出盈保虧的「處分效果」及對帳面有虧損的股票持續加碼的「強化承諾」行為，然而卻未衡量其長期績效及長短期流量情形，並且在衡量績效時未考量系統風險。本文之研究目的即為探討基金經理人之此兩種投資行為對長短期異常績效及流量的影響。
本研究證實我國約40%的基金經理人存在處分效果與強化承諾的行為，而其效果對績效及流量之衝擊如下。一、處分效果對基金流量負面影響僅存在於短期，長期則無影響；相反地強化承諾對基金流量的負面影響僅存在於長期，短期則無影響。二、強化承諾對異常報酬之負面影響僅侷限於短期，而長期有正向效果；處分效果則無論持有期之長短，對異常報酬皆為正向影響。本文之實證結果隱含可能是因台灣股市之散戶投資人居多，使得股票常有暴漲暴跌的過度反應現象，因此基金經理人從事賣出贏家股、甚至加碼輸家股的反向操作策略，反而可以得到更高的投資績效。

關鍵字

處分效果 ； 強化承諾 ； 基金績效 ； 基金流量

並列摘要

The literature reveals that mutual fund managers in Taiwan suffer from the disposition effect, i.e., they tend to hold losers too long and sell winners too early, and escalation of commitment, i.e., they tend to invest more money in losers. But prior studies didn’t measure the effects on long-term returns and flows, especially they failed to consider systematic risks when measuring returns. This thesis addresses these issues and examines the managerial behaviors on the fund performance and flows from both the short- and long-term approaches.

This research first shows that 40% of mutual fund managers in Taiwan are exposed to the disposition effect and escalation of commitment. The major findings are as follows. First, the escalation of commitment has negative impacts on abnormal returns in short-term, but the long-term influences are positive. In contrast, the impacts of the disposition effect are positive in both long-term and short-term. The empirical results imply that those mutual fund managers who possess these two behaviors can enjoy superior fund performance in the long-term. Second, the disposition effect has negative impacts on fund flows for short-term holding period, but not for long-term. In contrast the commitment bias has negative impacts on fund flows for long-term, but not for short-term.

並列關鍵字

Disposition Effect ； Escalation of Commitment ； Fund Performance ； Fund Flow

參考文獻

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