Does the First or Last Place Matter?-Evidence From the Fund Investors' Behavior in Taiwan

第一名或最後一名有關係嗎？－來自於台灣基金投資人行為的證據

傅英芬(Ying-Fen Fu) ； 劉海清(Hai-Ching Liu)

《創新與管理》 7卷2期 (2010/05) Pp. 69-90

https://doi.org/10.30118/JIM.201005.0004

摘要

本文針對基金消費者面對基金績效揭曉時其申購與贖回流量的反應來進行研究。本文發現若將每期的績效分組，投資人在申購上對短期績效採青睞贏家的動能策略，另外贖回方面，則發現基金投資人有顯著的急售短期贏家的情形存在。但在長期績效上則出現贏家組與輸家組基金在申購與贖回上都無顯著差異，且兩者皆顯著高於中間組基金的兩極化現象。而在淨流量率方面，贏家淨流量顯著高於輸家淨流量的情形可持續至一年。最後單就冠軍基金與殿後基金來觀察其績效揭露的宣示效果與基金消費者的流量反應，結果發現第一名基金確實獲得比贏家組基金顯著更多的申購率與贖回率。此外不論長短期績效，投資人在事件期間對第一名基金之績效變動反應較敏銳，但是對最後一名基金之績效變動則顯得遲頓；這樣的結果可能會引起代理問題的產生。

關鍵字

投資人的反應 ； 基金申購 ； 基金贖回 ； 贏家 ； 輸家

並列摘要

This study investigates the reactions of fund investors to fund performance announcements in Taiwan. The results show that investors reward short-term performance winners via more purchases and punish losers via fewer purchases, while simultaneously punishing winners that they already hold via more redemptions and forgiving losers that they already hold via lower redemptions. Regarding the net flow rate, the net flow difference between winners and losers are sustained for one year. The U-shaped pattern of fund flows suggests that investors ignore moderately performing funds. Furthermore, fund investors value short-term performance more than long-term performance. Finally, event study results show that the best performing funds (the champions) receive more attention than winner deciles. However, investors do not punish the worst performing (the last place) funds too harshly, which may result in increased agency costs.

並列關鍵字

investor reaction ； purchase rate ； redemption rate ； winner ； loser