基金經理人過度自信與處分效果- 以台灣股票市場為例

在過去普遍認為基金經理人較具有專業能力，比較不容易有錯誤的投資觀念或是如過度自信及處分效果之不合理偏誤行為。所謂過度自信可解釋為基金經理人認為自己知識經驗準確性比一般人高，因此會有過度頻繁交易的行為發生；而處分效果可解釋為獲利時易急將獲利部位售出，但損失時卻會將損失部位惜售的狀態。為探討台股基金經理人之行為，本研究採樣2008年至2017年台灣股票型基金之月資料，並運用迴歸分析法探討在不同市場之情況下（整體市場、多頭市場、空頭市場以及盤整市場），研究基金經理人之操作特性（基金持股率、淨值變動率、基金週轉率與基金費用率）、風險係數（標準差）以及基金績效指標（Sharpe指數與Jensen指數）對基金經理人之非理性行為(短線頻繁賣出過度自信係數與惜售處分效果係數)之影響及其影響程度。實證結果顯示由於本研究採樣50檔十年期之台股基金，一般長年期基金較強調穩健操作，故基金經理人長期下不具有短線頻繁賣出過度自信行為，但若是區分台股市場狀態可以發現，空頭時期的恐慌氣氛或交易信心（基金持股率、淨值變動率、週轉率）的增加，易使基金經理人有較明顯短線頻繁賣出過度自信行為。而整體上台股基金經理人的處分效果（獲利急售與損失急售）情況較為明顯，除了多頭市場之週轉率顯著大於空頭市場週轉率之外，在探討針對損失惜售處分效應研究上，由於基金經理人的個人績效一般與基金規模及持股率與費用率有關，故當基金持股率減少、基金淨值變動率大、基金費用率提高時，基金經理人的惜售處分效應為正相關，相對較為明顯，容易產生錯置效果。而當台股市場處於盤整時期，由於較難作決策，基金經理人損失惜售處分效應更為明顯。

關鍵字

過度自信；處分效果；基金週轉率

並列摘要

In the past, fund managers were generally considered to have more professional abilities, and have less wrong investment concepts or misbehaviors, such as overconfidence and disposition effect. Overconfidence can be explained as the manager believes that his knowledge is more than the facts, so there will be excessive trading behavior; and the disposition effect is that it is easy to sell the profitable part when it is profitable, but it will retain the lost part when it is lost. In order to explore this situation, the research sample of this research uses the monthly data of Taiwan Stock funds from 2008 to 2017, and uses regression analysis to explore the situation in different markets (overall market, long market, short market and consolidation market) Research on the operating characteristics of fund managers (fund holding ratio, net return, fund turnover rate, fund expense ratio), fund performance indicators (Sharp ratio, Jason index) and risk coefficient (standard deviation) for fund managers. The influence of irrational behavior (Overconfidence coefficient, disposition effect coefficient) and its influence degree. The empirical results show that since 50 Taiwan-funded stocks with a ten-year period are sampled in this study, long-term funds generally emphasize stable operation. Therefore, fund managers do not have short-term and frequent overconfidence in the short-term. However, if the state of the Taiwan stock market can be distinguished It was found that the increase in panic atmosphere or trading confidence (fund holding ratio, net value change rate, turnover rate) during the short period tended to make fund managers have obvious short-term and frequent overconfidence behavior. On the whole, the punishment effect of the fund managers on the Taiwan stock market (profitable sales and loss sales) is more obvious. In addition to the turnover rate of the long market is significantly greater than the turnover rate of the short market, in the study of the effect of the loss-sale disposal penalty, The personal performance of a fund manager is generally related to the size of the fund, the shareholding ratio and the expense ratio. Therefore, when the fund's shareholding ratio decreases, the fund's net asset value change rate is large, and the fund expense ratio increases, the fund manager's unlucky sales penalty effect is positively related Relatively obvious, it is easy to produce misalignment effect. When the Taiwan stock market is in a period of consolidation, because of the difficulty in making decisions, the effect of the fund manager's loss and resale penalties is more obvious.