Mutual Fund Tournament in the Taiwan Market: Risk-taking, Turnover, and Investors' Rewards

台灣市場共同基金之競賽：風險承擔、週轉率與投資人報酬

林美珍(Mei-Chen Lin)

《財務金融學刊》 12卷2期 (2004/08) Pp. 87-142

https://doi.org/10.6545/JFS.2004.12(2).3

摘要

本文研究台灣共同基金經理人之風險移轉與週轉率調整行為。實證結果顯示績效表現極差的基金經理人傾向於降低投資組合風險以降低失業風險，由於“贏家全拿”的現象，表現極佳和次佳的基金經理人則傾向於承擔更多風險。新基金的經理人比舊基金的經理人更有改變風險的誘因。如過度自信理論所預測的，績效表現差的基金經理人傾向減少交易，然而績效表現佳的基金經理人傾向增加交易。此外，報酬波動性與週轉率波動性決定於市場狀況，僅有在多頭市場之後，績效佳（差）的基金會提高（降低）風險暴露與增加（減少）交易。此一風險移轉與週轉率調整行為未必有利基金投資人因為此行為可能傷害基金之績效。

關鍵字

共同基金 ； 競賽 ； 風險調整 ； 週轉率

並列摘要

This paper studies the risk-shifting behavior and turnover-adjustment behavior of fund managers in Taiwan during 1994 to 2003. Empirical results show that extreme losers tend to reduce their portfolio risk in an attempt to decrease the employment risk and the top winners and near the top winners have a tendency to engage in more risk-taking due to the ＂winner take all＂ phenomenon. Managers in younger funds have more incentives to alter risk than those in entrenched funds. As predicted by the overconfidence theory, losers have the propensity to trade less and winners have the tendency to trade more. In addition, return volatility and turnover volatility critically depend on the market states. In particular, only following bull markets, funds with good (bad) performance have higher propensity to raise (lower) their risk exposure and trade more (less). Such risk-shifting and turnover-adjustment behavior may not be in the best interest of the mutual fund investors since they can hurt their performance when compared to those with contradictory strategies.

並列關鍵字

Mutual Fund ； Tournament ； Risk-Adjustment ； Tumover Ratio

參考文獻

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