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題名 | 處分效果、強化承諾與動能投資策略對共同基金績效之影響=The Impact of Mutual Fund Preference to Disposition Effect, Escalation of Commitment, Momentum |
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作者姓名(中文) | 高子荃; 欒紹瑋; | 書刊名 | 青年企業管理評論 |
卷期 | 9:2 2016[民104] |
頁次 | 頁104-120 |
分類號 | 563.5 |
關鍵詞 | 動能投資策略; 反向操作策略; 處分效果; 強化承諾; 基金績效; Momentum; Contrarian; Disposition effect; Escalation of commitment; Performance; |
語文 | 中文(Chinese) |
中文摘要 | 理論上,共同基金經理人應會以理性的動能投資策略來追求超額報酬,但基金經理人是否會受到沉沒成本的影響,在執行動能投資策略時產生處分效果或強化承諾兩種行為偏差進而影響基金績效便 是一個值得探討的議題。本研究從行為財務理論的觀點考慮動能投資策略(反向操作策略)、處分效 果及強化承諾對基金績效的影響,建構一個基金績效迴歸模型,實證檢驗 2003 年至 2013 年間台灣開 放型股票基金經理人之投資行為對基金績效的影響。研究結果顯示:第一,反向操作策略對於共同基 金績效具有正面影響;第二,處分效果對於共同基金績效具有正面影響、強化承諾對於共同基金績效 則具有負面影響;第三,在處分效果與反向操作策略交互作用下,處分效果會拉低反向操作策略的績效。 |
英文摘要 | Mutual fund managers should pursue excess return with rational momentum, but the fund managers will be affected by sunk costs. These two deviant behaviors while the implementation of momentum brings out the disposition effect or the escalation of commitment would affect performance is an issue worth to explore. Therefore, this paper has researched momentum (contrarian) from the perspective of behavioral finance theory. The impact of the disposition effect and escalation of commitment to fund performance, including fund flow control variables, turnover ratio, cash holding ratio, size and cost ratio, together to form a regression model. This research results listed as following. First, Momentum for the performance of a mutual fund has a negative relationship. Second, Disposition effect for the performance of a mutual fund has a positive relationship. Escalation of commitment to the performance of a mutual fund has a negative relationship. Third, under the interaction between disposition effect and contrarian, disposition effect decreases the performance of the contrarian. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。