研究生: |
李佳恩 Lee, Chia-En |
---|---|
論文名稱: |
疫情恐慌下中美基金經理人處分效果 The Disposition Effects of Mutual Fund Managers- Evidence from Taiwan and U.S. Mutual Fund Markets |
指導教授: |
賴慧文
Lai, Hui-Wen 王衍智 Wang, Yan-Zhi |
口試委員: |
蔡蒔銓
Tsai, Shih-Chuan 張森林 Chung, San-Lin 賴慧文 Lai, Hui-Wen 王衍智 Wang, Yan-zhi |
口試日期: | 2023/06/18 |
學位類別: |
碩士 Master |
系所名稱: |
管理研究所 Graduate Institute of Management |
論文出版年: | 2023 |
畢業學年度: | 111 |
語文別: | 中文 |
論文頁數: | 24 |
中文關鍵詞: | 處分效果 、基金 、疫情 、基金風格 |
英文關鍵詞: | Disposition Effect, Fund, Epidemic, Fund Style |
研究方法: | 次級資料分析 |
DOI URL: | http://doi.org/10.6345/NTNU202301222 |
論文種類: | 學術論文 |
相關次數: | 點閱:116 下載:10 |
分享至: |
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
本研究主要目的為探討疫情與非疫情期間、台灣與美國基金經理人處分效果之不同。過去文獻關於同一國別之基金經理人面對不同市場(非效率與效率)之處分效果、及不同國別之基金經理人面對相同市場之處分效果較為從缺,本研究創新之處是直接訪問資深基金主管,以實際管理經驗形成假說,並以 Odean(1998)之方法計算。
研究結果發現,兩國基金經理人投資國內,不論是否為疫情期間,皆不存在顯著的處分效果,反而是反向顯著;然而台灣基金經理人在疫情恐慌期間投資美國市場卻有顯著的處分效果。本研究也依據訪談後形成之假說,探討基金規模和基金風格結果是否不同,研究結果發現,基金規模不會對處分效果造成差異,但基金風格不同在處分效果上有顯著差異。
The main objective of this study is to investigate the differences in the dispositional effects of fund managers in Taiwan and the U.S. during epidemic and non-epidemic periods. While there is a lack of literature on the dispositional effects of fund managers in the same country facing different markets (inefficient and efficient) and the dispositional effects of fund managers in different countries facing the same market, this study is innovative in that it directly interviews senior fund managers to form hypotheses based on their actual management experience and calculates them using Odean's (1998) methodology.
The results of this study show that there is no significant penalty effect for both fund managers to invest in the domestic market regardless of whether it is during the epidemic period or not, but the opposite is true. However, Taiwanese fund managers have a significant penalty effect for investing in the U.S. market during the epidemic scare period. This study also examines whether the results are different between fund size and fund style based on the hypotheses developed from the interviews, and finds that fund size does not make a difference in the disposition effect, but there is a significant difference in the disposition effect depending on the fund style.
林美珍、馬麗菁(2012)。基金經理人交易行為及其影響因素之研析。管理與系統,第28卷4期:1-18。
池祥萱、林煜恩, 與周賓凰 (2009)。處份效果、 強化承諾與共同基金績效。管理評論,第28卷4期:1-18。
Aum, S., Lee, S. Y. T., & Shin, Y. (2021). COVID-19 doesn’t need lockdowns to. destroy jobs: The effect of local outbreaks in Korea. Labour Economics, 70, 101993.
Barber, B. M., Lee, Y. T., Liu, Y. J., & Odean, T. (2007). Is the aggregate investor. reluctant to realise losses? Evidence from Taiwan. European Financial Management, 13(3), 423-447.
Brodeur, A., Gray, D., Islam, A., & Bhuiyan, S. (2021). A literature review of the. economics of COVID‐19. Journal of Economic Surveys, 35(4), 1007-1044.
Chen, G., Kim, K. A., Nofsinger, J. R., & Rui, O. M. (2007). Trading performance, disposition effect, overconfidence, representativeness bias, and experience of emerging market investors. Journal of Behavioral Decision Making, 20(4), 425-451.
Cici, G. (2012). The prevalence of the disposition effect in mutual funds’ trades. Journal of Financial and Quantitative Analysis, 47(4), 795-820.
Coval, J. D., & Shumway, T. (2005). Do behavioral biases affect prices?. The. Journal of Finance, 60(1), 1-34.
Da Costa Jr, N., Goulart, M., Cupertino, C., Macedo Jr, J., & Da Silva, S. (2013). The disposition effect and investor experience. Journal of Banking & Finance, 37(5), 1669-1675.
Dai, M., Jiang, Y., Liu, H., & Xu, J. (2023). A rational theory for disposition effects. Review of Economic Dynamics, 47, 131-157.
Dror, I. E., Basola, B., & Busemeyer, J. R. (1999). Decision making under time. pressure: An independent test of sequential sampling models. Memory & Cognition, 27(4), 713-725.
Eom, Y. (2018). The opposite disposition effect: Evidence from the Korean stock. index futures market. Finance Research Letters, 26, 261-265.
Fairlie, R. W. (2020). The impact of COVID‐19 on small business owners: Evidence. from the first three months after widespread social‐distancing restrictions. J Econ Manag Strategy, 29(4), 727–740.
Fischbacher, U., Hoffmann, G., & Schudy, S. (2017). The causal effect of stop-loss. and take-gain orders on the disposition effect. The Review of Financial Studies, 30(6), 2110-2129.
Forsythe, E., Kahn, L. B., Lange, F., & Wiczer, D. (2020). Labor demand in the time. of COVID-19: Evidence from vacancy postings and UI claims. Journal of Public Economics, 189, 104238.
Frazzini, A. (2006). The disposition effect and underreaction to news. The Journal of Finance, 61(4), 2017-2046.
Grinblatt, M., & Keloharju, M. (2001). What makes investors trade?. The journal of Finance, 56(2), 589-616.
Kahneman, D., & Tversky, A. (1979). Prospect Theory: An Analysis of Decision. under Risk. Econometrica, 47(2), 263–291.
Lin, H. W. (2011, vol.4). Does the disposition effect exhibit during financial crisis. International conference on economics and finance research (IPEDR), 2011 International Conference on Economics and Finance Research, Singapore
Locke, P. R., & Mann, S. C. (2005). Professional trader discipline and trade. disposition. Journal of Financial economics, 76(2), 401-444.
Sarmiento, J., Rendón, J., Sandoval, J. S., & Cayon, E. (2019). The disposition effect. and the relevance of the reference period: Evidence among sophisticated investors. Journal of Behavioral and Experimental Finance, 24, 100211.
Shefrin, H., & Statman, M. (1985). The disposition to sell winners too early and ride. losers too long: Theory and evidence. The Journal of finance, 40(3), 777-790.
Shu, P. G., Yeh, Y. H., Chiu, S. B., & Chen, H. C. (2005). Are Taiwanese individual. investors reluctant to realize their losses?. Pacific-Basin Finance Journal, 13(2), 201-223.
Thaler, R. (1985), Mental accounting and consumer choice, Marketing Science,4(3), 199-214.
Weber, M., & Camerer, C. F. (1998). The disposition effect in securities trading: An. experimental analysis. Journal of Economic Behavior & Organization, 33(2), 167-184.
Whaley, R. E. (2009). Understanding the VIX. The Journal of Portfolio. Management, 35(3), 98-105.
Yilanci, C. (2022). To Sell or Not to Sell? Disposition Effect and Investment Style. University of Mannheim, Finance Area