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| 研究生： |
楊皇遠 Yang, Huang-Yuan |
|---|---|
| 論文名稱： |
共同基金經理人撤換與處分效果關係之研究 A Study of the Relationship between Mutual Fund Managerial Turnover and Disposition Effect |
| 指導教授： |
陳鴻毅
Chen, Hong-Yi |
| 口試委員: |
徐之強
Hsu, Chih-Chiang 黃嘉威 Huang, Chia-Wei 陳鴻毅 Chen, Hong-Yi |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2024 |
| 畢業學年度： | 112 |
| 語文別： | 英文 |
| 論文頁數： | 41 |
| 中文關鍵詞： | 動能因子 、處分效果 、基金經理人撤換 、基金經理人行為 |
| 外文關鍵詞： | Momentum factor, Disposition effect, Fund managerial turnover, Fund manager’s behavior |
| 相關次數： | 點閱：35 下載：0 |
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有部分共同基金經理人存在處分效果之行為偏誤，本研究主要探討共同基金經理人在撤換時，是否會影響基金管理的處分效果之行為。本研究預期基金經理人被撤換後的基金管理之處分效果將有所改善。利用 Carhart (1997) 的四因子模型中動能因子的係數衡量基金管理之處分效果程度，實證結果顯示，處分效果在基金經理人撤換後有顯著改變，即基金經理人被撤換後，基金管理之處分效果有所改善。此外，實證結果亦顯示，基金經理人撤換比率越高，基金經理人在撤換後的基金管理之處分效果改善越好。另外，本研究亦發現，當基金管理之處分效果改善時，有助於提升基金之績效表現。
Some mutual fund managers exhibit behavioral biases related to the disposition effect. This study primarily investigates whether fund managerial turnover affects the disposition effect behavior in fund management. This study expects that the disposition effect in fund management will improve after fund managerial turnover. The momentum factor loading in Carhart's (1997) four-factor model is used to measure the level of the disposition effect in fund management. Empirical results show that there is a significant change in the disposition effect in fund management after fund managerial turnover, indicating that after managerial turnover, there is an improvement in the disposition effect in fund management. In addition, the empirical results also indicate that the higher the fund manager turnover ratio, the more significant the improvement in disposition effects in fund management following fund managerial turnover. Moreover, this study finds that an improvement in the disposition effect in fund management following managerial turnover benefits the fund's performance.
List of Tables vi
1. Introduction 1
2. Literature Review 3
2.1. Disposition Effect and Measures of Disposition Effect 3
2.2. Fund Manager’s Disposition Effect 5
2.3. Disposition Effect and Investment Performance 6
2.4. Disposition Effect and Fund Managerial Turnover 6
2.5. Research Questions Development 7
3. Data and Methodology 10
3.1. Methodology 10
3.1.1. The Measure of Disposition Effect 10
3.1.2. The Measure of Fund Performance, Fund Flow, and Fund Manager Turnover Ratio 11
3.1.3. Multiple Regression Specification 11
3.2. Data 13
3.2.1. Source of Data 13
3.2.2. The Selection of Sample Data 13
4. Empirical Results 15
4.1. Managers’ Behavior Before and After Managerial Turnover 15
4.2. Managers’ Behavior at Higher Manager Turnover Ratio and for Funds Solving and Not Solving the Disposition Effect 16
4.3. Disposition Effect and Fund Performance 18
4.4. Disposition Effect and Fund Flow 22
5. Conclusion and Recommendation 24
5.1. Conclusion 24
5.2. Recommendations for Future Research 24
References 26
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全文公開日期 2029/06/30