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錯置效果於台灣股票型共同基金之實證張心怡, CHANG, HSIN-YI Unknown Date (has links)
在效率市場支配財務理論數十年後,市場上發現許多違反傳統訂價理論與理性假設的現象,以心理學為基礎的行為財務學因而掘起,將投資人之主觀行為及心理因素納入決策分析之考量。本研究便是以台灣股票型共同基金為研究對象,探討行為財務學中的錯置效果,了解是否台灣之股票型共同基金存在“急售利得,惜售損失”的現象。 / 本研究首先以Odean模型之概念,計算基金投資之已實現利得比率與已實現損失比率,再用兩者之差形成錯置效果之代理變數:Disposition Spread (DISP),當DISP為正時,表示樣本基金存在錯置效果傾向,偏好實現利得。接著計算基金之Jensen’s Alpha,用以代表基金績效,利用迴歸模型觀察基金績效與錯置效果間之關聯性。最後再進一步透過DISP分成五級,觀察錯置效果是否存在持續性。 / 研究結果發現,台灣的股票型共同基金不存在錯置效果之傾向,不論是整體基金而言,或是分類觀察之,皆不存在錯置效果之傾向。但是總樣本觀察值中,有33%的比例出現正的DISP值,因此無法斷言共同基金完全不受錯置效果之影響。而錯置效果與基金績效間,則是存在顯著的負相關,即錯置效果越明顯者,其績效表現越差。普遍而言,台灣股票型共同基金錯置效果不存在顯著的持續性,每一期的基金DISP在各分級變動機率均約在20%上下。 / For several decades, financial literature was dominated by the idea of efficient market. However, we can find many phenomena which violate traditional pricing model or the hypothesis of rational investors. That’s why behavioral finance arises. Behavioral finance takes investors’ subjective and mental factors into account while talking about their decision making process. Based on behavioral finance, this study examines the disposition effect of Taiwan equity mutual funds. We want to know if Taiwan equity mutual funds appear to realize gains more readily than losses. / This study follows Odean model analyzing disposition effect by first calculating proportion of gains realized (PGR) and proportion of losses realized (PLR) of equity mutual funds. Then form the disposition effect proxy, Disposition Spread (DISP), by measuring the difference between PGR and PLR. While positive DISP existed means that sample funds exhibit a propensity to sell their winning stocks and hold on to their losers. Furthermore, we want to know whether the disposition effect influences the performance of mutual funds. Finally, separating samples in to five groups by DISP, we want to figure out if funds exists consistency in disposition ranking. / On average, mutual funds appear to realize losses more readily than gains. However, about 33% of the sample observations exhibit disposition effect. The disposition effect is negatively related to fund performance. Generally speaking, Taiwan equity mutual funds do not have consistency in disposition ranking.
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