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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/152733
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/152733


    Title: 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
    Authors: 楊皇遠
    Yang, Huang-Yuan
    Contributors: 陳鴻毅
    Chen, Hong-Yi
    楊皇遠
    Yang, Huang-Yuan
    Keywords: 動能因子
    處分效果
    基金經理人撤換
    基金經理人行為
    Momentum factor
    Disposition effect
    Fund managerial turnover
    Fund manager’s behavior
    Date: 2024
    Issue Date: 2024-08-05 13:44:37 (UTC+8)
    Abstract: 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.
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    Description: 碩士
    國立政治大學
    財務管理學系
    111357035
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0111357035
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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