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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/83129


    Title: 機構法人從眾行為之研究－以國內股市集中交易市場為例
    Authors: 蘇惟宏
    Su, Wei-Hung
    Contributors: 林炯垚
    劉玉珍
    張愛華
    蘇惟宏
    Su, Wei-Hung
    Keywords: 機構法人
    從眾行為
    Institutionals
    Herding
    Date: 2000
    Issue Date: 2016-03-31 13:25:33 (UTC+8)
    Abstract: 從實證中，以持股月變動率的大小，分成十組進行檢定與分析，當期的持股變動與當期報酬的關係，在各法人之間是相當顯著，其中以正向持股變化（買進）的十分位數較具有顯著性，隱含法人善於在當期改變持股組合，以投信的改變程度最為顯著。至於報酬對於持股變化的延伸性（往前或是往後），以總體法人來看，是以當期以及下一期的報酬較能解釋法人持股變化與報酬率有正的關係。至於再向前或向後延展一期或兩期，法人持股變化與報酬會呈現負的關係，隱含有殺跌的現象。但在報酬率上，往後延伸（即後從眾行為的報酬）會有報酬迴歸的現象。
    Reference: 1. 王元章、王耀賢，「從競賽觀點探討基金經理人風險調整行為」，中國財務學刊，Vol. 6, No. 3, Jan. 1999, pp.25-62。
    2. 吳政樂，「證券自營商之從眾行為與投資策略分析」，國立中央大學財務管理研究所未出版碩士論文，民國八十八年。
    3. 范揚州，「共同基金擇股偏好與從眾行為之研究」，國立中央大學財務管理研究所未出版碩士論文，民國八十八年。
    4. 柯靜君，「機構投資人從眾行為之研究—以國內共同基金為例」，國立成功大學企業管理研究所未出版碩士論文，民國八十七年。
    5. 林意真，「共同基金流量與股票市場關係之研究」，高雄第一科技大學金融營運系碩士班未出版碩士論文，民國八十七年。
    6. 翁英傑，「自營商及外資之投資行為研究」，輔仁大學金融研究所未出版碩士論文，民國八十五年。
    7. 陳隆麒、王健安，「共同基金經理人風險調整行為之研究」，中國財務學會1999年年會暨第八屆財務金融學術論文研討會論文。
    8. 羅峻松，「共同基金群集行為之研究」，國立台灣工業技術學院管理技術研究所未出版碩士論文，民國八十五年。
    9. 謝佳君，「國內開放型股票共同基金投資人之行為研究」，國立臺灣大學財務金融學研究所未出版碩士論文，民國八十七年。
    10. Del Guercio, Diane, 1996, The distorting effect of the prudent-man laws on institutional equity investments, Journal of Financial Economics 40, 31-62.
    11. De Long, J. Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann, 1990, Noise trader risk in financial markets, Journal of Political Economy 98, 703-738.
    12. Falkenstein, Eric G., 1996, Preferences for stock characteristics as revealed by mutual fund portfolio holdings, Journal of Finance 51, 111-135.
    13. Grinblatt, Mark, Sheridan Titman, and Russ Wermers, 1995, Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior, American Economic Review 85, 1088-1105.
    14. Lakonishok, Josef, Andrei Shleifer, Richard H. Thaler, and Robert W. Vishny, 1991, Window dressing by pension fund manager, American Economic Review Papers and Proceedings 81, 227-231.
    15. Lakonishok, Josef, Andrei Shlerfer, and Robert W. Vishny, 1992, The impact of institutional trading on stock prices, Journal of Financial Economics 32, 23-43.
    16. Neal, Robert and Simon M. Wheatley, 1998, Do measures of investors sentiment predict returns?, Journal of Financial and Quantitative Analysis, 33, 523-548.
    17. Nofsinger, John R. and Richard W. Sias, 1999, “Herding and Feedback Trading by Institutional and Individual Investors”, Journal of Finance, Vol. 54, 2263-2296.
    18. Odean, Terrance, 1998, Are investors reluctant to realize their loses?, Journal of Finance 53, 1775-1798.
    19. Patel, Jayendu, Richard Zeckhauser, and Darryll Hendricks, 1991, The rationality struggle: Illustrations from financial markets, American Economic Review 81, 232-236.
    20. Scharfstein, David S. and Jeremy C. Stein, 1990, Herd behavior and investment, American Ecnomic Review 80, 465-479.
    21. Shefrin, Hersh and Meir Statman, 1985, The disposition to sell winners too early and ride losers too long : Theory and evidence, Journal of Finance 40, 777-792.
    22. Sias, Richard W., 1997, Price pressure and the role of institutional investors in closed-end funds, Journal of Financial Research 20.
    23. Sirri, Erik R. and Peter Tufano, 1998, Costly search and mutual fund flows, Journal of Finance 53, 1589-1622.
    24. Wermers, Russ 1999, “Mutual Fund Herding and the Impact on Stock Prices”, Journal of Finance, Vol. 54, No. 2. 581-623.
    25. Graham, John R. 1999, “Herding Among Investment Newsletters: Theory and Evidence”, Journal of Finance, Vol. 54, 237-269.
    Description: 碩士
    國立政治大學
    企業管理學系
    87355055
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002001978
    Data Type: thesis
    Appears in Collections:[Department of Business Administation] Theses

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