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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/110792


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/110792


    題名: 共同基金投資者是否過早實現獲利?
    Do mutual fund investors realize gains too early?
    作者: 邱雯儀
    Chiu, Wen-Yi
    貢獻者: 陳鴻毅
    邱雯儀
    Chiu, Wen-Yi
    關鍵詞: 基金流量
    基金績效
    處分效果
    Fund flow
    Fund performance
    Disposition effect
    日期: 2017
    上傳時間: 2017-07-11 11:27:55 (UTC+8)
    摘要: 本論文主要研究共同基金投資者是否存在處分效果之行為偏誤，即共同基金投資者是否過早實現獲利的部位並保留損失的部位。本論文運用基金過去績效推論投資者基金部位的損益，並利用基金流量判斷投資者是否賣出或繼續持有基金。實證結果顯示整體基金投資者對過去正報酬基金的贖回程度並不顯著異於過去負報酬的基金，唯部分基金投資者在面對高報酬基金時才傾向實現獲利。本論文亦發現投資者實現獲利的基金除了具有高報酬之外，其費用率亦較未實現獲利的基金高。本研究因此推論基金高額費用率是投資者實現獲利之主因。最後，本研究發現基金投資者所賣出的高報酬基金其未來績效劣於買進的高報酬基金。因此本研究認為基金投資者實現獲利之行為是基於理性考量，即考慮基金之持有成本及其未來展望而做的決策，並非處分效果之行為偏誤所致。
    The main purpose of this study is to investigate the existence of the disposition effect, selling winners too early and holding losers too long, among mutual fund investors. Specifically, this study examines the relationship between the fund performance and fund flows to see whether mutual fund investors tend to realize their profits too early. Empirical results show that fund investors do not sell more mutual funds with positive returns than those with negative returns, while some fund investors tend to sell mutual funds with returns in the highest quintile group. In addition, this study finds that the high-return mutual funds sold by fund investors have higher expense ratios, indicating that the expense ratio may be one of the key factors of the selling decision of fund investors. Finally, in terms of the future performance, high-return mutual funds sold by fund investors perform worse than high-return mutual funds held by fund investors. This study, therefore, demonstrates that the tendency of selling winners in the mutual fund investment is under the consideration of the holding cost and future performance of mutual funds rather than the disposition effect of fund investors.
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    Cici, G., 2010. “The relation of the disposition effect to mutual fund trades and performance.” Working Paper, College of William and Mary.
    Coval, J., Shumway, T., 2005. “Do behavioral biases affect prices?” Journal of Finance 60, 1-34.
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    Gruber, M., 1996. “Another puzzle: The growth in actively managed mutual funds.” Journal of Finance 51, 783-810.
    Ippolito, R. A., 1992. “Consumer reaction to measure of poor quality: Evidence from the mutual fund industry.” Journal of Law and Economic 35, 45-70.
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    Shefrin, H., Statman, M., 1985. “The disposition to sell winners too early and ride losers too long: Theory and evidence.” Journal of Finance 40, 777-790.
    Sirri, E.R., Tufano, P., 1998. “Costly search and mutual fund flows.” Journal of Finance 53, 1589-1622.
    Weber, M., Camerer, C.F., 1998. “The Disposition Effect in Securities Trading: An Experimental analysis.” Journal Economic Behavior & Organization 33, 167-184.
    Wermers, R., 2003. “Is money really ‘‘smart’’? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence.” Working Paper, University of Maryland.
    描述: 碩士
    國立政治大學
    財務管理研究所
    104357006
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0104357006
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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