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| Title: | 台灣基金經理人背景對過度自信行為與處分效果行為的影響
Impact of Taiwan Fund Manager Background on overconfidence behavior and disposition effect |
| Authors: | 廖紹甯
Liao, Shao-Ning |
| Contributors: | 周冠男
Chou, Robin K.
廖紹甯
Liao, Shao-Ning |
| Keywords: | 基金經理人
行為財務
過度自信
處分效果
fund manager
behavior finance
overconfidence
disposition effects |
| Date: | 2020 |
| Issue Date: | 2020-07-01 13:40:05 (UTC+8) |
| Abstract: | 市場上常爭論，人們在進行財務決策時究竟為理性抑或是不理性，而主張人們僅具有限理性最著名的學派就是行為財務學，認為人們可能受到個人思維、情緒所影響，而做出非理性的行為。
本文以2013~2017年台灣市場的基金經理人在投資時所產生的行為切入，探討其在進行投資時，是否會出現不理性的行為如過度自信、處分效果，即透過觀察當期的買賣週轉率是否受到前期報酬率影響，如當期買進週轉率與前期報酬率顯著為正向關係，則歸類為過度自信；如當期賣出週轉率與前期報酬率顯著為正向關係，則歸類為處分效果。將所有132位基金經理人歸類後，進一步探討出現過度自信、處分效果的基金經理人，是否會受其背景如性別、學校屬性、科系、學位、入行時間影響。
最終結果顯示，不論基金經理人的性別、學校屬性、科系、學位、入行時間，皆不影響其出現過度自信、處分效果的行為，表示無法依照經理人的背景去預測其是否會做出不理性的投資決策行為。
It was often argued in the market that whether people are rational or irrational in financial decision-making. The most famous school which advocated people have only limited rationality is the behavior finance school. They believed that people who act irrationally may affected by such as personal thinking and internal emotions.
Based on the investment behavior of Taiwan’s fund managers from 2013 to 2017, this paper explored whether fund managers will appear irrational behavior such as overconfidence and disposition effects during investing. The methodology how we evaluate irrational behavior was to observe whether the fund turnover rate in current period will be affected by the previous return rate. If the current buying turnover rate and the previous return rate are significantly positive related, we classified as overconfidence；if the current selling turnover rate and the previous return rate are significantly positive related, we classified as disposition effects. After classifying all 132 fund managers, we further discuss whether fund managers with overconfidence and disposition effect will be affected by their backgrounds such as gender, university property, departments, degrees and entry time.
The results showed that regardless of the gender, university property, departments, degrees and entry time of the fund managers, it will not affect their behavior of overconfidence and disposition effects. It means that it is difficult to predict whether the fund manager will make irrational investment decisions according to their backgrounds. |
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| Description: | 碩士
國立政治大學
財務管理學系
107357033 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107357033 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202000590 |
| Appears in Collections: | [財務管理學系] 學位論文
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