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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/31183
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31183


    Title: 不同風險水準下基金處分效果的探討--Panel Threshold Model的應用
    Authors: 吳俊諺
    Contributors: 沈中華
    吳俊諺
    Keywords: 處分效果
    disposition effect
    Date: 2006
    Issue Date: 2009-09-14 09:29:29 (UTC+8)
    Abstract: 本文探討基金投資人的投資行為是否存在處分效果(disposition effect),以台灣開放式股票型基金來作檢定,研究資料期間從2001年7月至2006年7月,與以往研究文獻不同之處,本研究將基金區分為高、低風險兩類,再分別去檢驗投資人在不同風險下,其投資行為是否會有所差異。
    本文採用變數門檻模型(threshold model in variable),主要研究變數有研究變數為基金流入( )、基金流出( )、基金原始月報酬率( )、基金原始風險( )、基金市場調整後月報酬率( )、基金市場調整後風險( )、基金規模( )、基金月週轉率( )、基金經理費用率( )、其他項費用率( )共十個變數,每個變數分別有7503筆資料。
    本研究發現,基金投資人在高風險下,其處分效果相當明顯,即投資人會急售獲利或是加碼績效佳的基金,但對於績效差的基金卻延遲贖回;而投資人在低風險下,其處分效果就變得不明顯。
    此外,投資人在高風險下,對於基金規模大小以及基金費用率的高低會比較敏感,即在高風險下,投資人不偏好申購規模較大的基金及費用率較高的基金。
    Reference: 英文文獻
    Chevalier, J. and G. Ellison (1997), “Risk taking by mutual funds as a response incentives,” Journal of Political Economy, Vol. 105, 1167-1200.
    Griblatt, M. and M. Keloharju (2001), “What makes investors trade?” Journal of Finance, Vol. 56, 589-616.
    Garvey, R. and A. Murphy (2004), “Are professional traders too slow to realize their losses ?” Financial Analysts Journal, Vol. 60, 35-43.
    Harris, L. (1988), “Discussion of predicting contemporary volume with historic volume at differential price levels: Evidence supporting the disposition effect,” Journal of Finance, Vol. 43, 698-699.
    Hansen, B.E. (1999), “Threshold effects in non-dynamic panels: Estimation , testing, and inference,” Journal of Econometrics 93, 345-368.
    Ippolito, R. A. (1992), “Consumer reaction to measures of poor quality: Evidence from the mutual fund industry,” Journal of Law and Economics, Vol. 35, 45-70.
    Kaustia, M. (2004), “Market-wide impact of the disposition effect: Evidence from IPO trading volume,” Journal of Financial Markets, Vol. 7, 207-235.
    Lakonishok, J. and S. Smidt (1986), “Volume for winners and losers: Taxation and other motives for stock trading,” Journal of Finance,Vol. 41, 951–974.
    Odean, T. (1998), “Are investors reluctant to realize their losses?” Journal of Finance, Vol. 53, 1775-1798.
    Shefrin,H.and Statman,M.(1985), “The Disposition to Sell Winners Too Early and Ride Losers Too Long:Theory and Evidence”,The Journal of Finance.Vol.40,777-190
    Sirri E.R. and P. Tufano (1998), “Costly search and Mutual Fund Flows,” Journal of Finance, Vol. 53, 1589 -1622.
    Sinha, R. and V. Jog (2005), “Fund flows and performance: A study of Canadian equity funds,” Working paper, University of Windsor, Canada.
    Weber, M. and C. F. Camerer (1998), “The disposition effect in securities trading: An experimental analysis,” Journal of Economic Behavior and Organization, Vol. 33, 167-184.
    Wermers R. (1999), “Mutual Fund Herding and the Impact on Stock Prices,” The Journal of Finance, Vol. 54, 581-622.
    中文文獻
    白芳苹 (2002),「基金投資人之錯置效果-台灣地區實證研究」,未出版碩士論文,國立台灣大學財務金融研究所。
    李建興、沈中華與彭琪祿 (2005),「基金投資人錯置效果之再檢定:以台灣開放式股票型基金為例」,《證券市場發展季刊》審稿中。
    林秋雲 (2002),「股票投資人錯置效果之研究」,未出版碩士論文,輔仁大學應用統計學研究所。
    許祐瑞 (2002),「台灣股市散戶與三大法人處分效果之研究」,未出版碩士論文,高雄第一科技大學金融營運研究所。
    許光華與林秉瑋 (2003),「台灣股市散戶投資人處分效果之實證研究」,未出版碩士論文,朝陽科技大學財務金融研究所。
    黃國鳴 (2006),「不同風險程度下基金投資人錯置效果之檢定:以台灣開放式股票型基金為例」,未出版碩士論文,義守大學財務金融研究所。
    彭琪祿 (2005),「台灣開放式股票型基金投資人行為之研究」,未出版碩士論文,義守大學財務金融研究所。
    顏信輝與張孟婷 (2005),「投資決策處置效應之實驗證據:市場走勢與風險態度之影響」,世新大學2005年行為財務學理論與實證研討會論文,台北。
    Description: 碩士
    國立政治大學
    金融研究所
    94352013
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094352013
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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