Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/52662
|
| Title: | 投資流程之行為對股票型基金投資績效的影響
The impacts of behavior of investment process on the investment performance of equity funds |
| Authors: | 蔡明輝
Tsay, Ming Huei |
| Contributors: | 黃仁德
Huang, Jen Te
蔡明輝
Tsay, Ming Huei |
| Keywords: | 股票型基金
投資績效
資訊內涵
停損機制
equity funds
investment performance
information content
stop-loss mechanism |
| Date: | 2010 |
| Issue Date: | 2012-04-12 14:15:57 (UTC+8) |
| Abstract: | 本研究主要在探討投資流程之行為模式對股票型基金績效之影響，研究內容包括探討拜訪上市公司、下單積極度、下單集中度、及停損機制與基金投資績效之關係。
研究發現：（1）國內及外資券商公布評等報告前，皆有資訊事先洩漏之情況；法人說明會雖具有資訊內涵，但其資訊內涵於見報日即反應在股價上，投信公司透過拜訪上市櫃公司取得第一手資訊，才是提升基金績效之有效方法。（2）高下單積極度將對個股股價產生價格衝擊，並產生買進價格偏高及賣出價格偏低之劣勢，均不利於基金績效表現。（3）每年微幅差距之交易成本，經過複利計算，累積多年後之差異程度將非常驚人，投信公司應致力於提升下單集中度、節省交易成本，間接提升基金投資報酬率。（4）停損機制對基金績效有正面之影響，為減少經理人產生錯置效應，投信公司應確實執行停損機制，避免投資損失擴大。
依據研究結果，提出建議如下：（1）在資訊不對稱的環境下，投資人無法知悉基金經理人之投資操作，因此隱藏著基金經理人的道德危險，主管機關應善盡監督管理之責，以確保投資人權益。（2）投信公司及基金經理人應勤於拜訪上市櫃公司、謹慎訂定股票買賣價格區間、致力於節省投資交易成本、及落實損失檢討機制以提升投資績效。（3）投資人申購基金除了參考以往投資績效外，也應將基金投資交易成本高低列為參考之依據，避免基金投資交易成本過高侵蝕獲利。
This study examines the behavior of equity funds in relation to the investment process, Include visits to companies, actively traded stock level, the concentration of stock trading, and stop-loss mechanism of the effect on fund performance.
This study found that: domestic and foreign brokerages, before reporting their stock recommendations, usually leak information in advance. Although investor conferences have the information content, but its information content lies in the newspapers on the day of reaction in the stock price. Securities Investment Trust, to visit the company`s way to obtain first-hand information to effectively improve the investment performance of equity funds; a high degree of active stock trading affects the stock price by resulting in a high purchase price and low selling price, which is not conducive to equity fund performance; As a result of the gap between the cost of each transaction and the effect of compound interest, there is a high degree of difference after many years. As such, securities investment trust companies should strive to enhance the concentration of trading to reduce transaction costs, thereby increasing the investment return of equity funds; and as stop-loss mechanisms have a positive effect on the performance of equity funds, securities investment trust companies should implement stop-loss mechanisms to avoid loss of the expansion.
Based on the results of this study, the recommendations include: in the context of asymmetric information, investors have no knowledge of how the fund manager may conduct investment operations; therefore, regulatory authorities should take on the responsibility of protecting the interests of investors; securities investment trust companies and fund managers should be prudent when setting a stock trading price range to decrease investment transaction costs and minimize losses to improve investment performance; as high transaction costs erode profits, investors should also consider the level of transaction costs, which should be listed on a reference basis, in addition to past investment performance. |
| Reference: | 參考文獻
王健安（2001），〈年度競賽觀點下共同基金經理人風險調整行為之研究〉，《風險管理學報》，3:2，頁47-83。
王偉年（1995），〈影響機構投資人下單策略之因素分析〉，國立中正大學國際經濟研究所碩士論文。
池祥萱、蕭君怡（2005），〈券商投資評等報告的資訊內涵－本國券商與外資券商的比較〉，《金融風險管理季刊》，1:3，頁27-45。
李建然、廖秀梅、賴柏錚（2005），〈法人說明會之資訊內涵及公平性〉，《中華管理評論國際學報》，8:3，頁1-18。
林杰駿（2007），〈臺灣股票型基金錯置效果與績效之關聯性實證〉，南台科技大學企業管理系碩士論文。
林秋雲（2002），〈股票投資人處置效應之研究〉，輔仁大學應用統計研究所碩士論文。
易換棣（1995），〈臺灣股市機構投資人下單策略分析〉，國立中正大學國際經濟研究所碩士論文。
范馨云（2005），〈三大法人與臺灣一般投資大眾之競價優勢比較〉，國立東華大學國際經濟研究所碩士論文。
邱顯比（2006），《基金理財的六堂課》，第3版。台北：天下文化。
袁正達（2004），〈認知失調與處置效應之行為研究：以臺灣股票投資人為例〉，世新大學財務金融學研究所碩士論文。
黃仁德（2009），《總體經濟學》。台北，國立編譯館。
黃思衡（2004），〈外資券商投資評等宣告之資訊內涵：商譽與自我利益之衝突探討〉，朝陽科技大學財務金融系碩士論文。
陳明煜（2009），〈基本分析選股、技術分析擇時買進與設置停損機制之績效評估〉，銘傳大學資訊管理學系碩士論文。
許祐瑞（2001），〈臺灣股市散戶與三大法人處分效果之研究〉，國立高雄第一科技大學金融營運所碩士論文。
曾昱達（2002），〈大眾媒體推薦資訊對臺灣股票市場之影響〉，朝陽科技大學財務金融系碩士論文。
楊慧玲、楊國樑、翁鶯娟、楊一峰、劉瀚榆、蕭淑華、戴安茹、邱京君（2009），《行為財務學》。台北，五南圖書。
蔡幸儒（2002），〈法人說明會資訊內涵及影響管理當局召開行為動機之研究〉，國立台北大學會計學系碩士論文。
劉士豪（2001），〈報紙推薦資訊對股價行為影響之研究〉，國立臺灣科技大學企業管理系碩士論文。
劉貞芸（2004），〈報紙推薦資訊之實證研究-以經濟日報每週精選潛力股專欄為例〉，淡江大學財務金融學系碩士論文。
劉瑄儀（2005），〈我國綜合證券商研究人員資訊尋求行為研究〉，《圖書與資訊學刊》，52，頁70-87.
薛品嶸（2007），〈設定停損或停利對投資者行為之影響〉，國立臺灣大學財務金融研究所碩士論文。
盧志昌（1999），〈證券投顧公司投資組合競賽傳達訊息之研究〉，國立中正大學財務金融研究所碩士論文。
Arkes, H. R. and C. Blumer (1985),“The Psychology of Sunk Cost,” Organizational Behavior and Human Decision Processes, 35, pp. 124-140.
Beaver, W. H. (1968), “The Information Content of Annual Earnings Announcements,”Journal of Accounting Research, 6, pp. 67-92.
Beaver, W. H. (1989), Financial Reporting: An Accounting Revolution Englewood Cliffs, New Jersey: Prentice-Hall.
Bowen, R. M., A. K. Davis, and D. A. Matsumoto (2001), “Do Conference call Affect Analyst’s Forecast,”Accounting Review, 77:2, pp. 285-316.
Coval, J. D. and T. Shumway (2004), “Do Behavioral Biases Affect Prices?”Journal of Finance, 60:1, pp. 1-34.
Fama, E. F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work,”Journal of Finance,25:2, pp. 383-417.
Frankel, R., M. Johnson, and D. J. Skinner (1999), “An Empirical examination of Conference Call as a Voluntary Disclosure Medium,” Journal of Accounting Research,37, pp. 133-150.
Jegadeesh, N., J. Kim, S. D.Krische, and C. M. C. Lee (2004), “Analyzing the Analysts: When Do Recommendations Add Value?”Journal of Finance, 59, pp. 1083-1124.
Kahneman, D. and M.W. Riepe (1998), “Aspects of Investor Psychology,” Journal of Portfolio management,24:4, pp. 52-65.
Kahneman, D. and A. Tversky (1979), “Prospect Theory: An Analysis of Decision Under Risk,”Econometrica, 47:2, pp. 263-292.
Kaustia, M. (2004), “Market-wide Impact of the Disposition Effect: Evidence from IPO Trading Volume,” Journal of Financial Markets, 7:2, pp. 207-235.
Kozielecki, J. (1981), Psychological Decision Theory, Theory and Decision , New York: Plenum Press.
Kuhlthau,C. C.(1999), “The Role of Experience in the Information Search Process of an Early Career Information Worker: Perceptions of Uncertainty, Complexity, Construction, and Sources,”Journal of the American Society for Information Science, 50:5, pp. 399-412.
Lee, Y. T., J. C. Lin, and Y. J. Liu (1999), “Trading Patterns of Big versus Small Players in An Emerging Market: An Empirical Analysis,”Journal of Banking and Finance, 23:5, pp. 701-725.
Locke, P. and S. C. Mann (2000), “Do Professional Traders Exhibit Loss Realisation Aversion?”working paper, George Washington University.
Odean, T. (1998), “Are Investors Reluctant to Realize Their Losses ?”Journal of Finance, 53:5, pp. 1775-1798.
Shefrin, H. and M. Statman (1985), “The Disposition to Sell Winners too Early and Ride Losers too Long: Theory and Evidence,”Journal of Finance, 40:3, pp. 529-543. |
| Description: | 碩士
國立政治大學
行政管理碩士學程
96921030
99 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0096921030 |
| Data Type: | thesis |
| Appears in Collections: | [行政管理碩士學程(MEPA)] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| index.html | 0Kb | HTML2 | 307 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
