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博碩士論文 etd-0730105-190125 詳細資訊
Title page for etd-0730105-190125
論文名稱
Title
基金經理人能力與基金持股偏誤關係之研究
The Study of the Relationship between Mutual Fund Manager Competence and Mutual Fund Holding Bias
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
82
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2005-06-05
繳交日期
Date of Submission
2005-07-30
關鍵字
Keywords
持股偏誤、模糊規避、能力
Ambiguity Aversion, Holding Bias, Competence
統計
Statistics
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中文摘要
Heath and Tversky(1991)研究中提出之「能力假說」(The competence hypothesis)概念,係指人們模糊規避(ambiguity aversion)之認知偏誤,會受到個人自認能力程度影響。當人們自認對於某領域具高度專業知識及操作技巧時,即使處於不確定情況下,仍會傾向選擇根據自己主觀判斷來下注;然而,當個人自認不具專業知識及操作技巧時,將傾向選擇依客觀公平機率來下注,故人們是否具模糊規避應視其自認能力程度而定。本研究將選取開放式國內一般股票型基金之經理人做為研究對象,研究期間為民國93年4月至94年3月共12個月。
本研究第一部份探討能力效果是否會影響專業經理人之投資行為,利用多元迴歸(multiple regression)分析基金經理人能力與基金持股偏誤間之關係。實證結果發現,能力效果確實會發生在基金經理人身上,即當基金經理人能力高,所負責之基金持有過多或過少之電子類股,基金對電子類股之持股比重,明顯偏離上市櫃股票市場中電子類股之市值比重;而當基金經理人能力不高,所負責之基金對電子類股之持股比重,則較接近上市櫃股票市場中電子類股之市值比重。至於本研究另一個偏誤行為假設,基金經理人能力與基金投資組合β值偏誤間則無顯著關係。
本研究第二部分將利用邏輯迴歸(Logistic regression)分析,探討影響基金經理人能力之因素。實證結果發現,五項可能影響基金經理人能力之變數中,只有「基金規模」與基金經理人能力有正向顯著關係,即基金規模較大,該基金經理人能力較高;其餘四項變數:基金經理人操盤總資歷、教育程度、性別及基金過去一年績效則與基金經理人能力無顯著關係。
Abstract
The concept of competence hypothesis identified by Heath and Tversky (1991) proposes that ambiguity aversion is affected by the subjective competence level of participants. When people feel knowledgeable or skillful in a field, they would rather bet on their own judgment even with uncertainty. However, when participants do not feel knowledgeable or skillful, they prefer betting on the unambiguous chance event. Therefore, the bias of ambiguity aversion is conditional on the subjective competence level of the participants. Our study selects managers of open and domestic stock type mutual funds to be study objects. There are 12 months during the study period, starting from April 2004 and ending in March 2005.

In the first part of this paper, we investigate whether the competence effect influences professional managers’ behaviors. We explore the relation between manager competence and mutual fund holding bias by conducting multiple regression analysis. Our study finds competence effect in the behaviors of mutual fund managers. A positive relation exists between manager competence and mutual fund holding electronic stocks bias. When manager competence is high, the mutual fund holdings in electronics stocks will be either more or less than the market. That is, weighting of holding electronics categorized stocks in mutual fund clearly deviate from the weighting of electronics categorized stocks in the market. However, when manager competence is not high, weighting of holding electronics categorized stocks in mutual fund follows that in the market. The other hypothesis proposes that manager competence is not relevant to the β of mutual fund portfolio.

Secondly, we explore the factors that affect manager competence by conducting logistic regression analysis. Among the five variables which may affect mutual fund manager competence, we find “fund size” the only factor that is positively relevant to mutual fund manager competence. In other words, the larger the mutual funds, the more likely that managers will perceive themselves as skillful and knowledgeable. The other four variables are the manager’s previous fund management experience, educational level, gender, and performance of mutual fund in the past year. They are not related to competence.
目次 Table of Contents
致謝辭……………………………………………………………………………… Ⅰ
中文摘要…………………………………………………………………………… Ⅱ
英文摘要…………………………………………………………………………… Ⅲ
第一章 緒論……………………………………………………………………… 1
第一節 研究背景與動機…………………………………………………… 1
第二節 研究目的…………………………………………………………… 3
第三節 研究限制…………………………………………………………… 3
第四節 論文架構…………………………………………………………… 5
第二章 文獻探討………………………………………………………………… 7
第一節 投資人心理與行為關係…………………………………………… 7
第二節 投資人持股偏好……………………………………………………13
第三節 投資人特質與投資行為關係………………………………………18
第三章 研究方法…………………………………………………………………26
第一節 研究問題及假設……………………………………………………26
第二節 資料來源……………………………………………………………29
第三節 研究變數……………………………………………………………33
第四節 實證模型建立………………………………………………………43
第四章 實證分析…………………………………………………………………49
第一節 敘述統計分析………………………………………………………49
第二節 基金經理人能力與基金持股偏誤關係之實證結果………………52
第三節 影響基金經理人能力因素之實證結果……………………………57第四節 實證結果之討論……………………………………………………59
第五章 結論與建議………………………………………………………………63
第一節 結論…………………………………………………………………63
第二節 建議…………………………………………………………………65
參考文獻………………………………………………………………………… 67
附錄一 本研究問卷…………………………………………………………… 72
參考文獻 References
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