黃志典臺灣大學:國際企業學研究所毛宗毅Mao, Tsung-YiTsung-YiMao2010-05-112018-06-292010-05-112018-06-292009U0001-2707200912372300http://ntur.lib.ntu.edu.tw//handle/246246/182829共同基金經理人在進行投資決策時，同時面臨著績效壓力與競爭對手等因素，導致其可能會同時買入或賣出同一股票，即稱為群集行為。為了更深入探究股票市場上共同基金經理人之投資行為，本研究使用LSV群集指標，並加入持有交易方向，透過三項分配驗證國內基金經理人之群集行為。究結果顯示，台灣基金經理人之間確實存在群集行為，在研究期間內買入群集行為較賣出群集行為顯著，且三項分配所求出之群集行為值明顯小於二項分配所求之值，顯示二項分配下可能會高估群集行為值。另外，基金經理人公司會因為公司規模、當期股票報酬率及基金績效之高低而產生不同程度之群集行為，一般而言，公司規模較小者有較明顯之群集行為，其次是公司規模較大者；至於當期股票報酬率高者，買入群集現象較為顯著，而當期股票報酬率低者，則賣出群集現象較明顯；基金績效最差者，基金經理人會基於聲譽風險的考量，而採用較顯著之群集行為。Once mutual fund managers make investment decisions, they have to face fund performance and profession challenge and procured the behavior of buying or selling in the same stock at the same time. The purpose of this paper is to examine the herding behavior of fund managers in Taiwan by using a trinomial distribution method, extended from the traditional binomial distribution one. The trinomial distribution method considers three trade directions, namely buy, sell and hold.he empirical results show that Taiwan mutual fund managers have significant herding behavior, and buy-herding behavior is more significant than sell-herding behavior. The binomial distribution may overestimate the herding behavior owing to ignoring the trade direction - hold. The herding behavior is closely related to the firm size, current-stock returns and mutual fund performance. First, the detected level of herding is higher for the smallest and biggest size stock. Second, buy-herding is strong in high current-return stocks and sell-herding is strong in low current-return stocks. Third, managers tend to herd in funds with the worst performance based on reputation.中文摘要 ........................................................................................................................... i文摘要 .......................................................................................................................... ii錄 ................................................................................................................................ iii一章 緒論 .................................................................................................................... 1一節 研究背景 .................................................................................................... 1二節 研究動機與目的 ........................................................................................ 2三節 研究架構與流程 ........................................................................................ 3二章 文獻探討 ............................................................................................................ 5一節 行為財務學之沿革 .................................................................................... 5二節 群集行為之起源與理論發展 .................................................................... 6.2.1 群集行為之起源 .................................................................................... 6.2.2 群集行為之理論發展 ............................................................................ 7.2.3 小結 ........................................................................................................ 9三節 群集行為之實證研究 ................................................................................ 9.3.1 LSV群集指標 ......................................................................................... 9.3.2 CSSD與CSAD群集指標 .................................................................... 11.3.3 其他群集研究發現 .............................................................................. 12.3.4 小結 ...................................................................................................... 12三章 研究方法 .......................................................................................................... 14一節 研究期間與資料 ...................................................................................... 14.1.1 研究期間與資料來源 .......................................................................... 14.1.2 樣本選取標準 ...................................................................................... 15二節 研究設計 .................................................................................................. 15.2.1 群集行為指標衡量 .............................................................................. 15.2.2 條件群集行為值 .................................................................................. 17.2.3 敏感性分析 .......................................................................................... 18三節 研究假說 .................................................................................................. 18四章 實證結果 .......................................................................................................... 21一節 基金經理人群集行為之研究 .................................................................. 21.1.1 台灣基金經理人群集指標衡量 .......................................................... 21.1.2 台灣基金經理人條件群集行為值衡量 .............................................. 22.1.3 二項分配與三項分配群集行為值之比較 .......................................... 23二節 股票特性分組之群集行為研究 .............................................................. 24.2.1 依公司資本規模分類 .......................................................................... 24.2.2 依當期公司盈餘分類 .......................................................................... 26v.2.3 依當期股價報酬率分類 ...................................................................... 27三節 基金績效分組之群集行為研究 .............................................................. 32四節 基金經理人群集行為之敏感性分析 ...................................................... 33.4.1 以每期交易基金檔數作分類 .............................................................. 33.4.2 以持有交易張數範圍作分類 ............................................................ 35五章 結論 ................................................................................................................ 36一節 研究結論 ................................................................................................ 36二節 研究限制與建議 ...................................................................................... 38三節 後續研究建議 .......................................................................................... 38考文獻 ........................................................................................................................ 39application/pdf734998 bytesapplication/pdfen-US群集行為共同基金持有Herding BehaviorMutual FundHoldthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/182829/1/ntu-98-R96724071-1.pdf