指導教授：林惠玲臺灣大學：經濟學研究所吳介元Wu, Chieh-YuanChieh-YuanWu2014-11-292018-06-282014-11-292018-06-282013http://ntur.lib.ntu.edu.tw//handle/246246/263400本文探討投資人情緒對國內基金經理人從眾之影響。相對於以往研究多著重於二項分配下從眾行為，亦即僅考慮買入與賣出之交易行為，本文將傳統的二項分配擴充為三項分配，加入持有之交易方向(Wylie，2005)，並以因素分析估計市場投資人之情緒綜合指標，首度探討基金經理人從眾的影響因素。除了投資人情緒外，並將過去文獻提到有關於從眾的起因，一起納入實證。以台灣共同基金為研究對象，資料期間為2008年1月至2013年5月，主要發現如下：（1）投資人情緒與全體從眾及賣的從眾皆為正向的關係，二、三項分配及落後一、二期，結果都是一致的。代表當投資人越看好未來時，基金經理人越會從眾，且更進一步來說，我們得知為賣的從眾。（2）前一個月基金報酬率標準差及基金交易人數與全體從眾、買的從眾以及賣的從眾皆為正向的關係，二、三項分配結果一致。代表當基金前一期報酬標準差越大時，為了本身的聲譽，基金經理人在下一期越會去從眾。結果也顯示當該檔股票有越多基金經理人在交易時，從眾行為會越明顯，此結論支持Wermers(1999), Sam Wylie(2005)之研究結果。（3）公司規模則與全體從眾、買的從眾以及賣的從眾皆為負向的關係，二、三項分配結果一致。規模較小的公司通常資訊揭露較不完全，容易使基金經理人對此公司產生不確定性，股價上漲時深怕買不到，下跌時也怕賣不出，因而時常會使得其他經理人被迫跟隨部分經理人做出從眾行為之操作策略。（4）PDR（為當月基金總申購率減掉總贖回率）與買的從眾為正向的關係，與賣的從眾則為負向的關係，顯示基金投資人的大量申購與大量贖回基金將分別迫使基金經理人加碼持股與賣出持股。This study investigates the influence of the investor sentiment on fund manager herding. We use Taiwan mutual funds as the study objects, while the study period of the article is from January 31, 2008 to May 31, 2013. This paper provides a direct, empirical examination on this expectation. We apply trinomial distribution approach to measure manager herding, and employ the principal component analysis as means of extracting composite unobserved sentiment measures. The main findings of the results are as follows: (1) There is a positive relationship between investor sentiment and herding measure and sell herding measure, binomial distribution, trinomial distribution, and for those that fell behind one or two phrases, the results are identical. This means that when investors have more confidence in the future, fund managers will herd more; (2) There are positive relationships between all fund managers’ return standard deviation in the previous month and number of managers trading and herding measure, buy herding measure and sell herding measure, so the results of binomial distribution and trinomial distribution are identical. This means that when all fund managers’ return standard deviations become smaller, the information that everyone obtains is about the same, therefore, they will comparatively not herd. On the contrary, which means that the possessed information is not identical, because of reputation, the one with information that falls behind will have more motivation to herd. The result also shows that when the stock’s number of managers trading increases, herding behavior will be more significant. This conclusion supports the study results of Wermers (1999), Sam Wylie (2005); (3) There are negative relationships between the company size and herding measure, buy herding measure and sell herding measure, while the results of binomial distribution and trinomial distribution are identical. Smaller sized companies’ information exposure is usually incomplete, so it is easy for fund managers to have uncertainty towards these companies. When the stock price rises, investors will be afraid that they cannot buy the stock. When the stock price drops, they will be afraid that they cannot sell it. Therefore, it always forces fund managers to follow the part of the fund managers and then produces the operating tactic of herding; (4) There is a positive relationship between PDR (the current month’s fund purchase ratio subtracting redemption ratio) and buy herding measure, while its relationship with sell herding measure is negative, which shows that fund investors’ large amount of purchase and large amount of redemption will force the fund manager to raise the quota of holding stocks, and sell the holding stocks, respectively.口試委員會審定書 # 誌謝 i 中文摘要 ii ABSTRACT iii 目錄 v 表目錄 vii 第一章 緒論 1 1.1 研究背景 1 1.2 研究動機 1 1.3 研究目的 2 1.4 研究架構 2 第二章 文獻回顧 4 第三章 研究方法 7 3.1 從眾行為值分配 7 3.2 投資人情緒因素分析與估計 9 3.3 實證迴歸模型 13 3.4 樣本選擇與資料處理 14 第四章 實證結果分析 17 4.1 回歸基本假設檢定 17 4.2 二項分配的實證結果 19 4.3 三項分配的實證結果 23 4.4 二項分配與三項分配實證結果之比較 23 第五章 結論與建議 25 REFERENCE 27334739 bytesapplication/pdf論文使用權限：不同意授權投資人情緒基金經理人從眾thesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/263400/1/ntu-102-P00323002-1.pdf