李存修臺灣大學：財務金融學研究所羅孝君Luo, Hsiao-ChunHsiao-ChunLuo2007-11-282018-07-092007-11-282018-07-092005http://ntur.lib.ntu.edu.tw//handle/246246/60902本文研究台灣共同基金家族的風險承擔及群集行為。實證結果顯示有財團背景之投信相較於無財團背景之投信容易有競賽行為。在誘因契約方面，可以發現以年為績效頻率的外資背景投信比無財團背景之投信有更顯著的競賽行為。由此可知投信家族確實在財團背景、誘因契約等方面影響基金經理人的行為。在群集行為部份，實證結果顯示報酬率及風險的相關係數在同個投信家族內相較於不同投信家族間為高，代表投資人若將基金放於同一個籃子（投信家族）內，即使基金種類不同，風險分散的效果亦是有限。This paper studies the risk taking behavior between different mutual funds families and herding behavior within the same mutual fund families in Taiwan during the period from 2000 to 2004. Empirical results show that the families with consortium support tend to engage in more tournament behavior than those without the support of consortiums. The “year-end” compensation schemes of the foreign invested mutual fund families lead to relatively (compared to the stand-alone mutual fund families) clearer tournament behavior than within the bank affiliated, securities company affiliated, and financial holdings corporation affiliated mutual fund families. The return correlations and beta correlations reveal that the performance of funds inside a family is more similar than outside a family. This suggests that fund managers within the same mutual fund families exhibit herding behavior. Therefore, for the investors who confine their fund holdings to the same family, the diversifications effect will be reduced. Wise investors should diversify not only fund objectives but also fund families.I.INTRODUCTION…………………………………………………………1 II.LITERATURE REVIEW......................................5 Ⅱ.1 Risk taking behavior.................................5 Ⅱ.1.1 Incentive contracts................................5 Ⅱ.1.2 Tournament behavior................................6 Ⅱ.1.3 Strategic behavior.................................7 Ⅱ.2 Herding behavior.....................................9 III.HYPOTHESES...........................................11 Ⅲ.1 Risk taking behavior................................11 Ⅲ.2 Herding behavior....................................14 IV.DATA AND METHODOLOGY..................................15 Ⅳ.1 Data................................................15 Ⅳ.1.1 Sample selection criteria.........................15 Ⅳ.1.2 Summary of descriptive statistics.................16 Ⅳ.2 Methodology.........................................19 Ⅳ.2.1 Risk Taking Behavior..............................19 Ⅳ.2.2 Herding Behavior..................................21 V.EMPIRICAL RESULTS......................................22 Ⅴ.1 Risk Taking Behavior................................22 Ⅴ.1.1 Segment tournament................................22 Ⅴ.1.2 Family tournament.................................28 Ⅴ.2 Herding Behavior....................................34 VI.CONCLUSIONS...........................................38 APPENDIX A-E.............................................40 REFERENCES...............................................46 Figures Figure 1 Types of mutual fund managers behavior in the literatures..............................................5 Figure 2 TSE weighted stock index monthly return standard deviations...............................................25 Figure 3 TSE weighted stock index........................25 Tables Tables 1 Annual summary statistics for mutual fund families including in our sample, 2000-2004..............17 Tables 2 Summary statistics for mutual fund families in Taiwan, 2000-2004........................................18 Tables 3 Summary statistics for fund family classifications..........................................18 Tables 4 Simple Regression results for Listed Stocks Funds, 2000-2004.........................................24 Tables 5 Simple regression results for General Purpose Funds, 2000-2004.........................................26 Tables 6 Simple regression results for Technology Funds, 2000-2004................................................27 Tables 7 Simple regression results for Small Cap Funds, 2002-2004................................................27 Tables 8 Dummy approach regression results for Listed Stocks Funds, 2000-2004..................................30 Tables 9 Dummy approach regression results for General Purpose Funds, 2000-2004.................................31 Tables 10 Dummy approach regression results for Technology Funds, 2000-2004.........................................32 Tables 11 Dummy approach regression results for Small Cap Funds, 2002-2004.........................................33 Tables 12 Return correlations within and outside fund families.................................................36 Tables 13 Beta correlations within and outside fund families.................................................37 Appendix Appendix A The Classifications of SITC from 2000 to 2004.....................................................40 Appendix B Dummy approach results of (7,5)-segmentation for Listed Stock Funds, 2000-2004...................................42 Appendix C Dummy approach results of (7,5)-segmentation for General Purpose Funds, 2000-2004.................................43 Appendix D Dummy approach results of (7,5)-segmentation for Technology Funds, 2000-2004..............................44 Appendix E Dummy approach results of (7,5)-segmentation for Small Cap Funds, 2000-2004.........................................45295325 bytesapplication/pdfen-US競賽行為風險承擔行為群集行為herding behaviortournament behaviorrisk taking behaviorthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60902/1/ntu-94-R92723053-1.pdf