從投資人觀點與誘因契約結構探討基金經理人從眾行為

Abstract

本研究以2002年9月至2008年12月之股票型基金為研究對象，探討投資人決定基金選取時，絕對績效與相對績效對投資決策的重要性與影響程度，進一步研究投資人對相對績效的重視程度與經理人從眾行為之關連，此為以投資人觀點探討基金經理人從眾行為。另一方面，亦以誘因契約結構觀點研究誘因契約結構的差異與經理人從眾行為之關連。 實證結果顯示，績效衡量期間較長時，投資人對絕對績效的重視程度相對於對相對績效重視程度高，但期間長短與絕對績效重要性非呈單調遞增關係。因此，對基金投資人而言，「基金相對績效表現對其投資決策重要性高於絕對績效對投資決策的重要性」不必然成立，視績效衡量期間長短而定。 相對績效與絕對績效之重要性與基金經理人從眾行為之關連性部分，在績效衡量期間較長下，「若投資人決定投資決策時，對基金相對績效重視程度愈高，基金經理人愈傾向出現從眾行為」成立。 誘因契約結構與基金經理人從眾行為之關連性部分，高管理費之基金其基金經理人從眾程度低於低管理費之基金，但兩者差異不顯著，因此，「高誘因契約之基金其基金經理人從眾程度較低」不成立。

The paper is to analyze the relative importance of mutual funds absolute performance as well as relative performance and their impact on the investment decision of mutual fund investors. Moreover, the paper also provides new perspectives on herding behavior of mutual fund managers in terms of investors and contractual incentives. By using the Lakonishok, Shleifer, and Vishny (1992) measure and the Wermers (1999) measure to evaluate the herding level of individual mutual fund ranging from September 2002 to December 2008, including 158 equity funds totally, the empirical results suggest three conclusions. First of all, the importance of absolute performance compared to the relative performance becomes higher as the performance evaluation period gets longer. However, it doesn’t display monotonous increasing relation between the importance of absolute performance and its evaluation period. Second, results reveal that the importance of mutual funds relative performance is positively correlated to the tendency to herd of mutual fund managers when the performance evaluation period is longer. Third, there is no significant evidence supporting that managers of high contractual incentive funds have low herding tendency. Key words：fund performance,fund flows,herding behavior, contractual incentive