共同基金評比制度下經理人的行為探討

Abstract

本研究欲探討在評比制度下，基金經理人面對過去的績效表現時，其行為是如何變化。使用1999年 ~ 2008年國內投資股票型基金的資料，以標準差和國內投資率(持股比例)為風險替代變數，觀察基金經理人的風險調整行為。透過卡方獨立性檢定、T檢定確認贏家與輸家對於前期績效的反應是否有明顯的不同。另外，再以迴歸模型探討風險調整幅度和前期績效、基金規模、基金存續期間等之間的關係。 本研究主要的發現如下所示: 1.在列聯表卡方獨立性檢定中，顯示上期績效表現和本期的風險操作有關聯。 2.在T檢定中，無論以標準差或國內投資率為風險替代變數，結果皆顯示輸家的風險調整幅度是大於贏家。 3.在迴歸模型中，以標準差和國內投資率為風險替代變數時，結果顯示風險調整幅度與前期報酬率、基金存續期間呈現負向關係。而在基金規模方面，標準差與國內投資率卻有不同的結果，規模大的基金標準差調整幅度較小但國內投資率調整幅度較大。

This thesis examines fund managers’ behavior under the system of rating. It uses the domestic equity funds dating from 1999 to 2008 in the TEJ database to test how funds’ past performances affect fund managers’ changes of portfolio risks in the next period. And it uses standard deviation and stock holding to measure the changing of managers’ behavior. First, we test if winners and losers have different strategies using Contingency Table Approach and T test. Then we employ regression model to examine the relation between risk-taking and prior performance, mutual fund size and the age of mutual fund. The major findings of this study are summarized as follows: 1.In the Contingency Table Approach, we find that prior performance and risk-taking are related. 2.In T test, standard deviation and stock holding have the same findings. That is losers have larger range of risk adjustment than winners. 3.In the regression model, the range of risk adjustment has negative relation with prior performance and the age of mutual fund when the risk variables are standard deviation and stock holding. And about the mutual fund size, two variables have different findings. Large funds have small risk adjustment when the risk variable is standard deviation, but have opposite findings when the risk variable is stock holding.