台灣共同基金之風險承擔行為與群集行為

Abstract

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.