| Summary: | 碩士 === 義守大學 === 財務金融學系碩士班 === 94 === This paper investigates the disposition effect of mutual fund investors at differential risk levels in Taiwan open end equity mutual fund from July, 2001 to October, 2005. There are several features of this paper. First, we try to discriminate mutual fund with high risk and low risk, in order to test the disposition effect of mutual fund investors at differential risk levels. Then, we study to use the market adjusted return and the standard deviation of market adjusted return to evaluate performance and risk of mutual fund. Furthermore, we study the disposition effect of mutual fund investors with the recursive OLS in variable and the threshold model in variable technique. At last, we study the disposition effect of mutual fund investors with the quantile regression technique.
The recursive OLS in variable empirical results show that Taiwan open end equity mutual fund investors exhibit strict disposition effect at the all high risk situation. In the low risk situation, we find that investors exhibit loose disposition effect when we used the return and fees, but in the other low risk situation the investors dose not exhibit disposition effect.
The quantile regression empirical results show that investors exhibit strict disposition effect at the all high risk situation. In the low risk situation, the investors exhibit loose disposition effect when we used the return. In the low risk situation, we find that investors dose not exhibit disposition effect when we used the market adjusted return.
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