Does the disposition effect affect fund performance?
碩士 === 國立東華大學 === 國際經濟研究所 === 95 === This paper examines the existence of the disposition effect among the fund managers in Taiwan, and further, if the tendency of fund managers to hold losing stocks too long and sell winning too soon does exist, will it affect fund performance? To measure the exten...
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ndltd-TW-095NDHU53240152019-05-15T19:47:46Z http://ndltd.ncl.edu.tw/handle/67w4jg Does the disposition effect affect fund performance? 處分效果是否會影響基金績效? Shao-Hsuan Huang 黃少宣 碩士 國立東華大學 國際經濟研究所 95 This paper examines the existence of the disposition effect among the fund managers in Taiwan, and further, if the tendency of fund managers to hold losing stocks too long and sell winning too soon does exist, will it affect fund performance? To measure the extent to which mutual fund managers are affected by the dispoisition effect, we follow Odean (1998) model to calculate two ratios: the proportion of gains realized and the proportion of losses realized. The disposition spreads (DISP) are defined as the difference in these two proportions. Positive DISP means that fund managers tend to sell their winning stock too soon and hold their losers too long, while negetive DISP means that fund managers tend to sell their losing stock too soon and hold their winers too long. We investigate that fund managers performance contain selectivity ability and timing ability by using difference measures. Besides, we analyze the characteristic of the funds and the characteristic of stocks included in the funds. Our results can be summarized as follow. First, the disposition effect does exist in Taiwan mutual funds. Second, the disposition effect is not necessary to negatively related to fund performance, we find funds with median DISP level have lowest return. Third, mutual fund managers with high DISP level have better selectivity ability. These results suggest that managers holding losers too long and selling winners too soon do not be affected by behavioral biases but rational investment decisions. Yu-Li Wang Hsiang-Hsuan Chih 王友利 池祥萱 2007 學位論文 ; thesis 62 zh-TW |
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碩士 === 國立東華大學 === 國際經濟研究所 === 95 === This paper examines the existence of the disposition effect among the fund managers in Taiwan, and further, if the tendency of fund managers to hold losing stocks too long and sell winning too soon does exist, will it affect fund performance? To measure the extent to which mutual fund managers are affected by the dispoisition effect, we follow Odean (1998) model to calculate two ratios: the proportion of gains realized and the proportion of losses realized. The disposition spreads (DISP) are defined as the difference in these two proportions. Positive DISP means that fund managers tend to sell their winning stock too soon and hold their losers too long, while negetive DISP means that fund managers tend to sell their losing stock too soon and hold their winers too long. We investigate that fund managers performance contain selectivity ability and timing ability by using difference measures. Besides, we analyze the characteristic of the funds and the characteristic of stocks included in the funds. Our results can be summarized as follow. First, the disposition effect does exist in Taiwan mutual funds. Second, the disposition effect is not necessary to negatively related to fund performance, we find funds with median DISP level have lowest return. Third, mutual fund managers with high DISP level have better selectivity ability. These results suggest that managers holding losers too long and selling winners too soon do not be affected by behavioral biases but rational investment decisions.
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Yu-Li Wang |
author_facet |
Yu-Li Wang Shao-Hsuan Huang 黃少宣 |
author |
Shao-Hsuan Huang 黃少宣 |
spellingShingle |
Shao-Hsuan Huang 黃少宣 Does the disposition effect affect fund performance? |
author_sort |
Shao-Hsuan Huang |
title |
Does the disposition effect affect fund performance? |
title_short |
Does the disposition effect affect fund performance? |
title_full |
Does the disposition effect affect fund performance? |
title_fullStr |
Does the disposition effect affect fund performance? |
title_full_unstemmed |
Does the disposition effect affect fund performance? |
title_sort |
does the disposition effect affect fund performance? |
publishDate |
2007 |
url |
http://ndltd.ncl.edu.tw/handle/67w4jg |
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