A Study of Taiwan Stock Mutual Fund Managers' Behaviors and Performances

• Main Author: 黃美賢
• Other Authors: Bryan H. Chen
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/41357089026175335297

博士 === 國立彰化師範大學 === 商業教育學系 === 96 === Generally the mutual fund managers are professional investors who could beat the market easily. The facts surprise us that most mutual fund managers created less return than the market did in recent years. We suspect the mutual fund managers’ investment decisions may carry some irrational behaviors. This study investigates whether the irrational behaviors of overconfidence, risk adjustment and disposition effect are held in Taiwan stock mutual fund managers, and inspects what the relationships are among these behaviors and fund performances as well. Sample funds are selected year by year to prevent the survivorship bias, the data cover the period from 1998 to 2007. The methodology of variance analysis, vector autoregression (VAR) and panel data regression are used to test the hypotheses. The empirical results indicate that the Taiwan stock mutual fund managers do hold the behaviors of overconfidence, risk adjustment and disposition effect. The mutual fund managers’ overconfidence will decrease the fund’ performance while the risk adjustment and disposition effect are positive related to fund performance. The mutual fund managers’ overconfidence is significantly positive related to risk adjustment but negative related to the disposition effect. The sample data show no significant correlation between mutual fund managers’ overconfidence and the disposition effect。