Market State, Risk Aversion of the Investors and Herding Behavior of Mutual Fund Managers

• Main Authors: Chun-Han Chao, 趙俊涵
• Other Authors: 胡星陽
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/65383007665005378016

碩士 === 國立臺灣大學 === 財務金融學研究所 === 99 === Generally speaking, herding behavior of mutual fund managers has four theoretical explanations: 1. Fund managers have the same information set and make the same investment decisions. 2. Fund managers have the same preference toward some characteristics of securities. For example, low-liquidity stocks are undesirable to all fund managers. 3. Fund managers concern about their own reputation. 4. Fund managers are chasing relative performance. If fund managers herd to earn high relative performance, their herding behavior would become stronger or weaker while investors change their mental value of relative performance. In this research, we used data of Taiwanese mutual fund to analyze the effect of relative performance on fund flow in a up or down market. We also looked into the herding behavior of fund managers in different market state. We obtained following results. 1. In a up market, investors invest more in mutual fund. 2. Absolute and relative performance have significant effect on fund flow. In a down market, the effect of relative performance is weaker than in a up market. 3. Herding behavior is significant higher in the up market than in the down market.