A Study on the Relationship between Fund managers’ Cognitive Biases and Fund Performance

• Main Authors: Shu-Yin Huang, 黃淑吟
• Other Authors: Min-Li Yao
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/80705751142613630548

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 100 === The purpose of this study is to investigate if mutual fund manager’ overconfidence and self-justification have an impact on their performance. Based on behavioral finance theory, this study employs fund turnover ratio and performance rank as the proxy variables of overconfidence and uses manager turnover as the proxy variable of self-justification. In addition, this study adopts fund flow ratio, fund size, fund expense ratio, and gender as the control variables. A set of sample includes 117 domestic open-end equity funds. Data is from TEJ database and Fund DJ, and data period is from 2001 to 2010. This study uses a panel data model to execute the empirical analysis. As results, fund turnover ratio and performance rank have a significantly positive effect on fund performance, respectively. Manager turnover has a significantly negative effect on fund performance. This implies that manager’ cognitive bias affects fund performance.