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台灣中小型基金經理人之窗飾與從眾效應 = The Managers' B...

國立高雄大學金融管理學系碩士班

台灣中小型基金經理人之窗飾與從眾效應 = The Managers' Behavior of Window Dressing and Herding in Taiwanese Small and Median Funds

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	The Managers' Behavior of Window Dressing and Herding in Taiwanese Small and Median Funds
作者:	陳怡茹,
其他團體作者:	國立高雄大學
出版地:	[高雄市]
出版者:	撰者;
出版年:	2009[民98]
面頁冊數:	60面圖、表 : 30公分;
標題:	基金經理人
標題:	Herding behavior
電子資源:	http://handle.ncl.edu.tw/11296/ndltd/90627591688344909112
附註:	指導教授：楊琬如
附註:	參考書目：面
摘要註:	本文旨在檢視台灣中小型基金經理人的投資行為是否存在窗飾效果與從眾行為。研究主題有三，分別是基金窗飾行為之衡量、從眾行為之衡量以及基金窗飾與從眾行為之關連性。本文以Lakonishok et al.(1991) 的研究方法來衡量窗飾效果，實證發現基金經理人會在第四季以買進前期績效好的股票及減少買進績效較差的股票之方式來窗飾年底報表，然而在賣出方面窗飾效果卻不明顯。在探討從眾行為的部份，本文以Lakonishok, Schleifer and Vishny (1992)及Wermers(1999) 的研究方法來衡量從眾行為，實證發現基金經理人在交易中小型股時存在從眾行為，且在不同產業間與不同市場環境中經理人的從眾行為具有差異。最後，本文藉由個股前期報酬率與買賣強度值及從眾行為值三者間的關係來分析基金窗飾與從眾行為之關連性，實證發現二者具關連性，而且在買入投資組合部分更為顯著，這意味著基金經理人過度注重短期績效是導致經理人產生窗飾與從眾行為的主因。 The whole thesis aims to survey if window dressing and herding exist in the managers' behavior of Taiwanese small and median funds. There are three aspects included the subject of the thesis:the evaluation of fund window dressing,the evaluation of herding, and the relations of window dressing and herding. In the thesis, I adopted the methodology of Lakonishok et al.(1991) to evaluate window dressing. Results show that fund managers will buy better stocks of prior performance and worse prior performance in the 4th quarter to embellish their financial reports of the end of the year. However, the selling of window dressing is not evident. To deal with the aspect of herding, I made use of the methodologies of Lakonishok, Schleifer and Vishny (1992) and Wermers (1999) to evaluate herding. Results reveal that herding does exist in fund managers’ small and median stocks trading. Moreover, the herding of stocks differs from that of different industries and market environment. Finally, results display that there are correlations between fund window dressing and herding through the relationship of priors return, trading activity ratio measure and herding measure to analyze the relations of fund window dressing and herding. It is more significant for managers to buy the investment combination. It signifies that fund managers’ overemphasis on short-term performance lead to window dressing and herding.

台灣中小型基金經理人之窗飾與從眾效應 = The Managers' Behavior of Window Dressing and Herding in Taiwanese Small and Median Funds
陳, 怡茹

台灣中小型基金經理人之窗飾與從眾效應 = The Managers' Behavior of Window Dressing and Herding in Taiwanese Small and Median Funds / 陳怡茹撰 - [高雄市] : 撰者, 2009[民98]. - 60面 ; 圖、表 ; 30公分.
指導教授：楊琬如參考書目：面.
基金經理人Herding behavior

台灣中小型基金經理人之窗飾與從眾效應 = The Managers' Behavior of Window Dressing and Herding in Taiwanese Small and Median Funds
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