疫情恐慌下中美基金經理人處分效果

Abstract

本研究主要目的為探討疫情與非疫情期間、台灣與美國基金經理人處分效果之不同。過去文獻關於同一國別之基金經理人面對不同市場(非效率與效率)之處分效果、及不同國別之基金經理人面對相同市場之處分效果較為從缺，本研究創新之處是直接訪問資深基金主管，以實際管理經驗形成假說，並以 Odean(1998)之方法計算。研究結果發現，兩國基金經理人投資國內，不論是否為疫情期間，皆不存在顯著的處分效果，反而是反向顯著；然而台灣基金經理人在疫情恐慌期間投資美國市場卻有顯著的處分效果。本研究也依據訪談後形成之假說，探討基金規模和基金風格結果是否不同，研究結果發現，基金規模不會對處分效果造成差異，但基金風格不同在處分效果上有顯著差異。The main objective of this study is to investigate the differences in the dispositional effects of fund managers in Taiwan and the U.S. during epidemic and non-epidemic periods. While there is a lack of literature on the dispositional effects of fund managers in the same country facing different markets (inefficient and efficient) and the dispositional effects of fund managers in different countries facing the same market, this study is innovative in that it directly interviews senior fund managers to form hypotheses based on their actual management experience and calculates them using Odean's (1998) methodology. The results of this study show that there is no significant penalty effect for both fund managers to invest in the domestic market regardless of whether it is during the epidemic period or not, but the opposite is true. However, Taiwanese fund managers have a significant penalty effect for investing in the U.S. market during the epidemic scare period. This study also examines whether the results are different between fund size and fund style based on the hypothesesdeveloped from the interviews, and finds that fund size does not make a difference in the disposition effect, but there is a significant difference in the disposition effect depending on the fund style.