從眾贖回與非從眾贖回下基金投資人處分效果之探討：分量迴歸最小平方虛擬變數法

Abstract

本文探討從眾贖回與非從眾贖回下，基金投資人之處分效果，以2001年7月至2006年7月123檔台灣開放式股票型基金爲研究對象。相對於所回顧的主要文獻，本文首度結合從眾行爲與處分效果，並引入分量迴歸最小平方虛擬變數法，且先以工具變數處理內生性問題，來探討在從眾贖回與非從眾贖回下，基金投資人是否發生不同型態的處分效果。結果發現：第一，在非從眾贖回時，投資人發生文獻上較常見之「拙於贖回輸家」的處分效果。第二，在從眾贖回時，投資人發生文獻上較鮮見之「贖回輸家比率更低」的處分效果，這將使績效不佳的台灣開放式股票型基金經理人，隨著績效惡化，更可能從事較高風險之投資。第三，當本文更仔細地將基金績效區分爲五類時，進一步發現，在從眾贖回時，投資人對於小輸大盤與大輸大盤的基金之處置方式有所差異，當基金績效小輸大盤時，投資人會積極贖回，此與過去文獻發現的處分效果相左，本文將「積極贖回輸家」之處置方式，命名爲「逆處分效果」；而當基金績效大輸大盤時，投資人贖回輸家之比率更低。第四，從眾贖回與非從眾贖回之實證結果有頗多差異，因此，探討基金投資人之處分效果時，區分從眾贖回與非從眾贖回的確有其必要性。

We study the fund investors' disposition effect vis-à-vis herding redemption and non-herding redemption. The sample covers 123 Taiwan open-end equity mutual funds from 2001 July to 2006 July. To the best of our knowledge, this is the first case to combine herding behavior and disposition effect, we use quantile regression least square dummy variable estimator and develop the instrumental variable to deal with the endogeneity regressors to investigate whether the investors have the different patterns of disposition effect at herding redemption and non-herding redemption times. We find that: first, at non-herding redemption times, investors possess the disposition effect-reluctant to redeem the loser, and this effect is often concluded by the past research. Second, at herding redemption times, investors possess the disposition effect-more reluctant to redeem the loser, and this effect is seldom obtained by the prior literature. This effect may give rise to the Taiwan open-end fund managers with bad perform to invest the higher risk stocks, as the fund performance goes worst. Third, if we separate the fund performance into five types, we find that most investors will enthusiastically redeem the funds which perform inferior than the market return; we name it as ”inverse disposition effect.” Forth, the results of herding redemption and non-herding redemption have considerable differences; hence, it is crucial to separate herding and non-herding redemptions as discussing the fund investors' disposition effect.