Market States and Fund Investors' Reaction to News Coverage

Abstract

本文以台灣的基金資料為樣本，研究投資人對基金消息見報的反應。其貢獻在於同時探討了投資人在市場狀態不同時對好消息與壞消息的不同反應。事件研究法與piecewise迴歸的研究結果顯示投資人會申購好消息的基金，而當好消息基金同時為績效贏家時則特別受到投資人的青睞。而對於贖回壞消息的基金，則在多頭時期較空頭時期有較多的贖回。在多頭時期好消息與壞消息基金之間其贖回率的差異很大；而在空頭時期好消息與壞消息基金之間其申購率的差異很大。也就是說在多頭時期贖回率相對於申購率對消息的好壞反應較敏感，而在空頭時期則變成申購率對消息的好壞較敏感。在消息見報基金之事後績效方面，本文的研究結果顯示好（壞）消息基金其事後績效明顯高（低）於全體股票型基金的平均值，隱含基金好壞消息的報導具資訊內涵，另一方面亦顯示基金的消息見報提供了投資人所需要的資訊。

This study aims to investigate Taiwan's fund investors' reaction to the fund news. This research contributes to the literature by combining the issues of market states and the investors' reaction to fund news. By adopting the event study method and the piecewise regression method, we find that investors purchase more good news funds especially when the news funds perform well. Moreover, investors redeem more bad news funds in the bull market than in the bear market. In the bull (bear) market, the redemption (purchase) rate difference between good and bad news funds is large. That is, the redemption rate is more sensitive to the character of fund news than is the purchase rate in the bull market, while in the bear market the purchase rate is more sensitive to news than is the redemption rate. The post-news return of the good (bad) news funds is significantly higher (lower) than that of the average of the equity fund, indicating the information-contented character of fund news. That is, the news coverage in the newspaper provides fund investors with the information they need.