三項分配下共同基金經理人之從眾行為－以台灣股票型基金為例

Abstract

近年來台灣理財觀念普及，投資標的發展日新月異，然而，大多數投資人缺乏時間及資訊，共同基金逐漸成為社會大眾重要的理財工具，為了更深入探究股票市場上共同基金經理人之投資行為，本研究透過三項分配驗證國內基金經理人之從眾行為。由於過去研究多以二項分配衡量基金經理人的從眾行為，亦即只考慮到買入、賣出兩個交易方向，忽略了持有之交易方向，故本研究主要貢獻在於考慮持有之交易行為，進而將傳統的二項分配擴充為三項分配，共包含：買入、賣出與持有三種交易方向，以三項分配求算從眾行為指標，並且與二項分配之從眾行為指標值相互比較。 首先，本研究發現台灣基金經理人的確存在從眾行為，此外，三項分配所求出之從眾行為指標值明顯小於二項分配所求之值，顯示二項分配下可能會高估從眾行為指標值。其次，公司規模、當期股票報酬、基金績效皆會導致基金經理人產生從眾行為，一般而言，由於規模較小公司之資訊取得不易，因此有較明顯的從眾行為；至於當期股票報酬高者，買入從眾現象較為顯著，而當期股票報酬低者，則賣出從眾較明顯；而基金績效差者，基金經理人基於聲譽風險的考量，會採用從眾策略。最後，根據從眾行為所建構之投資組合，發現買入從眾與賣出從眾所形成之投資組合的超額報酬存在顯著差異性，然而，此差異性會隨時間經過逐漸遞減，因此，就長期而言，台灣基金經理人之從眾行為具有穩定股票市場股價之功能。

The purpose of this paper is to examine the herding behavior of fund managers by using a trinomial distribution method, extended from the traditional binomial distribution one. The trinomial distribution method considers three trade directions, namely buy, sell and hold. However, previous studies often neglected the trade direction of hold. The empirical results show that the herding behavior is closely related to the firm size, stock returns and mutual fund performance. First, we find significant herding behavior of equity mutual fund managers in Taiwan. Furthermore, we find that the binomial distribution may overestimate the herding behavior owing to ignoring the trade direction - hold. Second, the detected level of herding is higher for the smallest size stock, as was found by Wermers (1999). Third, buy-herding is strong in high current-return stocks and sell-herding is strong in low current-return stocks. Therefore managers tend to adopt positive-feedback strategy to buy winners and sell losers. Fourth, managers tend to herd in funds with worse performance based on reputation, as was found by Scharfstein and Stein (1990). Finally, the herding behaviors of fund managers may stabilize the stock market for a long time.