基金類型對投資人處分行為之調節效果

Abstract

處分效果 (disposition effect) 是一種投資人所持有資產發生獲利或損失時所出現不對稱資產處分傾向之現象。投資人在資產獲利時，投資人會傾向風險趨避者 (risk-averse)而快速出售資產以獲利了結。相反的，資產虧損時，投資人的處分行為會傾向風險愛好者 (risk-seeking) 而持有虧損資產較長時間。本文以2013年6月至2016年1月335檔臺灣開放式境內共同基金做為研究對象，探討基金類型對投資人處分行為的調節效果，並且更進一步研究在不同績效指標區間的處分行為。研究結果發現，在未探討基金類別的情況下，臺灣基金投資人確實普遍存在處分效果。納入基金類別作為調節變數時，不同基金類型的投資人呈現出不同的處分效果，基金類別確實會調節處分行為。固定收益型基金出現較特別的「逆處分效果」，表示投資人在基金出現虧損時則迅速贖回基金。

The disposition effect is an asymmetric disposition behavior discovered in behavioral finance. Investors tend to be risk-averse and sell financial assets with increased prices. Instead, investors tend to be risk-seeking and keep assets to wait for another price rise when the price dropped. The sample covers 335 Taiwan open-end equity mutual funds from 2013 June to 2016 January. This is the first case to research on the moderating effect of type of mutual fund on investor’s disposition. The major findings are as follows: Investors of all types of fund in Taiwan possess the disposition effect. When types of fund are used as a moderator, the disposition behavior of investors is not the same on different type of fund. The investors of fixed-income fund possess the inverse disposition effect; that is, most investors will proactively redeem those fixed-income funds which drop in value.