A Study on the Investment Behavior of Mutual Fund Managers in Taiwan

• Main Authors: Yan,Guo-Hwa, 嚴國華
• Other Authors: Chang,Kung-Hsiung
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/52012444463317847454

碩士 === 國立屏東科技大學 === 企業管理系碩士班 === 93 === Abstract Student ID：No. N9258009 Title of Thesis：A Study on the Investment Behavior of Mutual Fund Managers in Taiwan Total Pages：117 Name of Institute：Department of Business Management , National Pingtung University of Science and Technology Graduate date：June, 2005 Degree Conferred：Master Name of Student：Yan, Guo-Hwa Advisor：Chang, Kung-Hsiung ,Ph.D. The contents of abstract in this thesis： This study is designed to understand the causes behind the investment behaviors of the domestic mutual fund managers to see if such bias factors exists associated with the investment behaviors which the investors generally involve, for example, overconfidence, mental accounts and aversion to regret, and so on, as stated in the related Chinese and foreign literature in behavioral finance. In respect of the study analysis, the appropriate statistical and analytical methods are mainly applied to further process the recovered valid questionnaires and then verify and compare the analyzed results and hypotheses. First of all, in order to ensure that the quantitative charts comply with the factor analysis, the KMO (Kaiser-Meyer-Olkin Measure of Sampling Adequacy) is checked and the Bartlett Test of Sphericity is conducted, so that the factor analysis can be undertaken to simplify the measurement models of the questionnaire quantitative chart. Then the「Cronbach’s α」 coefficient is adopted to go on with the credibility analysis of the evaluation questionnaire quantitative chart with a view to having a good picture of the reliability and effectiveness of the questionnaires. The third step is the multiple regression analysis, which by the buildup and evaluation of the regression equation detects the relationship between the variables. Besides, the comparison is undertaken in the beginning and at the end by way of the enter method and the stepwise regression analysis method to make this study more deliberative. Finally we conduct the ANOVA on each model of the personal basic variable, the investment behavior and the investment psychological bias of the fund managers. We make use of the ANOVA to explore various variables and disposition effect of the investment psychological bias to see if it would make difference due to the different population characteristics. The study results suggest that: The loss aversion, overconfidence in pursuit of profit and reference to other’s opinions in fear of regret have the significant and positive forecasting ability towards the loss-hold and profit-stop phenomenon of Disposition Effect. It indicates that these three psychological biases significantly affect the performance of Disposition Effect of loss-hold and profit-stop investment behavior. In addition, reference to other’s opinions in fear of regret, budgeting factor of the mental account, excessive self-confidence in pursuit of profit and aversion from loss have the significant and positive forecasting ability towards Disposition Effect of frequent buying and purchasing. Thirdly, overconfidence in pursuit of profit, profit-and-loss factor of the mental account, and the budgeting factor of the mental account have the significant and positive forecasting ability towards Disposition Effect of loss-stop setup. As far as the variance evaluation, such mental deviations as overconfidence in pursuit of profit, the application of the risk preference extent and the technical analysis, the profit-and-loss situation during the last three years, the educational degree and the operation type have all significant variance. Those fund managers who achieve the stable performance during the previous three-year operation are liable to higher overconfidence in pursuit of profit than those fund managers with loss in performance. Besides, with regards to reference to other’s opinions in fear of regret, significant variance exists in the risk-preference extent, each deal amount, understanding of other manager’s loss and profit, the operation type, the operation habit and the educational degree. The budgeting factor of the mental account significantly varies in sex, risk-preference extent, each deal amount, the operation habit, the technical analysis and the educational degree. Judging from the profit and loss conditions of the fund managers themselves over the last three years, those fund managers with profitable operation performance have higher performance in the investment bias of loss aversion than those fund managers with the stable operation performance.