展望理論與風險報酬關係：以共同基金為例

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柯冠成(Kuan-Cheng Ko) 查詢紙本館藏

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財務金融學系

論文名稱

展望理論與風險報酬關係：以共同基金為例
(Prospect Theory and the Risk-Return Relationship: Evidence from Mutual Funds)

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摘要(中)

過去文獻對於共同基金的績效表現與風險調整行為，多是從代理人問題的角度來探討，本文嘗試從展望理論的角度來檢驗共同基金過去的績效是否會影響經理人的風險態度。Kahneman與Tversky (1979) 所提出的展望理論認為個人基於參考點的位置不同，會有不同的風險態度，此後許多學者利用展望理論來對股票的風險與報酬關係進行實證。然而，這些文獻的設計上，分組的標準與觀察的期間為同一期間，這一點並不符合展望理論的精神。本文修正此缺點，利用觀察期將共同基金加以分組，再觀察其後續風險與報酬的關係；同時過去文獻以產業中位數當作參考點，本文另外針對基金經理人打敗大盤的心理，提出以市場報酬作為參考點的假設，根據Fiegenbaum (1988) 等人對風險報酬關係所提出的假說，並增加了從橫斷面角度所推論出的假說，針對美國1992到2002年的股票型基金進行研究。
實證結果發現，只有過去表現最好與最差的共同基金符合展望理論的假說；若以全部基金當作研究樣本，其結果並不支持展望理論。我們推論過去表現平凡的基金其風險態度並無改變，因而持續握有先前的投資組合，因此以全部基金做為樣本時會稀釋表現極端的基金之風險態度調整行為，而導致結果不符合展望理論。我們更進一步發現，若以市場報酬當作參考點，表現極端的基金其風險調整的行為會更顯著，此現象隱含基金經理人會根據其相對於大盤的優劣來調整投資組合。
另外我們發現過去表現最好的基金在未來傾向持有過去表現好的股票，且對動能因子有擇時能力；而表現最差的基金則傾向持有帳面權益對市值比高的股票，同時對帳面權益對市值比相關因子有擇時能力。

摘要(英)

Previous studies had examined the relationship between fund performance and risk-adjusted behavior on the viewpoint of agency perspective. We propose several hypotheses derived from prospect theory to test if fund managers’’ risk attitudes are affected by their past performance. Based on a sample of U.S. equity funds over the period from 1992 to 2002, the empirical results show that fund managers exhibit risk-averse (risk-taking) behavior only when they substantially outperformed (underperformed) other funds. In addition, such a phenomenon is more significant when the market return is used as the reference point. Further investigation reveals that winner funds exhibit style-timing ability by holding winner stocks, whereas the loser funds exhibit style-timing ability by holding value stocks.

關鍵字(中)

★ 展望理論
★ 風險報酬關係
★ 風險調整行為
★ 共同基金績效表現

關鍵字(英)

★ prospect theory
★ risk-adjusted behavior
★ mutual fund performance
★ risk-return relationship

論文目次

Abstract i
Chinese Abstract ii
Acknowledgements iv
Contents v
List of Figures vii
List of Tables viii
1 Introduction 1
2 Data 5
3 Hypotheses and methodology 7
3.1 The hypotheses ............................................................7
3.2 Methodology ...............................................................8
3.2.1 Risk-return trade-off relationship ......................................8
3.2.2 Cross-sectional variation ..............................................10
3.2.3 Buy-and-hold returns ...................................................11
4 Empirical results 12
4.1 For the overall period ...................................................12
4.2 Classifying funds into categories according to investment styles .........14
4.3 On the extreme funds .....................................................17
5 Post-performance and fund style analysis 24
5.1 Post-performance analysis ................................................24
5.2 Fund style analysis ......................................................25
5.3 Style timing analysis ....................................................28
5.4 Shifts in fund styles ....................................................29
6 A comparison with the tournament: a robustness check 31
7 Conclusion 33
Bibliography 35

參考文獻

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[4] Chevalier, Judith, and Ellison, Glenn, 1997, Risk taking by mutual funds as a response to incentives, Journal of Political Economy 105, 1167-1200.
[5] Fiegenbaum, A., 1990, Prospect theory and the risk-return association: an empirical examination in 85 industries, Journal of Economic Behavior and Organization 14, 187-203.
[6] Fiegenbaum, A., H. Tomas 1988, Attitudes toward risk and risk-return paradox: prospect theory explanations, Academy of Management Journal 31, 85-106.
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[9] Henriksson, R. D., and R. C. Merton, 1981, On market timing and investment performance. II. statistical procedures for evaluating forecasting skills, Journal of Business 54, 513-534.
[10] Jegers, Marc, Prospect theory and the risk-return relation: Some Belgian evidence, Academy of Management Journal 34, 215-225.
[11] Kahneman, D. and A. Tversky, 1979, Prospect theory: An analysis of decision under risk, Econometrica 47, 263-291.
[12] March, James G. and Zur Shapira, 1987, Managerial perspectives on risk and risk taking, 1987, Management Science 33, 1404-1418.
[13] Sinha, Tapen, 1994, Prospect theory and the risk return association: Another look, Journal of Economic Behavior and Organization 24, 225-231.
[14] Sirri, E. and P. Tufano, 1993, Buying and selling mutual funds: Flows, performance, fees, and services, Manuscript. Boston: Harvard Business School.
[15] Wiseman, Robert M. and Philip Bromiley, 1991, Risk-return associations: Paradox or artifact? An empirically tested explanation, Strategic Management Journal 12, 231-241.

指導教授

周賓凰(Pin-Huang Chou)

審核日期

2004-7-5

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