處份效果、強化承諾與共同基金績效

Disposition Effects, Escalation of Commitment and Mutual Fund Performance

組織行為的研究發現公司管理者存在對於造成損失的專案持續投入時間、金錢、人力的「強化承諾」偏誤。在財務實證上，個別投資人則有「持虧賣盈」的處份效果。我們探討共同基金經理人是否有同樣的行為偏誤，並進一步分析其對共同基金績效的影響。本研究的主要發現如下。一，基金經理人繼續持有或持續買進輸家股票的傾向，也就是有處份效果與強化承諾現象。由於此二效果對基金績效有顯著負向影響，顯示其為非理性的行為偏誤。二、若基金經理人同時具有處份效果與強化承諾的現象，則對於基金績效將有更負面影響。三、強化承諾對共同基金績效的負面影響較處份效果大。四、處份差距較大和強化承諾差距較大的共同基金，其規模皆較大、信託人數較多，而成立年數較短。 Research on organizational behavior finds that corporate executives suffer from the bias of escalation of commitment in that they tend to invest more time, money, and labor in losing projects. Research on empirical finance also finds that individual investors are exposed to the disposition effect in that they tend to hold losers too long and sell winners too early. We investigate if mutual fund managers also suffer from these two effects and their impacts. Our results can be summarized as follows. First, fund managers do commit both biases, and these biases have significant negative impacts on mutual fund performance. Second, the escalation of commitment has a more negative impact on mutual fund performance than the disposition effect. Finally, the disposition effect and the escalation of commitment effects are stronger for larger and younger mutual funds.