基金經理人從眾行為與股價崩盤風險

Fund Manager Herding and Stock Price Crash

從眾行為可能具有影響股票價格的效果，本文探討基金經理人從眾行為與股價崩盤關聯性。以1998年到2018年的樣本資料，實證結果顯示基金經理人反向回饋交易行為可降低股價崩盤風險。從眾買入行為與當期股價崩盤有負向關係，與下期股價崩盤有正向關係。從眾行為預測未來股價崩盤的效果於小型股、高基金交易家數及資訊較為模糊的公司更為顯著。本文以不同崩盤風險變數及從眾指標的實證結果仍具有穩定性。本文實證結果顯示基金經理人的從眾行為不具有穩定股價效果，散戶投資人如跟隨基金經理人交易，應注意未來所承擔股價崩盤風險，造成財富損失。

The herding behavior of investors may stabilize or destabilize stock prices. Focusing on the institutional herding behavior, this study examines its impact on stock price crash for listed companies in Taiwan from 1998 to 2018. The empirical results suggest that the negative feedback trading by fund managers decreases the risk of stock price crash. In addition, fund managers' buy-herding is positively associated with future stock price crash risk. The positive relationship is more profound in companies with small capitalizations, high actively fund managers, and vague financial information. The results are robust to different measures of herding and crash risk. To short, fund managers' herding actions do not have a stabilizing effect. Accordingly, when following the trading of fund managers, individual investors should take the possibility of price crash risk into account.