基金風險狀態與投資人之處分效果：追蹤門檻模型的應用

Risk States of Funds and Fund Investors’ Disposition Effects: Application of the Panel Threshold Model24

本文探討在不同基金風險狀態下，當投資人面對不同程度的獲利及損失時，是否發生不同型態的處分效果。本研究先以追蹤門檻模型區分基金高與低風險狀態，再將基金績效區分為兩類及五類績效指標，來探討基金投資人的處分效果。實證結果發現，在不同基金風險狀態下，基金投資人發生不同型態的處分效果；例如，於高基金風險狀態下，當績效為輸家、小輸與大輸，投資人均發生「拙於贖回輸家」之處分效果；而於低基金風險狀態下，當績效為小輸時，投資人發生文獻上鮮見的「逆處分效果」，即投資人積極贖回績效較差的基金；於低基金風險狀態下，當績效為輸家與大輸時，投資人發生「贖回輸家比率更低」之處分效果。除了以基金層次資料之實證結果進行分析外，本研究再以基金投資人層次資料等之實證結果進行驗證，發現實證結果均具穩健性。

The purpose of this paper is to study whether fund investors have different patterns of disposition effect under different risk states and differences in performance. First, we use panel threshold model to separate the risk states of funds, and we further separate the fund’s performance into two and five performance indicators to study the fund investors’ disposition effects. Our results are as follows. The fund investors do have different patterns of disposition effect under different risk states and differences in performance. For example, in the high-risk state, when the fund’s performance gives rise to a loser, a moderate capital loss and an extreme capital loss, the investors all possess the disposition effect-i.e., a reluctance to redeem the loser. However, in the low-risk state, when the fund’s performance results in a moderate capital loss, the investors posses the inverse disposition effect, i.e., a active to redeem the loser, and this effect is seldom observed in the prior literature. However, when the fund’s performance results in a loser and an extreme capital loss, the investors possess the disposition effect-i.e., a greater reluctance to redeem the loser. Our findings are robust to aggregate, investor levels, and the others robustness testing factors.