共同基金處分效果、強化承諾與動能投資策略

The Disposition Effect, Escalation of Commitment and Momentum Strategy in Mutual Funds

本文旨在探討在控制了動能投資策略後，處分效果與強化承諾對共同基金績效的影響是否仍然存在。首先採用相依分組的方式，先將共同基金依照動能投資風格進行分組，再檢驗不同動能風格投資組合下，處分效果與強化承諾投資組合的績效，第二，檢驗共同基金的持股偏好，探討在控制了股票的其他特徵後，共同基金的持股是否會受帳面利得或帳面損失所影響。結果如下，第一，處分效果與強化承諾對共同基金的績效有著負面影響；第二，控制了共同基金的動能投資風格後，處分效果與強化承諾對基金績效的負面影響依然存在；第三，共同基金持股確實受帳面利得或帳面損失影響而改變，顯示處分效果與強化承諾確實會影響共同基金的持股偏好。

This paper examines whether the impact of disposition effect and escalation of commitment holds after controlling the momentum investing style. First, this paper ranks the mutual fund into five groups by momentum measure, and we examine DISP and ESCA zero investment portfolios in each momentum style portfolio. Then, we investigate whether the paper gain ratio or paper loss ratio impact on holding preference after controlling other characteristics. Our results can be summarized as follow: first, disposition effect and escalation of commitment has negative impact on mutual fund performance. Second, the result still holds after controlling the momentum style of mutual funds. Finally, we find the disposition effect and escalation of commitment indeed have influence on holdings preference.