基金經理人任期，市場競爭與從眾行為:共同基金研究

Abstract

摘 要 關於基金的從眾行為研究已有眾多參考依據，根據過去文獻，許多研究探討著重在事業誘因與薪酬誘因對基金從眾行為的影響。本研究的被解釋變數，從眾行為，主要參照Lakonishok et al. (1992)、Grinblatt, Titman and Wermers (1995)與Massa (2005)做設計。解釋變數則是基金經理人任期以及基金的市場競爭強度。 本研究衍伸過去研究的脈絡，引用Alexander, Stefan, Tanja (2009) 設計事業誘因的方式來進一步探討當年經的基金經理人在面對事業誘因時是否會更加強烈地想要選擇從眾。此外，本研究也另外將基金經理人任期細分為產業面以及基金面，來探討是否本研究與過去文獻的成果有相同的結論。另一方面，本研究引用自策略管理期刊當中，Roberts (1999) 對於創新以及市場競爭的概念，設計基金市場競爭變數，端視其如何影響基金從眾行為。 本研究的研究重要結果摘錄如下: (1) 基金經理人在面臨產業任期較短時，其面臨強烈的事業誘因導致其進行從眾行為 (2) 基金經理人在面臨基金任期較短時，即使面臨強烈的事業誘因，也不會傾向進行從眾行為 (3) 當基金面對市場競爭變強，該基金選擇成為追隨者，進而進行從眾行為。Abstract There are a lot of past researches about mutual fund and herding behavior in the last decades. According to past literatures of herding behavior, most of them are focus on the effect of career incentives and compensation incentives on herding behavior separately. The dependent variable the research adopt, herding behavior, is referred from Lakonishok et al. (1992)、Grinblatt, Titman and Wermers (1995) and Massa (2005). While main independent variables are fund manager’s tenure and fund’s market competition. The research extends the idea from Alexander, Stefan, Tanja (2009) to set the similar career concern proxy and multiple regression. The main purpose is to examine whether young managers with career concerns strongly tend to herd. Besides, the research divides manager’s tenure into industry tenure and fund tenure to discuss if this separation has the same outcome as past literature. On the other hand, the research also extend the idea of market competition from Roberts (1999). The major conclusions are following: (1) Fund managers with shorter industry tenures and face career concerns would tend to herd. (2) Fund managers with shorter fund tenures and face career concerns would not to herd. (3) When fund’s market competition becomes fiercer, it chooses to be a follower and tend to herd.