An Investigation of Fund Managers' Escalation of Commitment

基金經理人的續擴承諾之探討

張幸惠(Hsin-Hue Chang)

續擴承諾 ； 沉沒成本 ； 自我申辯 ； 過度自信 ； Escalation of Commitment ； Sunk Cost ； Self-justification ； Overconfidence

台灣金融財務季刊

14卷1期（2013 / 03 / 01）

91 - 113

英文

投資人不僅虧損的股票持有太久（處置效應），也有持續買進虧損股票（續擴承諾）的傾向。本文主要探討基金經理人是否有續擴承諾的傾向，並探討影響經理人持續買進虧損股票的因素。本文採用沉沒成本、自我申辯與過度自信等心理因素驗證續擴承諾假說。研究樣本包括98檔基金，期間2年，共24期。本文採用迴歸分析進行相關假說驗證，並進行穩健測試。研究結果顯示，沉沒成本與自我申辯顯著地影響基金經理人的續擴承諾行為。雖然經理人更替不是降低續擴承諾的有效手段，績效排名做為監督觸媒，確實可以緩和經理人的續擴承諾傾向。為避免資源的誤用，基金經理人應該進行投資組合分散，而根據績效排名，基金公司可以建立早期預警制度，以利監督。

Investors not only hold losing stocks too long but also remain committed to buy them. The aim of this study is to examine whether fund managers have the tendency to remain committed to buy losing stocks and to test factors that influence fund managers' escalation on losing stocks. Psychological factors including sunk cost, self-justification, and overconfidence are used to test the escalation hypotheses. A set of sample consisting of 98 open-end equity funds over 2-year period is employed to execute the regression analyses. Empirical results reveal that sunk cost and self-justification are significant factors to influence fund managers' escalation of commitment. Though the turnover of fund managers is not an efficient method, performance rank as a monitoring-driven instrument could mitigate fund managers' propensity of escalation of commitment. To avoid misallocating fund resources, fund managers should diversify their investment portfolios and fund institutions can build an early warning system based on performance rank to execute the monitoring.

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