本研究旨在運用行為財務學的觀點，深入探討台灣股票型基金的從眾行為與管理能力之間的關聯。我們使用了2001年第2季至2022年第3季間178家台灣投資國內股票型基金，以季為頻率的樣本數總計共13,725筆，並採用了Jiang(2018)的方法建立了以基金為層面的從眾衡量指標。本研究的結果顯示，基金的從眾行為與績效呈現負向關係。具體而言，從眾基金與非從眾基金之間的績效差異每年達到1.32%。進一步的分析顯示，這種績效差異主要是由管理能力所引起的。我們觀察到，反從眾的基金在選股能力方面表現更優秀，並且當市場出現機會時，這些基金能夠做出更好的決策。

This study aims to examine the association between herding behavior and managerial skill in Taiwan's equity mutual funds from the perspective of behavioral finance. We utilize data from 178 Taiwan domestic equity mutual funds during the period from the second quarter of 2001 to the third quarter of 2022, with a total sample size of 13,725 quarterly observations. We employ Jiang's (2018) methodology to construct a fund-level herding measure. The results of this study reveal a negative relationship between herding behavior and performance in funds. Specifically, the performance gap between herding and anti-herding funds amounts to 1.32% annually. Further analysis indicates that this performance gap is primarily driven by differences in managerial skill. We observe that anti-herding funds exhibit superior stock selection abilities and make better decisions when market opportunities arise.

論文審定書 i
摘　要 ii
Abstract iii
目 錄 iv
表 次 v
第一章、緒論 1
第二章、文獻回顧 3
第一節、從眾行為之定義與理論 3
第二節、從眾行為對金融市場之影響 4
第三章、研究設計與變數 7
第一節、樣本資料 7
第二節、研究假說 7
第三節、研究方法 8
第四節、變數定義 15
第四章、實證結果 16
第一節、敘述統計 16
第二節、投組分析 17
第三節、回歸分析 21
第五章、結論與建議 31
參考文獻 32

歐昱廷. (2018). 投資人情緒與基金績效關係之研究. 當代商管論叢, 3(1), 74-96.
蔡秋田. (2016). 投資人是否有效率地使用券商投資建議與融券資訊？.
Aronson, E. (2018). The social animal (12th ed.). Worth Publishers.
Baddeley, M., Curtis, A. and Wood, R. (2004). An Introduction to Prior Information Derived from Probabilistic Judgments: Elicitation of Knowledge, Cognitive Bias and Herding. Geological Society, 239, 15-27.
Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. Journal of Finance, 61(4), 1645-1680.
Banerjee, A. V. (1992). A Simple-Model of Herd Behavior. Quarterly Journal of Economics, 107(3), 797-817.
Bhattacharya, D., & Sonaer, G. (2016). Herding by mutual funds: impact on performance and investors’ response. The European Journal of Finance, 24(4), 283-299.
Bikhchandani, S., Hirshleifer, D., & Welch, I. (1992). A Theory of Fads, Fashion, Custom, and Cultural-Change as Informational Cascades. Journal of Political Economy, 100(5), 992-1026.
Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57-82.
Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking & Finance, 24(10), 1651-1679.
Christie, W. G., & Huang, R. D. (1995). Following the Pied Piper: Do Individual Returns Herd around the Market? Financial Analysts Journal
Cohen, R. B., Coval, J. D., & Pastor, L. (2005). Judging fund managers by the company they keep. Journal of Finance, 60(3), 1057-1096.
Cremers, K. J. M., & Petajisto, A. (2009). How Active Is Your Fund Manager? A New Measure That Predicts Performance. Review of Financial Studies, 22(9), 3329-3365.
Eyster, E., & Rabin, M. (2010). Naive Herding in Rich-Information Settings. American Economic Journal-Microeconomics, 2(4), 221-243.
Fama, E. F., & French, K. R. (1993). COMMON RISK-FACTORS IN THE RETURNS ON STOCKS AND BONDS. Journal of Financial Economics, 33(1), 3-56.
Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22.
Gleason, K. C., Mathur, I., & Peterson, M. A. (2004). Analysis of intraday herding behavior among the sector ETFs. Journal of Empirical Finance, 11(5), 681-694.
Graham, J. R. (1999). Herding among investment newsletters: Theory and evidence. Journal of Finance, 54(1), 237-268.
Henker, J., Henker, T., & Mitsios, A. (2006). Do investors herd intraday in Australian equities? International Journal of Managerial Finance, 2(3), 196-219.
Hsieh, S.-F. (2013). Individual and institutional herding and the impact on stock returns: Evidence from Taiwan stock market. International Review of Financial Analysis, 29, 175-188.
Hsieh, S.-F., Chan, C.-Y., & Wang, M.-C. (2020). Retail investor attention and herding behavior. Journal of Empirical Finance, 59, 109-132.
Javaira, Z., & Hassan, A. (2015). An examination of herding behavior in Pakistani stock market. International Journal of Emerging Markets, 10(3), 474-490.
Jegadeesh, N., Kim, J., Krische, S. D., & Lee, C. M. C. (2004). Analyzing the analysts: When do recommendations add value? Journal of Finance, 59(3), 1083-1124.
Jiang, H. A. O., & Verardo, M. (2018). Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance. The Journal of Finance, 73(5), 2229-2269.
Kacperczyk, M., & Seru, A. (2007). Fund manager use of public information: New evidence on managerial skills. Journal of Finance, 62(2), 485-528.
Keynes, J. M. (1936). General theory of employment interest and money.
Lakonishok, J., Shleifer, A., & Vishny, R. W. (1992). THE IMPACT OF INSTITUTIONAL TRADING ON STOCK-PRICES. Journal of Financial Economics, 32(1), 23-43.
Li, W., Rhee, G., & Wang, S. S. (2017). Differences in herding: Individual vs. institutional investors. Pacific-Basin Finance Journal, 45, 174-185.
Nofsinger, J. R., & Sias, R. W. (1999). Herding and feedback trading by institutional and individual investors. Journal of Finance, 54(6), 2263-2295.
Scharfstein, D. S., & Stein, J. C. (1990). Herd Behavior and Investment. American Economic Review, 80(3), 465-479.
Sharma, S., & Bikhchandani, S. (2000). Herd Behavior in Financial Markets - a Review. International Monetary Fund.
Sias, R. W. (2004). Institutional Herding. Review of Financial Studies, 17(1), 165-206.
Wei, K. D., Wermers, R., & Yao, T. (2015). Uncommon Value: The Characteristics and Investment Performance of Contrarian Funds. Management Science, 61(10), 2394-2414.
Zheng. (1999). Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability. The Journal of Finance, 54(3), 901-933.