[[alternative]]A Study of Investor Sentiment and Dumb Money Effect

碩士商業教育學系[[abstract]]本研究利用共同基金流量來衡量投資人情緒，探討投資人情緒對於共同基金績效及基金持股超額報酬之影響，並進一步探討其相互關係。本研究以投資標的為國內上市櫃股票之開放式股票型基金為研究對象，研究期間為2000年1月至2008年12月。研究結果顯示，共同基金在短期投資人情緒水準下，存在愚笨錢效果。發現高情緒的基金比低情緒的基金，基金績效在未來表現相對較差。而不論前期基金績效的高低，高情緒的基金在未來績效表現也皆不如低情緒的基金。此外，在基金持股的超額報酬方面，發現高情緒的股票比低情緒的股票，股票超額報酬在未來表現相對較差，意即高情緒使得股價被推高超過基本價值，在未來就會出現低報酬。而不論前期股票報酬的高低，高情緒的股票在未來報酬表現也皆不如低情緒的股票。因此，投資人的資金因為情緒的影響而造成減損，說明了投資人應避免情緒化的投資行為。[[abstract]]This study used mutual fund flows as a measure of investor sentiment, then tested whether sentiment affect mutual fund performance and excess returns for different stocks that hold by mutual funds. Also this study examined the interaction between investor sentiment, fund performance and excess returns. The sample was consisted the stock mutual funds in Taiwan from January 2000 to December 2008. The results indicated that the dumb money effect existed in short investor sentiment horizons. Findings indicated that high sentiment predicts lower future fund performance, and the performance of funds of low sentiment is better than high sentiment whether in high or low past returns. Moreover, the excess returns of stocks of low sentiment is better than high sentiment. If sentiment pushes stock price above fundamental value, high sentiment stocks should have low feature returns. Therefore, investors reduce their wealth because sentiment. That investors should avoid emotional investment behavior