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| Title: | 資金流量與基金績效的關聯—以台股基金為例
The Relationship between Mutual Fund Flow and Performance |
| Authors: | 洪聖雄 |
| Contributors: | 屠美亞
洪聖雄 |
| Keywords: | 共同基金
資金流量
聰明錢效果
共同基金績效
Mutual fund
Fund flow
Smart money effect
Mutual fund performance |
| Date: | 2017 |
| Issue Date: | 2017-08-10 09:44:23 (UTC+8) |
| Abstract: | 本研究探討2001年1月至2016年12月內所有以台股市場為標的之開放式股票型基金，透過多元迴歸模型與交易策略法深入的了解資金流量與過去和未來一期報酬率之間的關聯性，並從中探討台灣投資人的行為偏好。
透過多元迴歸模型與交易策略法可以發現代表台灣投資人投資偏好的資金淨流量變動率普遍有追逐過去績效表現優異之基金的傾向，接著探討資金淨流量變動率與未來一期報酬率的關聯後發現，台灣共同基金市場上當期資金淨流量變動率越高的基金，普遍在未來短期內所獲得的報酬率有較低的現象，然而隨著未來報酬期間的拉長，此現象便逐漸消失，最主要的解釋原因為台灣共同基金投資人普遍有追逐過去績效表現優異之基金的傾向，使過去績效表現較好的基金容易湧入過多的申購資金，而這些基金雖然在過去一期該基金經理團隊可以憑藉著自己所擅長的產業與個股經驗，挑選到具有成長潛力的投資標的，但隨著過去一期的優異表現，這些基金的投資組合持股價格已經來到相對高點，難以持續擁有良好的報酬表現，加上基金經理團隊手上仍握有許多等待投資的現金，最終可能迫使基金經理團隊必須開始涉入自己不熟悉的產業與個股，增加錯誤投資的機會而使績效表現變差，然而長期而言，該基金經理團隊仍可以憑藉著自己的專業投資能力，重新尋找到優良投資標的，消化過去湧入的投資資金，改善過去短期績效表現不佳的狀況。
This study explored all open-ended equity funds targeting Taiwan’s stock market from January 2001 to December 2016. Through multiple regression model and trading strategy method, we got an in-depth understanding of the relationship between fund flows and both past and future returns, and the characteristics of the trading behavior of Taiwan’s investors were further investigated.
By using multiple regression model and trading strategy method we found evidence that Taiwan’s investors have the tendency to chase mutual funds which had superior performance in the last period. Following this issue, we also found that funds with higher fund inflow generally had lower return in the short term time horizons, but the phenomenon would gradually disappear when the time horizons were extended. The main explanation of this phenomenon is that Taiwan’s investors generally have the tendency to buy mutual funds which gave superior return in the last period, so that funds with better performance in the past are prone to attract subscription. Although in the last period, these funds’ management team could rely on their own industrial and individual stock-picking experience, selecting those stocks with high growth potential. However, with an outstanding performance in previous period, stock prices in those fund’s portfolio had come to a relatively high point, so it’s hard to maintain good performance. With a vast sum of fund inflow, the management team may also be forced to invest in the industries or companies that they’re unfamiliar with, causing the possibility of wrong investment. However, when the time horizons were extended, the management team could digest the inflow of investment funds by rediscovering good investment targets and improve their fund performance. |
| Reference: | 一、國內文獻
許培基 & 葉銀華 & 郭溫慈(2000)，「台灣共同基金的投資行為—績效與流量」，第九屆證券暨金融市場理論與實務研討會論文發表
陳炳聰(2000)，「基金流量、基金績效與市場報酬關係探討」，高雄第一科技大學金融營運研究所碩士論文
彭俊銘(2001)，「共同基金流量與績效之因果關係」，台北大學經濟研究所碩士論文
游智賢、曾婉禎(2003)，「共同基金之外溢與排擠效果」，財務金融學刊，11，99-123
池祥萱 & 林煜恩 & 周賓凰(2007)，「基金績效持續與聰明錢效果：台灣實證」，管理學報第24卷第三期307-330
林東柏(2007)，「以基金淨流量與績效建構基金投資組合」，政治大學財務管理研究所碩士論文
江郁青(2007)，「基金費用與投資人行為—以台灣開放式股票型基金為例」，政治大學財務管理研究所碩士論文
林敏婷（2010），「市場狀態與基金投資人投資行為之探討」，義守大學財務金融所碩士論文
鍾亦強(2014)，「選股能力與基金績效持續性研究–以台灣國內股票型基金為例」，政治大學財務管理研究所碩士論文
二、國外文獻
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Zheng, L. (1999). Is money smart? A study of mutual fund investors` fund selection ability. The Journal of Finance, 54(3), 901-933. |
| Description: | 碩士
國立政治大學
財務管理研究所
104357001 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0104357001 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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