政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/29921

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/29921

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政大典藏 > College of Commerce > Department of Business Administation > Theses > Item 140.119/29921

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/29921

Title:	共同基金行為與規模效應之研究 The Behavior and Size Effect of Mutual Funds
Authors:	郭健川 Kuo, Chien-Chuan
Contributors:	盧秋玲 Lu, Chiu-Ling 郭健川 Kuo, Chien-Chuan
Keywords:	共同基金規模效果投資行為
Date:	2008
Issue Date:	2009-09-11 16:52:05 (UTC+8)
Abstract:	本研究以台灣地區開放式股票型基金為例，檢驗1999年6月至2009年3月十年共40期季資料，分析基金投資行為以及投資組合狀態之於基金績效間關聯。本研究結論及實證結果如下：(1) 基金投資行為可分為多角化或提升持股規模，基金在面對現金流入時，傾向直接投入於原投資組合；而基金多角化的速度，隨多角化程度提升而遞減；(2)影響基金行為的主要因素為規模變化比率以及前期投資組合之狀態，而大型基金的反應較為明顯；(3)基金規模無法直接與基金績效加以連結，績效須視基金投資組合之分散程度以及持股規模共同決定。
Reference:	中文文獻王琮瑜，「共同基金的類型、規模與其操作績效關係之研究」，國立交通大學管理科學研究所碩士論文，1996。王渟瑜，「規模經濟或經理人特徵－基金績效研究」，世新大學財務金融研究所碩士論文，2005 李愷莉，「台灣共同基金績效持續性與基金流量之研究」，國立政治大學國際貿易研究所博士論文，2005 辛穎琪，「灣股票型基金之績效評估持股比率分析法」，國立政治大學財務管理研究所碩士論文，1996。林世峻，「影響台灣股票型基金績效之特性因素研究」，淡江大學管理科學研究所碩士論文，2000 林榕芳，「台灣共同基金績效持續性與金流效果之研究」，國立台灣大學財務金融學研究所碩士論文，2008。周雅莉，「基金績效、規模與其對銷售成長之影響－以臺灣開放式成長型共同基金為例」，國立交通大學管理科學研究所碩士論文，1993 唐仕玉，「共同基金規模、資訊成本對報酬率的影響」，國立臺北大學企業管理研究所碩士論文，1999。陳安琳、洪嘉苓、李文智，「共同基金經理團隊屬性與基金績效之研究」，證券市場發展季刊，第十三卷第七期，1-27頁，2001。彭俊銘，「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，2001。蔡聰毓，「基金週轉率與績效之關係－以國內基金為例」，國立台灣大學財務金融學研究所碩士論文，2007。潘建宏，「國內共同基金的結構、績效與行為之成因初探」，國立交通大學經營管理研究所碩士論文，1998。英文文獻 Berk, Jonathan B., and Richard C. Green, 2004, Mutual fund flows and performance in rational markets, Journal of Political Economy 112, 1269-1295. Chen, Joseph, Harrison Hong, Ming Huang, and Jeffery D. Kubik, 2004, Does fund size erode mutual fund performance--the role of liquidity and organization, The American Economic Review 94, 1276-1302. Cuthbertson, Keith, Dirk Nitzsche, and Niall O’Sullivan, 2005, Mutual fund performance: Skill or luck?, Journal of Empirical Finance 15, 613-634. Grinblatt, Mark, and Sheridan Titman, 1989, Mutual fund performance: An analysis of quarterly portfolio holdings, Journal of Business 62, 393-416. Hausman, Jerry A., 1978, Specification tests in econometrics, Econometrica 46, 1251-1272. Indro, Daniel C., Christine X. Jiang, Michael Y. Hu, and Wayne Y. Lee, 1999, Mutual fund performance: Does fund size matter?, Financial Analysts Journal 55, 74-87. Jensen, Micheal C., 1968, The performance of mutual funds in the period 1945-1968, Journal of Finance 23, 389-416. O’Connell, Vincent, 2007, Dealing with panel data in accounting and managerial finance research, International Journal of Managerial Finance 3, 372-389. Payne, Thomas H., Laurie Prather, and William Bertin, 1999, Value creation and determinants of equity fund performance, Journal of Business Research 45, 69-74. Pollet, Joshua M., and Mungo Ivor Wilson, 2008, How does size affect mutual fund behavior?, Journal of Finance 63, 2941-2969. Sharpe, William F., 1966, Mutual fund performance The Journal of Business 39 119-138. Statman, Meir, 1987, How many stocks make a diversified portfolio? , Journal of Financial and Quantitative Analysis 22, 353-363. Warther, Vincent A., 1995, Aggregate mutual fund flows and security returns, Journal of Financial Economics 39, 209-235.
Description:	碩士國立政治大學企業管理研究所 96355018 97
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0096355018
Data Type:	thesis
Appears in Collections:	[Department of Business Administation] Theses

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