臺灣博碩士論文加值系統

本研究主要建構退撫基金委外遴選決策，欲從投信公司、投資人及股東等不同角度作分析。由探討投資人個別利益、投信公司股東利益及同時考量兩者利益，利用資料包絡分析法對國內投信公司進行三次分析求出效率值，再以Tobit迴歸分析探討影響經營績效之因素。
實證結果發現：（1）以投信公司整體績效分析，投信成立月數、基金類型集中度與市場佔有率乘積項與經營績效表現呈顯著負相關，而市場佔有率與經營績效表現呈顯著正相關；（2）以投資人角度分析，投信成立月數、買進週轉率與經營績效表現呈顯著負相關，而賣出週轉率與經營績效表現呈顯著正相關；（3）以投信公司股東角度分析，投信公司成立月數、集中度與市場佔有率乘積項與經營績效表現呈顯著負相關，而公司總資產、市場佔有率與經營績效表現呈顯著正相關；（4）投資國內（外）基金比例、基金類型集中度等均未通過顯著性檢定。根據上述研究建議退撫基金於遴選委託機構時應避開成立時間較久的老投信公司，選擇市場佔有率較高且持有多種類型基金的投信公司。

The research constructs outsourcing selection decision for the Pension Fund from investment trust company, investors and shareholders. We discuss with the benefits of individual investors, investment trust company shareholders and both benefits of them. We apply Data Envelopment Analysis (DEA) to measure the efficiency for domestic investment trust companies and use Tobit regression analysis to explore the factors which affecting performance.
The main findings are (1) overall efficiency has a significant negative relationship with the product of focus ratio and market share and a significant positive relation with the market share; (2) from the view point of mutual fund investors, buy/sell turnover rate is very important; (3) from view point of stockholder, the company size, market share, focus ratio and the product of focus ratio and market share are significant variables; (4) local/foreign ratio and fund style concentration ratio is not significant in all the models.
According to the above results, the outsourcing selection decision of Pension Fund should avoid outdated investment trust companies, and should choose the investment trust companies with higher market share and various types of fund.

中文摘要…..…….…………………………………………………………...Ⅰ
英文摘要…..…….…………………………………………………………...Ⅱ
誌謝…………………………………………………………………………..Ⅲ
目錄…………………………………………………………………………..IV
圖目錄………………………………………………………………………..VI
表目錄………………………………………………………………………..VII
第壹章 緒論…………………………………………………………………1
第一節 研究背景與動機…………………………………………………1
第二節 研究目的…………………………………………………………4
第三節 研究流程…………………………………………………………4
第貳章 文獻探討…………………………………………………………....6
第一節 退撫基金之簡介…………………………………………………6
第二節 委託經營所產生代理問題之相關文獻………………..………11
第三節 基金績效評估指標……………………………………………..13
第四節 基金績效影響因素……………………………………………..16
第參章 研究設計…………………………………………………………..23
第一節 研究樣本與資料來源…………………………………………..23
第二節 資料分析方法…………………………………………..………24
第三節 影響效率因素之變數定義……………………………………..35
第四節 研究假說………………………………………………………..37
第五節 研究模型選取…………………………………………………..40
第肆章 實證結果分析……………………………………………….…….42
第一節 敘述性統計量……………………………………………….….42
第二節 相關性分析…………………………………………..................42
第三節 效率集合………………………………………………….….…43
第四節 差額變數分析…………………………………………….…….45
第五節 Tobit迴歸分析….……………………………………….……..46
第伍章 結論與建議………………………………………………….……51
第一節 研究結論……………………………………………………….51
第二節 研究限制與建議…………………………………….................52
參考文獻…………………………………………………………………….53

中文部分
1.沈孟賢（2005），「公開資訊、基金特性與股票型基金長期績效之探討」，2005真理財經研討會。
2.吳慧君（2002），系統風險及公司特徵因子對台灣共同基金績效之實證研究，朝陽科技大學財金碩士論文。
3.高強（2004），管理績效評估資料包絡分析法，華泰文化。
4.孫遜（2004），資料包絡分析法─理論與應用，揚智文化。
5.黃彥彰（2000），共同基金代理問題之探討，銘傳大學國際企業管理研究所碩士論文。
6.黃程献（2002），台灣發行跨國投資共同基金效率之研究，交通大學經營管理研究所碩士論文。
7.陳安琳、洪嘉苓、李文智（2001），「共同基金經理團隊屬性與基金績效之研究」，證券市場發展，第十三卷，第三期，頁1-27。
8.鄭修棟（2003），投信股權連結─基金投資隱含的代理問題，輔仁大學管理所碩士班論文。

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