臺灣博碩士論文加值系統

本研究主要探討基金績效排名持續性對基金流量之影響，目的在檢測台灣基金市場是否有聰明錢效果存在，研究樣本為2001年1月至2010年12月之國內開放式股票型基金。以基金淨值計算之月報酬率作為績效指標，進行基金績效從大到小依序排名，將績效排名前20%、前30%、前40%、前50%的基金視為贏家，績效排名後20%、後30%、後40%、後50%的基金視為輸家，分別計算每一檔基金績效在不同的排名範圍內，前後期持續為贏家或輸家的累計次數、基金報酬率及市場報酬率進行比較與分析，檢視基金績效排名持續性對基金流量的影響，以迴歸模型進行資料分析及假說檢定。
實證結果摘要如下：一、不同排名範圍內，績效排名持續性會影響基金流量，即基金績效持續為贏家，對基金流量有顯著正向之影響；基金績效持續為輸家，對基金流量有顯著負向之影響。二、台灣共同基金市場存在聰明錢效果。實證結果發現基金績效持續為贏家，且基金報酬率為正，對基金流量有顯著正向之影響；基金績效持續為贏家，且基金報酬率優於市場報酬率，亦對基金流量有顯著正向之影響，表示投資人比較願意將資金投入在績效持續良好且基金報酬率優於市場報酬率之基金。三、市場報酬率會影響基金流量。實證結果發現績效持續為贏家，且基金報酬率優於市場報酬率之基金，其市場報酬率與基金流量有顯著的負向關係，表示當市場報酬率上漲時，投資人反而對該檔基金持保守的看法，而進行贖回的策略，使得該檔基金流量隨之下降。四、基金績效具有短期的持續性。實證結果發現不論績效排名持續為贏家或輸家之基金的平均持續次數皆約為2.79次，所以基金績效並非永遠強者恆強，弱者恆弱。

This study focuses on how mutrual fund performance persistence influences fund flows, and examines whether smart money effect exists in Taiwan. We use the Taiwan open-end domestic equity funds from January 2001 to December 2010 as the research sample. The fund performance ranking is basd on the fund monthly return. The fund performers of top 20% to 50% are regarded as the winners, and the fund performers of last 20% to 50% are viewed as the losers. The resulting bases sample consists of 208 funds, including fund cumulative times, fund monthly return, and the monthly return of TAIEX. The regression models are employed to examine the relationship between the fund performance persistence and fund flows.
The results of this research are summarized as follows：(1)The fund cumulative times of the winners are positively related to fund flows, but the fund cumulative times of the losers are negatively related to fund flows. (2)There is smart money effect in Taiwan open-end domestic equity funds market. (3) The monthly return of TAIEX is negative relative to fund flows. (4) The fund performance persistence is short term. There are 2.79 cumulative times in average. Therefore, the top performers are not always the best in the mutrual fund market .

謝　辭 I
論文中文提要 II
論文英文提要 III
目　錄 IV
表　次 V
圖　次 VI
第一章　緒　論 1
第一節　 研究動機 1
第二節　 研究目的 3
第三節　 研究流程 5
第二章　我國基金產業與相關文獻探討 7
第一節 台灣共同基金市場的概況 7
第二節 共同基金績效持續性之相關研究 11
第三節 基金績效及基金流量之關聯性相關研究 13
第三章　資料與研究方法 16
第一節 研究架構 16
第二節 研究假說 18
第三節 資料蒐集方法 20
第四節 變數操作型定義 21
第五節 實證模型與統計方法 23
第四章　實證結果與分析 27
第一節 敘述性統計資料 27
第二節 基金績效排名持續性分析 30
第三節　 基金績效對基金流量之影響 34
第五章　結論與建議 39
第一節 結論 39
第二節 建議 41
第三節 研究限制 42
參考文獻 43

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