臺灣博碩士論文加值系統

共同基金績效是廣大投資人所關注的議題，但由於共同基金總類繁多，每一檔基金規模也大不相同，而本研究欲探討在不同規模基金中，各項變數對於基金績效的影響性，並且進一步探討基金是否有最適的規模大小。
過去文獻中探討影響基金績效因素相當廣泛，不同的研究也都各自採用不同的變數進行探討，有些認為基金流動性會對於績效有所影響，有些則認為經理人的替換是重要因素，也有以經理人過度自信行為作為探討方向，或是以基金成立時間進行討論者，在變數的選擇上是相當地多樣。而在基金規模對於績效影響的探討中，由於樣本的選擇、期間的差異以及投資區域的不同，同樣有許多不同的研究結果。有些學者認為小型基金擁有較佳的績效，有些則認為大型基金績效較為優異，或是也有學者提出基金績效隨著規模而呈現倒U型。
本研究以台灣市場為例，蒐集2003年至2013年間共10年的開放式股票型基金資料，並且利用分量迴歸作為研究方法，將基金規模依照四分位數分為四組，再將不同規模基金的績效與所選擇的八個自變數作關係的探討，最後分析不同規模基金績效之間的差異，研究結果如下：
1.自變數對於全體基金的樣本資料，相較於規模分量後的樣本資料，其影響情況並不相同，代表共同基金在不同的規模下，變數對於基金績效的影響確實顯著不同。
2.不同規模基金的績效，所受影響的因素並不相同，其中買進及賣出週轉率對於大型基金有顯著影響，但對於小型基金則沒有影響，代表不同規模大小的基金，要進行績效之探討時，也必須針對不同的因素進行檢視。
3.研究結果發現基金績效隨著規模呈現倒U型，也就是基金績效隨著規模增加而上升，但當基金規模增加到某種程度後績效不再明顯增加，甚至小幅下滑。

The performance of mutual funds is one of the focus for all investors. However, investing choices are hard to make because of various types of mutual funds. Our research would try to find the factors that would affect the performance of mutual funds. Because each mutual fund has different scales, we would see the different performance between each of them.
In previous research, there are many factors that would affect mutual funds performance. Some of researches consider liquidity is a significant factor; other researchers believe the change of fund managers is an important element. Moreover, there are other factors such as fund managers’ over-confidence and mutual fund ages discussed in prior literatures.
Due to different samples, time and regions, different sizes of funds still have definitely diverse performance. Some researchers think small funds have excellent performance; whereas another researchers propose large funds have better performance, and the other researchers consider there are concave figures between fund sizes and performance.
Our research collects equity funds from 2003 to 2013 in Taiwan fund market, and all data source are from Taiwan Economic Journal. The research method is Quantile regression, and we divide the mutual fund scales into four groups based on quartile. Then, we try to investigate the relationship between eight independent variables and performance of funds, which is dependent variable in this paper. There are three main results：
1.The impact of independent variables are distinctive between whole sample data and quantile data.
2.Buying and selling turnover rates influence large funds, but they do not have an impact on small funds. In other words, when we want to explore the performance of funds under different scales, we might view different factors.
3.It appears concave graph between fund size and performance, which means fund performance is rising with fund scales. However, when fund scales increase to some extent, performance of fund have no significant increase.

謝詞 I
中文摘要 II
英文摘要 III
目 錄 IV
圖 次 VI
表 次 VII
第一章 緒論 1
第一節 背景與動機 1
第二節 研究目的 2
第三節 流程與架構 3
第二章 基金市場發展概況與文獻探討 5
第一節 台灣基金市場發展概況 5
第二節 基金類型簡介 8
第三節 基金規模與報酬 11
第四節 影響基金績效之因素 14
第三章 資料與研究方法 17
第一節 樣本選取與樣本期間 17
第二節 研究方法 17
第三節 變數定義 20
第四章 實證結果與分析 25
第一節 敘述統計 25
第二節 不同變數對基金績效實證結果 33
第三節 不同規模基金績效差異 43
第五章 結論與建議 45
第一節 結論 45
第二節 建議與限制 46
參考文獻 47

伍忠賢 (2008)。基金投資與管理[初版]。台北市：五南出版社。
邵宜君 (2012)。基金管理：理論與實務應用[一版]。台北市：雙葉出版社。
邱顯比 (2006)。基金理財的六堂課[三版]。台北市：天下遠見出版社。
林傑宸 (2009)。基金管理：資產管理的入門寶典[三版]。台北市：智勝出版社。
約翰．羅斯查得 (2013)，彼得林區征服股海[四版](陳重亨、郭淑娟譯)。台北市：財信出版社。
王南喻、陳信憲 (2005) 。美國開放式股票型基金之長短期績效持續性研究。台灣金融財務季刊，6(4)，21-39。
王南喻、陳信憲 (2009) 。存續者偏誤、基金分類與績效持續性之研究，管理學報。26(6)，673-396。
李竹芬、范遠華 (2007) 。國內共同基金績效評估及其影響因素之實證研究。人文及管理學報，(4)，235-257。
邱麗珍 (2010) 。國內開放型共同基金規模與績效之關聯性探討。國立中山大學國際經營管理碩士班，高雄市。
倪衍森、李仁在、李方瑋 (2010) 。建構共同基金投資組合之研究：開放式股票型基金為例。臺灣企業績效學刊，4(1)，45-65。
周欣瑩 (2012) 。過度自信的經理人對基金規模與績效關係之影響。銘傳大學財務金融研究所，台北市。
劉永欽、陳香如、李翊萱 (2012) 。國內共同基金淨值與未來績效及其持續性之關係。台灣管理學刊，12(2)，179-203。
戴錦周、林孟樺 (2007) 。投信與基金績效之研究。台灣金融財務季刊，8(3)，65-91。
Agarwal, V., Daniel, N. D., & Naik, N. Y. (2003, August). Flows, performance, and managerial incentives in hedge funds. EFA 2003 Annual Conference. Symposium conducted at the University of Strathclyde, Glasgow, Scotland.
Amenc, N., Curtis, S., & Martellini, L. (2003). The alpha and omega of hedge fund performance measurement. EDHEC-Risk and Research Asset Management Center.
Ammann, M., & Moerth, P. (2005). Impact of fund size on hedge fund performance. Journal of Asset Management, 6(3), 219-238.
Ammann, M., Ising A., & Kessler, S. (2012). Disposition effect and mutual fund performance. Applied Financial Economics, 22(1), 1-19.
Becker, S., & Vaughan, G. (2001). Small is beautiful. Journal of Portfolio Management, 27(4), 9-17.
Berk, J. B., & Green, R. C. (2004). Mutual fund flows and performance in rational markets. Journal of Political Economy, 112(6), 1269-1295.
Bhojraj, S., Cho, Y. J., & Yehuda, N. (2011). Mutual fund family size and mutual fund performance: The role of regulatory changes. Journal of Accounting Research, 50(3), 647-684.
Bilson, C., Frino, A., & Heaney, R. (2005). Australian retail fund performance persistence. Accounting and Finance, 45(1), 25-42.
Bodson, L., Cavenaile, L., & Sougne, D. (2011). Does size affect mutual fund performance? A general approach. Journal of Asset Management, 12(3), 163-171.
Bollen, N. P. B., & Busse, J. A. (2004). Short-term persistence in mutual fund performance. Review of Financial Study, 18(2), 569-597.
Brown, S. J., & Goetzmann, W. N. (1995). Performance persistence. Journal of Finance, 50(2), 679-698.
Carhart, M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57-82.
Cashman, G. D., Deli, D. N., Nardari, F., & Villupuram, S. (2012). Investors do respond to poor mutual fund performance: Evidence from inflows and outflows. Financial Review, 47(4), 719-739.
Chen, J., Hong, H., Huang, M., & Kubik, J. (2004). Does fund size erode mutual fund performance? The role of liquidity and organization. American Economic Review, 94(5), 1276-1302.
Chen, H., Faff, R. W., Gallagher, D. R., & Looi, A. (2008). Fund size, transaction costs and performance: Size matters! Australian Journal of Management, 34(1), 73-96.
Ding, B., Shawky, H., & Tian, J. (2009). Liquidity shocks, size and the relative performance of hedge fund strategies. Journal of Banking and Finance, 33(5), 883-891.
Elton, E. J., Gruber, M. J., & Blake, C. R. (2011). Does size matter? The relationship between size and performance. Fordham University Schools of Business Research Paper, Harrison, NewYork.
Fan, Y., & Addams, H. L. (2012). United States-based international mutual funds: Performance and persistence. Financial Services Review, 21(1), 51-61.
Fuss, R., Kaiser, D., & Strittmatter, A. (2009). Measuring funds of hedge funds performance using quantile regressions: Do experience and size matter? Journal of Alternative Investments, 12(2), 41-53.
Gallagher, D. R., & Martin, K. M. (2005). Size and investment performance: a research note. Abacus, 41(1), 55-65.
Getmansky, M. (2004). The life cycle of hedge funds: Fund flows, size and performance. MIT Working Paper.
Gregoriou, G. N., & Rouah, F. (2003). Large versus small hedge funds: Does size affect performance? Journal of Alternative Investments, 5(3), 75-77.
Guidotti, I. (2009). Hedge fund investing: Is there any trade off between liquidity, size and performance ? Olympia Capital Management Rescearch, 1-5.
Hedges, J. (2004). Size vs. performance in the Hedge fund industry. Journal of Financial Transformation, 10, 14-17.
Huij, J., & Verbeek M. (2007). Cross-sectional learning and short-run persistence in mutual fund performance. Journal of Banking and Finance, 31(3), 973-997.
Indro, D., Jiang, C., Hu, M., & Lee, W. (1999). Mutual fund performance: Does fund size matter. Financial Analysts Journal, 55(3), 74-87.
Kacperczyk, M., Sialm, C., & Zheng, L. (2005). On the industry concentration of actively managed equity mutual funds. Journal of Finance, 60(4), 1983-2011.
Koenker, R., & Bassett, G. (1978). Regression quantiles. Econometrica, 46(1), 33-50.
Koenker, R., & Hallock, K. F. (2001). Quantile regression. Journal of Economic Persperctives, 15(4), 143-156.
Liang, B. (1999). On the performance of hedge funds. Financial Analysts Journal, 55(4), 72-85.
Pollet, J. M., & Wilson, M. (2008). How does size affect mutual fund behavior. Journal of Finance, 63(6), 2941-2969.
Robu, V., & Sandu, M. I. (2011). An analysis of the correlation between size and performance of private pension funds. Theoretical and Applied Economics, 18(3), 107-116.
Tang, K., Wang, W., & Xu, R. (2012). Size and performance of Chinese mutual funds: The role of economy of scale and liquidity. Pacific-Basin Finance Journal, 20, 228-246.
Xiong, J., Idzorek, T., Chen, P., & Ibbotson, R. (2009). Impact of size and flows on performance for funds of hedge funds. Journal of Portfolio Management, 35(2), 118-130.
Yan, X. (2008). Liquidity, investment style, and the relation between fund size and fund performance. Journal of Financial and Quantitative Analysis, 43(3), 741-768.