臺灣博碩士論文加值系統

在共同基金市場中，過去績效表現良好的基金，往往會成為投資人未來投資的選擇，而此投資人逐利行為已逐漸被大家所接受。本文以美國不動產基金為例，研究1982年至2006間，不動產基金績效與基金流量的關聯性。由於不動產基金數量於90年代迅速攀升，過去相關研究甚少。而根據本文研究結果顯示，無論採用單因子或三因子模型進行分析，不動產基金均存在相當顯著的異常報酬。另外，本文採用向量自我回歸模型(VAR)進行基金績效與基金流量的分析。在嘗試控制Fama-French三因子後發現，投資人逐利行為確實存在不動產基金市場中。相同地，控制基金規模後，此一行為也被證實存在小規模的基金中。

This study examines two issues of real estate mutual funds. First, we analyze the performance of real estate mutual funds. Second, we investigate the relation between fund flows and fund returns. We find that the real estate mutual funds have positive and significant abnormal returns from 1982 to 2006. This result is not consistent with those of previous empirical studies. On the other hand, we find that previous return affects current fund flow after controlling factor risk. We also find that, for small-size funds, current fund flow is influenced by previous return. These results support that the investors of real estate mutual fund demonstrate return-chasing behavior, but this behavior is driven by factor risk and fund size.

I.Introduction 1
II.Literature Review 4
A.The Related Literatures about Performance of Mutual Fund 4
B.The Related Literatures about Fund Flows and Fund Return 5
III.Data and Methodology 7
A.Data 7
B.Methodology 10
B.1The Measurement of Performance 10
1.One Factor Model 10
2.Fama- French Three Factor Model 11
B.2The Measurement of Fund Flows and Performance 12
1.Related Tests and Method about VAR Model 12
1.1Unit Root Test 13
1.2Return Volatility 13
2.VAR Model 13
IV.Empirical Results 15
A.Performance of Real Estate Mutual Fund 15
B.The Relation between Fund Flow and Fund Return 17
B.1Monthly Raw Return and Fund Flows 17
B.2Monthly Adjusted Return and Fund Flows 18
B.3Monthly Return and Fund Flows Under Different Size Level 19
V.Conclusions 21
Table
Table 1 The Definition of Various Benchmark Models 25
Table 2 Sample Descriptive Statistics 26
Table 3 The Performance of Real Estate Mutual Fund 28
Table 4 The Performance of Real Estate Mutual Fund in Various Subperiods 29
Table 5 The Regression Results of Raw Return using VAR Model 31
Table 6 The Regression Results of Adjusted Return using VAR Model 33
Table 7 The Regression Results of VAR Model with Various Size 35
Table 8 The Regression Results of VAR Model with Various Size and Residuals 37
Figure
Figure 1 The number of Real Estate Mutual Funds over the Sample Period (1982-2006) 24
Figure 2 The Trend of Fund Return and Aggregate Fund Flow
over the Sample Period 30

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