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研究生:林榕芳
研究生(外文):Jung-Fang Lin
論文名稱:台灣共同基金績效持續性與金流效果之研究
論文名稱(外文):Return Persistence and Fund Flow of Mutual Funds: The Case of Taiwan
指導教授:李存修李存修引用關係
指導教授(外文):Tsun-Siou Lee
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:英文
論文頁數:62
中文關鍵詞:基金績效績效持續性基金流量聰明錢
外文關鍵詞:fund performancefund flowfund persistencesmart money
相關次數:
  • 被引用被引用:6
  • 點閱點閱:229
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本研究主要在探討基金績效持續性與金流效果相互影響下,在台灣共同基金市場短、中、長期下的獲利情形。本研究以台灣開放型股票型及平衡型基金為研究對象,使用1997年1月到2007年12月之月資料,參考Lee & Swaminathan(2000)的動能生命週期假說,以基金流量參數取代期原來週轉率參數,以基金績效取代原本股票價格參數,探討基金績效與金流在台灣基金市場的影響效果。過去文獻多只討論二者之一,本文則除了分別探討績效持續性與金流效果外,並進一步探討兩者的交互關係。作法上,本文利用前期基金績效(前期基金流量)分出的贏家與輸家組合,再以前期基金流量(前期基金績效)再次形成投資組合。本研究的主要研究發現如下:
一、無論短、中、長期下,台灣開放型股票型及平衡型基金存在績效持續性,顯示台灣共同基金「強者恆強、弱者恆弱」的現象。投資人可以買入過去績效佳的基金,贖回過去績效差的基金。但長期觀察,贏家與輸家的績效差異性會越來越小。
二、台灣開放型基金之金流效果,過去基金流量高的贏家,其績效表現反而顯著低於過去基金流量低的輸家。
三、我們也發現,過去績效好且流量高的贏家,未來績效表現卻低於績效好但流量低的輸家。
The objective of this study is to investigate fund performance and fund flow interaction of momentum strategies for Taiwan mutual fund market in short, intermediate, and long horizons. Our findings show that the persistence of mutual fund performance and high inflow funds underperform low inflow funds over multi-year time periods. Since mutual funds are grouped into different categories, we use the measure relative to category when investigating managerial ability excluding the industry or market effect. By one-way sorted, two-way independently sorted, and two-way dependently sorted, we use past return (category-adjusted return) and past flow (category-adjusted flow) group to examine fund performance persistence and fund flow effect.
I.Introduction…………………………………………………… 7
II.Related Literature Review………………………………… 10
III.Data & Methodology………………………………………… 14
IV.Empirical Results & Discussion………………………… 21
V.Conclusion……………………………………………………… 58
VI.Suggestion for Further Research………………………… 60
Reference………………………………………………………… 61
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