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研究生:柯佩璇
研究生(外文):Pei-hsuan Ke
論文名稱:台灣共同基金費用結構
論文名稱(外文):The structure of fees in Taiwan mutual fund industry
指導教授:王仁宏王仁宏引用關係
學位類別:碩士
校院名稱:世新大學
系所名稱:財務金融學研究所(含碩專班)
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:中文
論文頁數:52
中文關鍵詞:共同基金基金費用週轉率累計報酬率法人投資比例
外文關鍵詞:Mutual fundMutual fund feeTurnoverAccumulative returnThe ratio of corporation investment
相關次數:
  • 被引用被引用:5
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  • 下載下載:147
  • 收藏至我的研究室書目清單書目收藏:0
本研究根據Rao (2001)的研究,以2008年底仍存在的整體股票型基金為研究樣本,探討台灣共同基金市場之基金費用結構,考量包含基金投資類型、基金成立年度、基金成立時預訂規模與成立當月的加權股價指數,希望能找影響台灣股票型基金費用訂定因素。
實證結果發現,加權股價指數的高低會影響基金新成立時對費用所做的設定,當指數較高、股市行情較好時,基金費用會設定的比較低;而基金成立時預訂規模對於基金的費用訂定並無顯著的相關性;基金申購費在本研究樣本中並無顯著影響基金費用的訂定。基金費用在投資類別的差異上,跨國投資股票型的費用顯著偏高,可能與經理人對於資訊上搜尋的成本較高有關;且基金費用隨著共同基金市場的成熟與活絡有逐漸增加的趨勢。另外,基金費用與週轉率和績效間無顯著相關;最後,法人投資人對於基金費用高低並沒有顯著規避的現象。
This paper studies the determinants of mutual fund fees in the Taiwan funds industry. Following Rao (2001), we introduce a model to describe how the mutual find fees can be explained by fund characteristics. A dataset including 280 equity funds that exist in the end of 2008 is used for the empirical analysis. The findings include: Fund fees tend to be lower if the fund is founded in a month with a high stock market index level; The style of funds affects fund fees , in particular the cross-national funds charging the highest fees; and Fund fees tend to be higher as the mutual fund industry becomes more mature and popular.
第一章 緒論........................................1
第一節 研究背景與動機..............................1
第二節 研究目的....................................5
第三節 研究架構與流程..............................5
第二章 文獻探討....................................7
第一節 共同基金的種類..............................7
第二節 投資共同基金的成本.........................10
第三節 基金費用與績效的關係.......................11
第四節 基金費用的影響因素.........................13
第三章 研究設計與方法.............................17
第一節 研究對象、期間與資料來源...................17
第二節 變數說明...................................18
第三節 研究方法與模型介紹.........................24
第四章 實證結果分析...............................27
第一節 整體共同基金費用的決定因素與影響...........27
第二節 國內股票型共同基金費用的決定因素與影響.....33
第五章 結論.......................................39
參考文獻...........................................41
一、英文部分.......................................41
二、中文部分.......................................44
附錄一:研究基金樣本列表...........................45
一、英文部分
1.Barber, B.M., T. Odean and L. Zheng, 2002, Out of sight, out of mind:The effects of expenses on mutual fund flows, Journal of Business, Vol.78, 2095-2119.

2.Baumol, W., S. Goldfeld, L. Gordon and M. Koehn, 1990, The economics of the mutual fund markets : competition versus regulation (Kluwer Academic Publisher, Boston).

3.Carhart, Mark M., 1997, On persistence in mutual fund performance, Journal of Finance, Vol.52, 57-82.

4.Chang, E.C. and W.G. Lewellen, 1984, Market timing and mutual fund investment performance. Journal of Business, Vol.57, 57-72.

5.Coles, J., J. Suay and D. Woodbury, 2000, Fund advisor compensation in closed-end funds , Journal of Finance, Vol.55, 1385-1414.

6.Daniel N. Deli.,2002, Mutual fund advisory contracts:an empirical investigation, Journal of Finance,Vol.57, 109-133.

7.Elton, Edwin J., M.J. Gruber, S. Das and M. Hlavka, 1993, Efficiency with costly information: A reinterpretation of evidence from managed portfolios, The Review of Financial Studies, Vol.6, 1-22. .

8.Fama, Eugene F. and M.C. Jensen, 1983, Agency problems and residual claims, Journal of Law and Economics, Vol.26, 327-349.

9.Fama, Eugene F. and M.C. Jensen, 1983, Separation of ownership and control, Journal of Law and Economics, Vol.26, 301-325.

10.Ferris, Stephen P. and Don M. Chance, 1987, The effect of 12b-1 plans on mutual fund expense ratios:A note, Journal of Finance, Vol.42, 1077-1082.

11.Fortin, R. and S.Michelson ,1998, Mutual fund trading costs, Journal of Investing Spring, 67-70.
12.Geranio, M. and G.Zanotti, 2005, Can mutual fund characteristics explain fees?, Journal of Multinational Financial Management, Vol.15, 354-376.

13.Gruber, M.J., 1996, Another puzzle:The growth in actively managed mutual funds, Journal of Finance, Vol.51, 783-812.

14.Henriksson, R.D. and R.C. Merton, 1981, On market timing and investment performance:Statistical procedures for evaluating forecasting skills, Journal of Business, Vol.54, 513-533.

15.Todd Houge and Jay Wellman, 2006, The use and abuse of mutual fund expenses, Working paper, The University of Iowa.

17.Ippolito, Richard A., 1992, Consumer reaction to measures of poor quality:Evidence from the mutual fund industry, Journal of Law and Economics, Vol.35, 45-70.

17.Jensen, M.C., 1968, The performance of mutual funds in the period 1945–1964, Journal of Finance, Vol.23, 389-416.

18.Korkeamaki, T.P. and T.I.Jr. Smythe, 2004, Effects of market segmentation and bank concentration on mutual fund expenses and return: Evidence from finland, European Financial Management, Vol.10, 413-438.

19.Latzko, D., 1999, Economies of scale in mutual fund administration, Journal of Financial Research, Vol.22, 331-339.

20.Liu, Y.J. and J.Y. Wang, 2007, Investors' sophistication and the mutual fund expenses, Working paper, National Chengchi University.

21.Livingston, M., and E. O’Neal, 1996, Mutual fund brokerage commissions, Journal of Financial Research, 273-292.

22.Malhorta D.K. and R.W. McLeod, 1997, An empirical analysis of mutual fund expenses, Journal of Financial Research, 175-190.

23.Malhotra, D.K. and R.W. McLeod, 2000, Closed-end funds expenses and investment selection, The Financial Review, Vol.41, 85-104.

24.Malkiel, B., 1995, Return from investing in equity mutual funds 1971 to 1991, Journal of Finance, Vol.50, 549-572.

25.Payne, T.H., L. Prather and W. Bertin, 1999, Value creation and determinants of equity fund performance, Journal of Business Research, Vol.45, 69-74.

26.Philpot, J., D. Hearth, James N. Rimbey and Craig T. Schulman, 1998, Active management, fund size, and bond mutual fund returns, Financial Reviews, Vol.33, 115-125.

27.Rao, S.P.U., 2001, Economic impact of distribution fees, American Business Review, Vol.19, 1-5.

28.Sirri, Erik R. and Peter Tufano, 1998, Costly search and mutual fund flows, Journal of Finance, Vol.53, 1589-1622.

29.Sharpe, William F., 1966, Mutual fund performance, Journal of Business, Vol.39, 119-138.

30.Shu, P.G., Y.H. Yeh and T. Yamada, 2002, The behavior of Taiwan mutual fund investors-performance and fund floes, Pacific-Basin Finance Journal, Vol.10, 583-600.

31.Treynor, J.L., 1965, How to rate management of investment funds, Harvard Business Review, Vol.43, 63-75.

32.Treynor, J.L. and K. Mazny, 1966, Can mutual funds outguess the market?, Harvard Business Review, Vol.44, 131-136.

33.Tufano, Peter and Matthew Sevick, 1997, Board structure and fee-setting in the U.S. mutual fund industry, Journal of Financial Economics, Vol.46, 321-355.


二、中文部分
1.李顯峰與廖麗娟 (2004) ,台灣共同基金規模經濟之研究,證交資料516期,2-37。

2.林映志 (2002),共同基金管理費用影響因素之研究,銘傳大學財務金融學系碩士論文。

3.翁林聖 (2006),新基金之實證分析,元智大學財務金融學系碩士論文。

4.張志宏 (1996),台灣共同基金投資績效評估之研究,成功大學企業管理學系碩士論文。

5.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,證券市場發展季刊,1-27。

6.謝東益 (2002) 基金各種費用率與現金流量關係之研究-以開放型共同基金為例,實踐大學企業管理學系碩士論文。
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