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研究生:王耀宗
研究生(外文):Yao-Chung Wang
論文名稱:最適基金規模與最適投資規模
論文名稱(外文):OPTIMAL FUND SIZE AND OPTIMAL INVESTMENT SIZE
指導教授:陳瑞璽陳瑞璽引用關係
指導教授(外文):Ruey-Shii Chen
學位類別:碩士
校院名稱:大同大學
系所名稱:事業經營學系(所)
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2010
畢業學年度:98
論文頁數:137
中文關鍵詞:共同基金資料包絡分析法規模效應最適規模
外文關鍵詞:Mutual FundData Envelopment AnalysisSize EffectOptimal Size
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共同基金為投資人重要投資工具之一,面對琳瑯滿目的基金時,投資人應如何挑選出適合自身且報酬率高之共同基金為一項重要之議題。因此,探討共同基金相關課題之研究也隨之大幅增加。先前研究大都探討基金規模與基金績效之間的關聯性,本文更進一步探討基金規模、投資標的規模、基金績效三者之間的關係,希冀能提供後續投資人作為選擇基金時之參考。本文以 2005年至2009年之國內開放式股票型基金為研究對象,採用資料包絡分析法評估基金績效,產出項為基金年報酬,投入項為直接交易費成本率、累計買進及賣出週轉率、成本費用率。研究結果顯示基金規模與基金績效之間呈正相關,且發現投資時有規模效應現象,即不論基金規模大小,投資在規模較小之標的能夠得到較高的報酬。另外,實證結果亦指出基金具有最適規模,即規模過大會使基金績效變差,因此建議後續投資人應投資在規模較大的基金而非規模最大的基金。
The mutual fund is one of the important investment tools for investors. Faced with an array of funds, how the investors choose a mutual fund with a high rate of returns which fits themselves is an essential issue. Therefore, the studies of mutual fund related issues significantly increase. Most of previous studies investigated the relationship between fund size and fund performance. The relationship among fund size, investment objective size and fund performance is further investigated in this study with the aim of providing a fund selection reference for investors in the future. The research subjects in this study are the domestic open-ended equity fund from 2005 to 2009. DEA is used to evaluate fund performance, and the output variable is total fund returns and the input variables are direct transaction cost rate, cumulative buying and selling turnover rates and cost rate. The results demonstrate that there is a positive correlation between fund size and fund performance. In addition, there is a size effect during investment, which means that regardless of fund size, smaller investment acquires higher returns. Besides, the empirical results also show that optimal size exists in fund, which means when the size is too big, the fund performance would be poor. As a result, it is suggested that follow-up investors should invest funds bigger but not the biggest in size.
ACKNOWLEDGEMENTS i
ABSTRACT IN ENGLISH ii
ABSTRACT IN CHINESE iv
CONTENTS v
LIST OF TABLE vii
1. INTRODUCTION 1
1.1 Research Background and Motives 1
1.2 Research Objectives 5
2. LITERATURE REVIEW 6
2.1 Introduction of Mutual Funds 6
2.2 The Investigation of the Relation Between Fund Size and Fund Performance 13
2.3 The Related Literature of Mutual Fund Performance Evaluated with DEA 18
3. RESEARCH METHODOLOGY 27
3.1 Basic Concept of DEA 27
3.2 Basic Model of DEA 29
3.3 Research Hypothesis 31
4. EMPIRICAL RESULTS AND ANALYSIS 35
4.1 Sample Selection and Data Resource 36
4.2 The Selection and Definition of Input and Output Variables 36
4.3 The Relationship Between Fund Size and Fund Performance 37
4.4 The Relationship Between Fund Size, Investment Objective Size and Fund performance 45
5. CONCLUSION AND RECOMMENDATIONS 49
5.1 Conclusion 49
5.2 Future Research Recommendations 51
BIBLIOGRAPHY 53
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