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研究生:楊安祺
研究生(外文):AN-CHI YANG
論文名稱:臺灣共同基金配息對投資人行為之影響
論文名稱(外文):The Influences of Mutual Funds Income Distribution on Investor Behavior
指導教授:邱顯比邱顯比引用關係
指導教授(外文):Shean-Bii Chiu
口試委員:陳明賢莊文議
口試委員(外文):Ming-Shen ChenWen-I Chuang
口試日期:2019-06-27
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:2019
畢業學年度:107
語文別:中文
論文頁數:46
中文關鍵詞:共同基金配息配息率投資人行為基金流量
DOI:10.6342/NTU201901953
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在臺灣資產管理市場升溫及多元化發展下,近年來基金配息蔚為風潮。而配息是否真為投資人申購基金的決定性因素,投資人是否會滿足於配息收入進而影響其申購、贖回基金之投資行為,便成為值得進一步探討的問題。
本研究之目的為瞭解基金配息與否及配息率高低對投資人申購與買回基金之投資行為的影響,經實證研究得出下列結論:針對配息與否對基金流量之影響,研究結果顯示基金配息級別的好績效較吸引資金流入,而基金配息級別的負績效較不影響資金流入;而配息與否對資金流出為顯著負向影響,顯示投資人較不願買回配息級別。此外,針對配息率對基金流量之影響,研究結果則顯示12個月累積配息率對基金配息級別之資金流入為顯著正向影響,但配息率高低對基金配息級別資金流出雖亦為正向影響,但相對較不顯著,而配息基金的好績效合併高配息率會降低投資人買回額,配息基金若績效不佳但配息率高,則亦將減緩資金流出。
本研究亦發現各資料年度平均配息率前10%名之投信公司發行之基金配息率愈高,相較其他投信基金,更能吸引投資人申購,顯示品牌效應之存在,會讓配息率對資金流入的影響更大。而經探討投資人組成結構及臺灣所得稅制後,得出投信公司增發投資境外之基金配息級別,係符合有利於投資人需求及其稅負考量之結論。
This paper explores the influences on investor behavior of income distribution of Taiwan mutual funds. Our empirical results show that for fund distribution share classes and accumulative share classes, the good performance of distribution share classes attracts more inflows than that of accumulative share classes, and investors are more unwilling to sell distribution share classes. Furthermore, the 12-month accumulative distribution rate of income has positive impacts on both inflows and outflows, but the impacts on outflows are less significant. Besides, investors will sell less distribution share classes with good performance and high distribution rate; the outflows of distribution share classes with high distribution rate decrease though they have bad performance.
This paper also investigates the brand effect of high distribution rate of income. The results show that the impacts of distribution rate on inflows are stronger for those funds managed by the management companies with the highest average distribution rate. In addition, we discuss the investor structure and fund-associated tax laws in Taiwan. We find the investment management companies launch more fund distribution share classes that mainly invest abroad, which fit the needs of investors and their tax concerns.
口試委員會審定書 i
摘要 ii
Abstract iii
圖目錄 iv
表目錄 v
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 4
第三節 研究架構 6
第二章 文獻回顧 8
第一節 基金流量與以往績效之關係 8
第二節 基金流量與未來績效之關係 9
第三節 基金流量及配息對經理人行為之影響 10
第三章 樣本與研究方法 11
第一節 研究樣本及資料來源 11
第二節 變數定義 12
第四章 研究結果分析 16
第一節 配息與否對基金流量之影響 16
第二節 配息率高低對基金流量之影響 28
第五章 延伸討論 37
第一節 品牌效應 37
第二節 相關稅制探討 38
第六章 結論 41
參考文獻 45
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Cashman, George, Nardari, Federico, Deli, Daniel, and Villupuram, Sriram. “Investor Behavior in the Mutual Fund Industry: Evidence from Gross Flows.” Journal of Economics and Finance 38, no. 4 (2014): 541–567.
Chen, Qi, Goldstein, Itay, and Jiang, Wei. “Payoff Complementarities and Financial Fragility: Evidence from Mutual Fund Outflows.” Journal of Financial Economics 97, no. 2 (2010): 239–262.
Edelen, Roger M. “Investor Flows and the Assessed Performance of Open-End Mutual Funds.” Journal of Financial Economics 53, no. 3 (1999): 439–466.
Goetzmann, William, and Peles, Nadav. “Cognitive Dissonance and Mutual Fund Investors.” The Journal of Financial Research 20, no. 2 (1997): 145–158.
Goldstein, Itay, Jiang, Hao, and Ng, David T. “Investor Flows and Fragility in Corporate Bond Funds.” Journal of Financial Economics 126, no. 3 (2017): 592–613.
Harris, Lawrence E., Hartzmark, Samuel M., and Solomon, David H. “Juicing the Dividend Yield: Mutual Funds and the Demand for Dividends.” Journal of Financial Economics 116, no. 3 (2015): 433–451.
Huang, Jennifer, Wei, Kelsey D, and Yan, Hong. “Participation Costs and the Sensitivity of Fund Flows to Past Performance.” The journal of finance 62, no. 3 (2007): 1273–1311.
Johnson, WT. “Who monitors the mutual fund manager, new or old shareholders?” working paper, University of Oregon (2007)
Ko, Wang, Paek, and Ha. “The flow-performance relationship of Chinese equity mutual funds net flows, inflows, and outflows”, Asia‐Pacific Journal of Financial Studies 43, no.2 (2014): 273-296.
Lynch, Anthony W, and Musto, David K. “How Investors Interpret Past Fund Returns.” The journal of finance 58, no. 5 (2003): 2033–2058.
Steve Nenninger, and David Rakowski. “Time-Varying Flow-Performance Sensitivity and Investor Sophistication.” Journal of Asset Management 15, no. 5 (2014): 333–345.
Rakowski, David. “Fund Flow Volatility and Performance.” Journal of financial and quantitative analysis 45, no. 1 (2010): 223–237
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