臺灣博碩士論文加值系統

由於預算的考量以及多樣化的需求，大部分的投資者會傾向選擇投資共同基金。而對於投資者而言，基金是否存在持續性或是如何選擇績效最佳的基金是首要重點。因此，本文目標在研究共同基金的業績持久性以及基金特徵對基金業績的影響。以2001年1月至2020年12月的137檔台灣一般股票型基金為例，基金特徵選用：周轉率、規模大小（總資產）、淨資產、成本率、年齡以及流動率。實證結果顯示基金的績效具有持續性。當基金投資組合由落後一個月以及落後一年的投資報酬率形成時，表現最好的基金繼續優於表現最差的基金。為了測試敏感性，根據投資組合報酬率的前20%、中60%、後20%以及前30%、中40%、30%來分析基金表現。此外，基金的年齡和成本率與其投報率呈負相關，而資金流量和規模與基金業績呈正相關。證明基金特徵可能影響績效的持續性。

This study aims to examine the performance persistence of mutual funds and the impacts of fund characteristics on fund performance. By using a sample of 137 Taiwan stock mutual funds from January 2001 to December 2020, the empirical result shows that fund performance persists. When portfolios of funds are formed by the lagged one-month return, the best performing funds continue to outperform the worst performing funds. Moreover, fund’s age and cost rate are found to be negatively correlated with its return, while fund flow and size are positively correlated with fund performance. It is suggested that fund characteristics may influence the performance persistence.

ABSTRACT.........................................iii
Acknowledgements.................................v
Content..........................................vi
Content of Table.................................vii
Content of Figure................................viii
1. Introduction.............................1
2. Literature review........................2
3. Data and Research Methodology............3
4. Empirical Results........................7
4.1 Descriptive statistics.....................7
4.2 The persistence of funds’ performance......11
4.3 Fund attributes and performance............21
4.4 Regression results for individual funds....26
5. Conclusion...............................29
Reference........................................33

1.Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52, 57-82.
2.Daniel, Kent D., and Sheridan Titman, 1997, Evidence on the characteristics of cross-sectional variation in common stock returns, Journal of Finance, 52, 1–33.
3.Elton, Edwin J., Martin J. Gruber, and Christopher R. Blake, 1996. The Persistence of Risk-Adjusted Mutual Fund Performance, The Journal of Business, 69(2), 133-157.
4.Elton, Edwin J., Martin J. Gruber, and Christopher R. Blake, 1996, “Survivorship Bias and Mutual Fund Performance”, Review of Financial Studies, 9, 1197-1120
5.Ferreira, M. A., Keswani, A., Miguel, A. F., & Ramos, S. B. (2013). The determinants of mutual fund performance: A cross-country study. Review of Finance, 17, 483-525.
6.Goetzmann, W.N. and Ibbotson, R. (1994) Do Winners Repeat? Patterns in Mutual Fund Behavior, The Journal of Portfolio Management, 20, 9-18
7.Jeffrey R. Stark (2019). Decomposing mutual fund alpha into security selection and security weighting. Journal of Empirical Finance, 52, 76-91.
8.Rania Makni, Olfa Benouda, & Ezzedine Delhoumi (2016). International evidence on Islamic equity fund characteristics and performance persistence. Review of Financial Economics, 31, 75-82.