共同基金之外溢與排擠效果

The Spillover and Crowding-out Effects of Mutuat Funds

游智賢(Chih-Hsien Yu) ； 曾婉禎(Wang-Tsung Tzeng)

《財務金融學刊》 11卷2期 (2003/08) Pp. 99-123

https://doi.org/10.6545/JFS.2003.11(2).4

摘要

本文之目的在於探討共同基金流量是否會受到同家族之其他基金的績效、媒體曝光程度以及基金流量之影響，亦即檢視同家族之基金是否存在績效、媒體曝光程度或基金流量之外溢或排擠效果。首先，實證結果發現，基金績效於基金流量具有排擠效果，亦即基金之流量會因為其同家族之其他基金績效表現不好而增加，或因同家族之其他基金績效表現優異而減少。此外，對於績效表現極端不好的基金，其所產生的排擠效果較為立即，且該效果較具持續性，其次，在媒體曝光程度方面，基金之流量會因其同家族之其他基金之媒體曝光頻率愈高且傳達之訊息愈佳而增加，因此具外溢效果。但此效果並非立即出現，而是經過一、兩個月之後才產生影響，此隱含投資人對於媒體所傳達的訊息並非立即接受，而會經過一段時間之確認。最後，基金之流量並不具任何外溢或排擠效果。此結果隱含基金投資人其所看重的應為基金之績效表現，而非基金流量的多寡，故投資人可能不會受到基金流量之多寡的影響。

關鍵字

共同基金 ； 外溢效果 ； 排擠效果 ； 基金績效 ； 媒體曝光率 ； 基金流量

並列摘要

The purpose of this study is to explore the ＂spillover＂ and ＂crowding-out＂ effects among fund in the same mutual fund family. These include effects from fund's performance, fund's media exposure. and fund flows. Our empirical evidence shows that there exists performance crowding-out effect among funds in the same fund family. That is, a fund's inflow would decrease due to the good performance of other funds in the family. Besides, the effect would be more immediate and persistent for funds performing extremely well. Furthermore, fund's media exposure would spill over onto other fund's flows in the family. That is, a fund's media exposure would positively affect inflows of other family-member-funds. But this effect is not immediate. Rather, there is no effect until two months later. This implies that investors need time to verify the news exposed by the media. Finally, we do not find ,any spillover or crowding-out effects for fund flows. This may imply that what fund investors focus is fund's performance, not fund flows. Thus, changes in fund flows might not interest investors as much as changes in fund's performance.

並列關鍵字

mutual fund ； spillover effect ； crowding-out effect ； performance ； media exposure ； fund flows

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