Investors' Preferences on Taiwan's Mutual Funds-Fund's Market Share vs. Fund Flow

投資人對台灣共同基金之偏好－基金之市場佔有率vs.基金流量

游智賢(Chih-Hsien Yu) ； 呂進瑞(Jin-Rui Lu)

《Pan-Pacific Management Review》 7卷1期 (2004/01) Pp. 45-60

https://doi.org/10.30166/PPMR.200401.0004

摘要

本文旨在探討：相對於基金流量而言，基金之市場佔有率，於呈現投資人對台灣基金偏好程度所扮演之角色。實證結果顯示：如以基金之市場佔有率，衡量投資人對某一基金之相對偏好程度，則未來表現較佳之基金，將較會受到投資人之青睞。然而，如以基金流量為衡量投資人對基金之偏好，則並未發現上述之結果。另外，本文亦發現，基金之市場佔有率指標具預測基金未來表現之作用，但如以基金流量為衡量指標，則不具該作用。此結果隱含台灣之基金市場亦出現如Zheng (1999)對於美國基金投資人所發現之「先見之明」效應(smart money effect)，只是本文所發現的該效應，並非導源於基金之流量，而是由基金之市場佔有率始能看出來。最後，本文亦發現，基金投資人之市場擇時能力，可經由投資人對基金之偏好程度觀察出來。但，此現象僅出現於當吾人以基金之市場佔有率，當作投資人對基金之偏好程度時，而基金之流量並無此現象。

關鍵字

共同基金 ； 基金之市場佔有率 ； 基金流量 ； 先見之明效應

並列摘要

This paper explores the role of fund's market share as opposed to fund flow in representing investors' preferences for Taiwan's mutual funds. Our results show that investors respond positively to fund's performance if fund's market share is used to indicate investors' relative preferences on funds. Furthermore, we evidence that fund's market share is predictive to fund's future performance in that a fund will have better performance if its previous month's market share is relatively higher. However, we do not find such similar pattern for fund flow. Thus, this finding is similar in spirit to the ”smart money effect” found by Zheng (1999), although the investors' ”smart money effect” is indicated by fund's market share, instead of fund flow. Finally, we find that fund investors' market timing ability can be observed by investors' preferences for funds in terms of the fund's market share, but not in terms of fund flow.

並列關鍵字

mutual fund ； fund's market share ； fund flow ； smart money effect

參考文獻

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