共同基金退場方式與基金流量關係之研究

Mutual Fund Mergers and Their Effects on Fund Flows

王南喻(Nan-Yu Wang) ； 黃志仁(Chih-Jen Huang) ； 黃憲彰(Shian-Chang Huang)

《智慧科技與應用統計學報》 11卷2期 (2013/12) Pp. 11-27

摘要

文獻上考量共同基金退場方式，鮮少以剖析對基金流量影響之研究。本文考量三種不同的退場方式，分別採用事件研究法的架構及多元迴歸分析法來進行實證分析。討論不同退場方式之共同基金，在衡量存續基金合併前後、消滅基金被清算／合併前，其基金累積超額流量衝擊與影響存續基金之累積超額流量的因素為何。實證結果發現：家族內合併存續基金之基金流量的重要決定因素為過去績效與費用率，合併後6個月異常超額流量與過去績效為正向相關、與費用率為負相關。家族內基金合併前後一年，存續基金之累積異常流量均為負值，但合併後3個月的基金累積超額流量為高點，但隨後開始遞減；對家族間基金合併的存續基金而言，合併前3個月的流量開始由負變正，合併後依然遞增，直至半年後基金累積超額流量開始遞減。

關鍵字

基金清算 ； 基金合併 ； 基金流量 ； 基金績效 ； 多元迴歸分析

並列摘要

Scant studies have been conducted to explore the effects that fund flows have on differences in mutual fund exit strategies. This study explores three types of exit strategies by conducting an empirical study using multiple regression and even study method. We address what the factors are that affect fund cumulative abnormal flows before and after fund liquidations or mergers. The empirical results showed that (1) the important factors of surviving funds in within-family mergers are past performances and expense rate. In addition, fund cumulative six months abnormal flows positively relate with past performances after fund mergers, but negative with expense rate. (2) The cumulative abnormal flows of surviving funds are negative before and after one year of fund within-family mergers, but it is apex in three months following within -family mergers and decrease after reaching the peak. (3) For surviving funds in cross-family mergers, the fund flows are from negative to positive before the three months and fund cumulative abnormal flows decrease after the six months.

並列關鍵字

Fund liquidation/merger ； Fund flow ； Fund performance ； Multiple regression