國內共同基金績效評估及其影響因素之實證研究

An Empirical Study on the Performance and Influential Factors of Mutual Found in Taiwan

李竹芬(Chu-Fen Li) ； 范遠華(Yuan-Hua Fan)

《人文及管理學報》 4期 (2007/11) Pp. 235-257

https://doi.org/10.6177/lam.2007.04.15

摘要

共同基金投資人在制定投資決策時，經常參考的傳統績效評估指標，在先天上存有限制。為了解決此問題，並且使投資人在基金之選擇上，擁有較大之彈性及較豐富之參考資訊，本研究利用不同理論架構的資料包絡分析（DEA）法，以衡量基金之投資績效，並進一步應、用Tobit迴歸分析及統計檢定方法，以探討基金績效之影響因素。基於1997至2003年國內股票型共同基金之樣本，本研究的主要研究結果如下：一、DEA與傳統指標在基金績效之排序結果，其有顯著之相關性。二、無足夠的統計證據支持基金的績效表現具有持續性，然DEA篩選出的有效率基金，其報酬具有持續打敗大盤報酬之現象。三、不同的投信公司旗下之基金績效表現，存有明顯的差異性。四、基金經理人更換次數愈頻繁者，基金之績效表現愈差。五、基金的成立時間與其績效表現之關係並不顯著。

關鍵字

共同基金 ； 績效持續性 ； 績效評估 ； 資料包絡分析法

並列摘要

Traditional indices referred by mutual fund investors have some limitations to describe performance. To avoid these problems and provide one more flexible and referable metric in selecting funds for investors, our study employs DEA approach to evaluate performance of mutual funds and further uses Tobit regression and statistical tests to analyze the various factors affecting the funds performance. Based on a sample of domestic stock mutual funds in 1997-2003, the major results are as follows. Firstly, an obvious correlation is found between the results of the performance rankings between DEA and the traditional indices. Secondly, the evidence of persistence in fund performance is limited, but the efficient funds identified by DE A continue to outperform stock market indices. Thirdly, the fund performance amongst varied investment trust companies is significantly different. Fourthly, the more frequent a fund manager is replaced, the poorer a mutual fund performs. Finally, there is no statistically significant correlation between the establishment years and performance of mutual funds.

並列關鍵字

Mutual fund ； Performance Persistence ； Performance Evaluation ； Data Envelopment Analysis (DEA)