基金特徵對基金績效的影響-以台灣開放型股票基金實證

The Impact of Fund Characteristic on Mutual Fund Performance-An Empirical Study Based on Open-End Equity Fund in Taiwan

呂依穎(Yi-Ying Lue)

指導教授 ： 洪茂蔚

國立臺灣大學/管理學院/國際企業學研究所/碩士(2018年)

https://doi.org/10.6342/NTU201802145

摘要

本研究以2008年1月至2017年12月，共120個月之國內開放式股票型基金為研究資料，探討基金特徵對於基金績效的影響。研究的基金特徵有基金規模、基金成立年數、直接交易成本、費用及投資標的。基金績效以崔納指標衡量。研究方法使用面板迴歸模型，並將基金分類為兩類，科技類型基金與其他類型基金(含中小型股票型、價值型股票、一般股票型與特殊類股票)進行迴歸分析。研究結果發現規模經濟效應及基金成立年數之特徵在科技類型基金及其他類型基金中都不顯著影響基金績效。直接成本率則與科技類型基金績效呈正相關，與其他類型基金績效呈負相關。費用率是所有特徵裡面影響基金績效最大的特徵，且在兩者類型基金中皆呈負相關。另外，投資標的之迴歸結果顯示，科技類型基金若投資較多國內上市與上櫃股票、國內存託憑證及國內基金，並投資較少國內RP，基金績效較佳；其他類型基金若投資較多國內買斷債券，並投資較少國內基金及國內RP，基金績效較佳。

關鍵字

面板資料 ； 基金特徵 ； 基金績效 ； 開放式科技類股票型基金

並列摘要

In this paper, I use panel unit regression to examine the impact of fund characteristics on fund performance. Using monthly observation panel data of Taiwan open-end equity funds, date January 2008 through December 2017. The fund characteristics of the study include fund size, fund age, direct transaction cost, expense, and investment targets. Fund performance is measured by Treynor ratio. The funds are classified into two categories, technology and the others (including small and medium capital fund, value fund, general equity fund and special equity fund). The empirical results indicate that economies of scale and fund age don’t significant effect fund performance in technology-funds also the other funds. Direct cost positively correlated with technology funds but negatively correlated with the other funds. Expense is the characteristic that effect the performance most, and is negatively correlated in both type of funds. In addition, the results of the investment targets show that technology fund should invest more domestic listed stocks, Taiwan Depositary Receipt, domestic fund and invest less domestic RP. The other funds should invest more buy-out bonds and less domestic funds and RP.

並列關鍵字

panel data ； fund characteristic ； fund performance ； open-end technology equity fund

參考文獻

Breusch, T. S. (1980). The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics. Review of Economic Studies, 47(1), 239-253.

Campbell, J. Y. (2001). Have Individual Stocks Become More Volatile- An Empirical Exploration of Idiosyncratic Risk. The Journal of Finance, 56, 1-43.

Chen, J. H. (2004). Does Fund Size Erode Mutual Fund Performance- The Role of Liquidity and Organization. American Economic Review, 94(5), 1276-1302.

Choi, I. (2001). Unit Root Tests for Panel Data. Journal of International Money and Finance, 20(2), 249-272.

Ciccotello, C. R. (2001). Equity Fund Size and Growth: Implications for Performance and Selection. Financial Services Review, 5, 1-12.