恐慌情緒下的基金報酬決定因子- 以台灣境內股票型基金為例

The Determinants of Fund Performance in Fear Sentiment – Evidence from Taiwan Onshore Equity Fund

謝順博(Sie Shun-Bo)

指導教授 ： 周冠男

國立政治大學/商學院/財務管理學系/碩士(2020年)

https://doi.org/10.6814/NCCU202000625

摘要

我們使用從2000年1月至2020年3月的最新數據，來研究在恐慌情緒下，台灣市場境內股票型基金報酬的決定因子。我們發現，共同基金經理人在市場恐慌的情況下戰勝了市場，尤其是對投資標的於國內的基金經理人而言。但是，隨著市場情緒的上升，基金的報酬表現也隨之下降。此外，我們運用一元固定效果模型發現對基金報酬具顯著負面影響的因子有基金成立年期、基金周轉率、基金家族規模和恐慌指數Vix；而對基金報酬具顯著正面影響的因子有基金規模、資金流量和銷售費用。隨著人們的情緒變得越來越恐慌，我們發現基金報酬與周轉率以及基金報酬與Vix之間的關係從負變為正。這表明基金經理更加技巧熟練，並且表現出了保護投資組合的能力。隨著市場情緒變得更加恐慌，他們將利用偏誤並採取行動因應，最後，他們贏過了市場。

關鍵字

基金績效 ； 恐慌情緒

並列摘要

We use the latest data period from 2000.01 to 2020.03 to study the determinants of onshore equity funds in the Taiwan market in fear sentiment. We find that mutual fund managers beat the market while the market is fearful, especially for domestic fund managers. However, the fund performance decreases as sentiment increases. Moreover, we use one-way fixed effect model and we find significantly negative influence on fund performance with fund age, turnover rate, fund family size, and Vix, whereas we display significantly positive influence on the fund performance with fund size, fund flow, and sales fee. As the sentiment becomes more fearful, we find that the relationship between fund performance with turnover rate and Vix turns from negative to positive. It indicates that fund managers are more skillful and they exhibit their ability to protect the portfolio. They will take action and take advantage of the bias as the market sentiment goes deeper fear. In the end, they outperform the market.

並列關鍵字

Fund Performance ； Fear Sentiment

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