公司治理對共同基金績效與風險之影響－以門檻迴歸模型分析

A Threshold Analysis of the Mutual Fund Performance and the Corporate Governance of its Invested Portfolios

吳倩銀(Chien-Yin Wu)

指導教授 ： 趙莊敏

國立臺北科技大學/管理學院/商業自動化與管理研究所/碩士(2008年)

https://doi.org/10.6841/NTUT.2008.00512

摘要

公司治理良好的公司，其財務績效較好，公司股價也較好，投資人亦願意付出較高的股價貼水去投資此種公司治理好的公司股票。由於金融市場的商品種類及數量繁多，許多投資大眾會透過共同基金交由專業的機構投資人操作，加上機構投資人在我國買賣股票佔市場總成交值之比重逐年提高，在市場中具有相當的示範作用及領先效果。本文研究台灣投信中投資國內股票型共同基金，其投資組合中公司治理好的投資標的之家數累積月數對於共同基金之績效與風險的影響，以門檻迴歸模型分析，並使用公司治理好的投資標的之持股比例來當做門檻變數進行分組。本研究發現，共同基金中公司治理好的投資標的之家數累積月數對於共同基金風險是呈現負向影響，表示對於共同基金之公司治理好的投資標的若能愈為長期持有，共同基金風險的降低會愈為明顯；又共同基金中公司治理好的投資標的之家數累積月數對於共同基金績效是呈現正向影響，表示對於共同基金之公司治理好的投資標的若能愈為長期持有，共同基金績效的提升會愈為明顯。

關鍵字

共同基金 ； 公司治理 ； 門檻迴歸 ； 績效 ； 風險

並列摘要

Prior studies document that companies that offered higher disclosure quality, greater transparency, higher outside ownership, and more focused organization usually experienced better stock price performance. The data used in this study is the 126 open-end equity mutual funds in Taiwan observed from January, 2005 to December, 2007. Using Hansen’s (1999) panel threshold regression model, this study argues that the effect of better corporate governance cumulate number ratio on the mutual fund performance and risk is different in signs or statistical significance when the mutual fund data is grouped based on their better corporate governance holding ratio. We find that better corporate governance cumulate number ratio of mutual fund investment objective has negative effect on mutual fund risk. It means that if mutual fund holds better corporate governance objectives for a long time, its risk will be reduced obviously. In the other hand, better corporate governance cumulate number ratio of mutual fund investment objective has positive effect on mutual fund performance. It means that if mutual fund holds better corporate governance objectives for a long time, its performance will be improved obviously.

並列關鍵字

Mutual Fund ； Corporate Governance ； Threshold Analysis ； Performance ； Risk

參考文獻

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