台灣共同基金存活分析之研究

The Survival Analysis of Mutual Fund in Taiwan

沈寶翔(Pao-Hsiang Shen)

指導教授 ： 余士迪

國立清華大學/科技管理學院/計量財務金融系/碩士(2009年)

摘要

摘要

近年來在美國次級房貸風暴衝擊下，國內的共同基金在過去一年發生規模大減的窘況，紛紛面臨被清算或被合併的命運。而國內外關於共同基金的文獻大多著重於對其績效方面或績效持續性的研究，卻鮮少針對基金存活的風險及原因作進一步的探究討論。故本研究試圖找出影響基金存活的重要因素，利用持續時間模型並考慮會隨時間改變數值的變數來進行存活分析。在變數的選取方面，除了使用鍾坤霖 (2008) 有提及的績效特徵變數之外，本文多加入了總體經濟變數。而在模型使用上，由於等比例危險模型便於處理時間相依變數，故本文參考Cameron and Hall (2003) 的文章，除了採用無母數模型描述台灣基金樣本之存活情形之外，將以Cox (1984) 提出的等比例危危險模型實證基礎，分析台灣的共同基金的危險函數。

實證結果發現，淨值報酬率、Treynor指標及基金規模如果越高，基金的危險率皆越低。而銷售費用率越高，基金被清算的危險率越高，但是管理費用率越高，反而使基金被合併的危險率越低。虛擬變數方面，成立超過一年以上的基金遭遇清算的風險越高，但成立未滿一年的基金反而是被合併的風險越高。由總體變數的估計結果發現，當經濟成長率越高時，基金的存續期間越短；當通貨膨脹率越高時，基金的存續期間越長。本文認為為當通貨膨脹率越高，投資人反而傾向將錢投資在基金這種風險性相對較低的投資工具上，導致投資人對基金的需求增加而降低其危險率，反之當經濟成長率越高，投資人的所得水準也普遍較高，可能反而追求風險性高的投資工具如股票，導致對基金需降低，被清算及合併的機率也增加了。

Abstract

Due to the U.S. subprime crisis in recent years, the global stock markets have faced severe financial problems. In effect, the mutual funds issued by Taiwan-based investment trusts have greatly downsized for the past year and even been liquidated or merged. Previous studies on mutual funds have mostly concentrated on performance and performance persistence of funds, but rarely on reasons for and risk of closure of funds. Thus this study attempts to find out several important factors on the failure of mutual funds. Using duration models and considering time-varying covariates, the project seeks to analyze the process determining mutual funds’ conditional probability of closure. Besides fund characteristic variables which Chung (2008) mentioned, this study adds macroeconomic variables to analyze Taiwan’s mutual funds hazard rate. Moreover, this thesis applies Cox’s proportional hazard model to deal with the time-varying covariates as well as nonparametric model that Cameron and Hall (2003) mentioned.

The result shows that termination probabilities are negatively related to cumulative returns, Treynor Index, and fund size. In addition, higher sales expense ratio would represent higher liquidated hazard rate, whereas higher management expense ratio would entail lower merged hazard rate. Moreover, for the funds established more than one year, their conditional probability of liquidation will be higher, but for the funds established less than one year, their conditional probability of amalgamation will be higher. Finally, when economic growth rate is higher, durations of the funds will be shorter, whereas when inflation rate is higher, durations of the funds will be longer. To conclude, the thesis submits that when inflation rate gets higher, investors will tend to put money on mutual funds, which have a relatively lower hazard rate. As a result, due to the growing need of funds, the hazard rate is lowered. On the contrary, when economic growth rate and the income level of investors are higher, people are inclined to make high hazard investments, such as stocks. As a result, there is less demand on mutual funds, which will increase the hazard rate of liquidation and merger.

關鍵字

存活分析 ； 等比例危險模型 ； 時間相依變數 ； 總體經濟 ； 生命表 ； 共同基金

參考文獻

邱顯比、林清珮，(1999)，「共同基金分類與基金績效持續性之研

郭維裕、李愷莉，(2006)，「台灣共同基金短期績效持續性之研究-

鍾坤霖，(2008)，「台灣共同基金清算與合併之研究」，國立嘉義

Cameron, A. C., and A. D. Hall (2003),"A Survival Analysis

of Australian Equity Mutual Funds," Australian Journal