上市開放式基金之作價行為實證分析

An Empirical Analysis of Portfolio Pumping by Listed Open-Ended Funds

莊家偉(Jia-Wei Zhuang)

指導教授 ： 洪碧霞

國立暨南國際大學/管理學院/財務金融學系/碩士(2021年)

https://doi.org/10.6837/ncnu202100316

摘要

本研究使用臺灣股票市場之上市開放式基金資料，首先觀察基金報酬反轉程度以檢測上市開放式基金投資組合是否具有作價的現象；其次，探討基金作價的決定因素，包括基金經理人對股票的擇股擇時能力及基金特性。最後本文討論基金作價行為與未來基金績效及流量之關係。本研究發現，相較於季末效果，基金經理人更偏好於年末進行作價行為，其中擇時能力較佳的基金經理人比較不會進行作價行為。高贏家股票持有之基金報酬反轉程度較大，顯示經理人較傾向進行作價行為。基金流量與報酬反轉有著負向顯著性，報酬反轉越大基金流量就越低，代表基金做過作價行為之後流量會降低，意味著市場投資人具有辨識基金表現之能力。

關鍵字

作價行情 ； 報酬反轉 ； 擇股能力 ； 擇時能力

並列摘要

This research uses the information of listed open-end funds in the Taiwan stock market to first observe the degree of fund return reversal to detect whether the listed open-end fund portfolio has a portfolio pumping; secondly, it discusses the determinants of portfolio pumping, including fund manager’s ability to select stocks and timing and fund characteristics. Finally, this article discusses the relationship between portfolio pumping behavior and future fund performance and fund flow. This study found that, compared to the end-of-season effects, fund managers prefer to portfolio pumping at the end of the year, and fund managers with better timing capabilities are less likely to conduct portfolio pumping. Fund returns held by high-winner stocks have a greater degree of reversal, indicating that managers are more inclined to conduct portfolio pumping. Fund flow and return reversal have negative significance. The larger the return, the lower the fund flow. This means that the flow will decrease after the fund has made a portfolio pumping, which means that market investors have the ability to identify fund performance.

並列關鍵字

portfolio pumping ； return reversal ； picking ； timing

參考文獻

參考文獻

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