共同基金經理人替換與得獎持續性分析-以國內投信發行基金為例

A Study on the Fund Manager Change and the Persistence of Awarded Funds – Using the Domestic Mutual Funds as an Example.

王耀毅

指導教授 ： 鍾惠民 ； 謝文良

國立交通大學/管理學院/管理學院財務金融學程/碩士(2011年)

https://doi.org/10.6842/NCTU.2011.00412

摘要

國內共同基金業在投信整併與外商不斷進入下早已成為完全競爭市場，而透過國內外具公信力的評鑑機構及財經媒體針對表現穩定、優異的基金所頒發的各類獎項，讓獲獎的基金受到更多關注與投資人青睞，惟本研究統計過去得獎基金經理人異動頻率明顯高於同時期市場平均值，引發本文欲探討基金經理人的替換、生涯與現職年資（年資與任期）、基金成立年數與投信公司規模是否會影響得獎持續性的動機，並在控制基金規模、類型與Treynor、Information Ratio指標後，進一步探討迴歸模型在得獎後不同年度得獎持續性之結果。
本文將針對國內兩大基金獎（金鑽獎、台灣基金獎）與三大主要基金評比機構（Bloomberg、Lipper、Morningstar）過去多年來曾頒發獲獎的全部境內基金，以涵蓋較多的樣本及較長的檢驗期間，並透過一般統計分析（251筆得獎資料）與Panel Probit Model預測模型的實證（143筆得獎資料）結果，期望找出得獎持續性的影響因子，在一般社會大眾透過這些得獎訊息判斷投資標的時，能有更客觀與彈性的依據。
根據本研究之實證結果發現：
1.基金經理人的現職年資與基金是否能連續兩年得獎有顯著的正向相關；
2.基金是否能連續三年得獎，會因基金經理人的更換有負向影響，而基金成立年數則會有正向影響；
3.基金是否能連續四年皆得獎，會受到基金經理人更換的負面影響、經理人的生涯年資及基金成立年數的正向影響。

關鍵字

共同基金 ； 得獎持續性 ； 基金經理人替換 ； 生涯年資 ； 現職年資

並列摘要

Taiwan’s asset management companies have been facing fierce competition after more merges take place and the increasing number of new comers. In order to stay competitive, companies are trying to earn more attention and recognitions from the credit rating agencies, media and the public by becoming award winners. This study is trying to investigate the relation between the frequency of receiving awards and the given background information about mutual funds including the fund manager change, the seniority and tenure of fund managers, fund ages, and total AUM (Asset Under Management).
The study covers 251 domestic mutual funds as samples that were selected from the lists of Gold Diamond Awards held by Taipei Foundation of Finance, Taiwan Fund Awards, and award lists of the international well known mutual fund ranking institutes including Bloomberg, Lipper and Morningstar. Among these samples, the study uses statistical analysis this 251 samples and deploys Panel Probit Model to develop the regression model based on the 143 samples of it. Now the study identifies the relations between certain factors and frequency of award receiving. When investors are referred to lists of award winners, they can understand what factors, apart from mutual fund performance itself, might also affect the possibility of earning mutual fund awards consecutively.

1.The tenure of mutual fund managers and mutual fund awards shows positive significant correlation in the case of the winners in the second consecutive year.
2.Fund manager change as well as fund ages will affect the possibility of mutual funds’ receiving awards in the third consecutive year.
3.Fund manager change, seniority of mutual fund managers, and fund ages are three factors that might influence the likelihood of mutual funds’ earning awards in the fourth consecutive year.

並列關鍵字

Mutual Fund ； Awards Persistence ； Fund Manager Change ； Seniority ； Tenure

參考文獻

4.李唯甄，「臺灣共同基金經理人替換之績效與風格分析」，臺灣大學，國際企業所碩士論文，2004。

5.邱沁宜，「台灣境外基金、海外基金與中國QDII基金之發展、評比與展望」，臺灣大學，財務金融所碩士論文，2009。

9.邱顯比、林清珮，「共同基金分類與基金績效持續性之研究」，Journal of Financial Studies，第七卷第一期，63～89頁，1999年8月。

18.曾婷郁，「得獎基金績效持續性分析」，臺灣大學，國際企業所碩士論文，2009。

19.黃聖棠、溫英幹、鄢欽瑞，「共同基金之績效評比－台灣地區之實證研究(1995-2002)」，華岡經濟論叢，第五卷第二期，31-67頁，2006。