美國發生次級房貸後,於在2008年蔓延至全世界,演變為全球之金融海嘯,而這波金融海嘯影響了世界經濟的成長,在全球證券市場上更是重擊,使得世界各國的投資人損失不少,並且得到了慘痛的教訓。近年來共同基金已經成為投資人不可或缺的投資工具,然而面對每一次系統風險所造成的資產損失,投資人該如何檢視手中的基金,並將損失降至最低,是每個人所關切之話題。 本研究主要探討在金融風暴前後不同績效評估指標與不同基金類型下,影響股票型基金績效的特性因素之差異。研究期間為2004年4月至2009年12月止,共選取144支國內股票型基金樣本為研究對象,利用Panel Data模型,同時採用時間序列和横斷面之縱橫資料來進行實證分析。 經實證結果發現:金融風暴前與金融風暴期間二個時期中,影響因素不全相同,在基金淨值報酬率(未經風險調整)中相同且顯著的有:週轉率、費用比率、市場報酬率;不同且顯著的有系統風險、淨值波動程度。Jensen Index(經風險調整)中相同前顯著的有:系統風險、淨值波動程度;不同且顯著的有:週轉率、費用比率、淨值波動程度。 顯示金融風暴前後之情況下影響基金績效的因素並非完全相同, 但是具有某種程度的一致性。
This study discusses about the characteristic factors that affect equity fund’s performance by different performance assessing measures and different fund types during the period of Financial Crisis. A total of 144 equity fund samples have been selected and studied with a monthly study period from April 2002 to December 2007.We use Panel Data as our model and also adopt time sequence and intersectional data to conduct an empirical analysis. With the studied showed: Financial turmoil before and during the two periods of financial crisis, the factors are not all the same. However, Net rate of return (before risk-adjustment) in the same and significant parts contain: turnover ratio, expense ratio, market return ; the different and significant parts contain: system risk, net worth volatility. Jensen Index (after risk-adjustment) in the same and significant parts contain: system risk, net worth volatility; the different and significant parts contain: turnover ratio, expense ratio, net worth volatility. The evidences above show that in the different conditions of pre and post financial crisis the factors affecting fund performance are not completely the same, but they have some kinds of the unity within certain level.