基金持股特性、總體經濟與週轉率之關係-以台灣股票型基金為例

經理人可透過不同的持股機制去改變風險與報酬，當基金週轉率越高時，就是基金經理人越常換股，反之，當基金週轉率越低時，就是基金經理人的投資策略偏向保守將股票中長期持有。本研究以2002-2018年台灣之股票型基金為研究樣本，探討基金持股特性(基金持股本益比、基金持股淨值市價比、基金持股現金股利率、基金持股規模)、總體經濟變數(國內生產總額(GDP)、消費者物價指數(CPI)及貨幣供給額年增率(M2))、基金特性(基金規模、基金年數、基金費用率)與基金週轉率之關係。我們發現開放式中概股有最大的週轉率，而開放式價值型基金有最小的週轉率。此外，價值型基金之持股相對有較低的本益比，較高之淨值市價比，平均現金股利率亦是價值型基金最高，其次為中概股基金，至於基金持股規模，我們發現開放式一般型基金之規模最大。當經理人持有之股票本益比過大或過小都會增加基金的週轉率；而基金之平均持股淨值市價比愈大，週轉率也愈大；基金持股之平均現金股利率愈大，週轉率會愈來愈小，但是持股現金股利率為最大之二群時，我們發現轉換率又提高了；基金持股規模愈大，週轉率呈遞減之趨勢。迴歸結果發現基金之平均持股本益比愈大，週轉率也愈大；而淨值市價比則與週轉率呈不顯著相關，基金持股之平均現金股利率愈大，週轉率也愈小，而基金持持股規模與週轉率呈負向之關係，顯示基金投組之持股規模比較大時，基金持股不容易轉換。至於總體經濟與週轉率之關係，我們發現國內生產總額(GDP)與週轉率呈正向顯著之關係，顯示景氣好時，基金經理人會常轉換其持股，以賺取更高的報酬。

關鍵字

週轉率；持股本益比；持股淨值市價比；持股現金股利；持股規模

並列摘要

Managers can change the risk and return through different holding mechanisms, when the fund turnover rate is higher, the fund managers change their shares more frequently. Conversely, when the fund turnover rate is lower, the fund managers' investment strategies tend to conservatively hold stocks in the medium and long term. This study uses the stock funds of Taiwan from 2002 to 2018 as the research sample, and discusses the relationship among characteristics of fund holdings ( price-to-earnings ratio, net worth to market value ratio, cash dividends rate and the scale of holdings), economic variables (gross domestic product (GDP), consumer price index (CPI) and money supply annual growth rate (M2)), fund characteristics (fund size, fund years, fund expense rate) and fund turnover rate. We found that Chinese stocks funds have the largest turnover rate, while open-end value funds have the smallest turnover rate. In addition, the holdings of value funds have a relatively low price-to-earnings ratio, a high net worth market price ratio, and the average cash stock rate is also the highest for value funds, followed by medium-cap stock funds. As for the size of fund holdings, we found Open-end general funds have the largest scale. When the average price-to-earnings ratio of funds is too large or too small, it will increase the fund's turnover rate. The larger the net worth to market value ratio of the fund, the greater the turnover rate; the larger the average cash stock interest rate held by the fund, the smaller the turnover rate, but when the cash holding interest rate is the largest two groups, we found that the turnover rate has increased again; the larger the fund's shareholding, the lower the turnover rate. The regression results show that the greater the price-to-earnings ratio of the fund, the greater the turnover rate; while the net-to-market ratio is insignificantly related to the turnover rate. The larger the average cash stock interest rate held by the fund, the smaller the turnover rate. The negative relationship between the scale of the fund ’s holdings and the turnover rate shows that when the fund ’s holdings are relatively large, the fund ’s holdings are not easy to convert. As for the relationship between the overall economy and the turnover rate, we find that there is a positive and significant relationship between gross domestic product (GDP) and turnover rate, indicating that when the economy is good, fund managers will often switch their holdings to earn higher compensation.