由選股與擇時能力探討基金為何被購併及清算

From the View of Manager's Stock Selection and Market Timing Abilities to Explore why the Funds were Acquired and Liquidated

張秋香(Chiu-Hsiang Chang)

指導教授 ： 林嘉慧

台南應用科技大學/管理學院/國際企業經營系碩士班/碩士(2023年)

摘要

本研究以2003年至2022年台灣股票型基金為樣本，包括被清算之基金34支，被購併之基金92支，探討基金被合併及清算前，在選股與擇時能力上相較於家族其他股票型基金是否有差異，並探討當另外一支基金被併入後，規模增加，主併基金的選股與擇時能力與合併前是否有差異。最後則由二元邏吉式迴歸探討選股能力與擇時能力是否會影響基金被清算或是購併。
研究結果發現被清算基金在被清算前7-12個月，相對於被併、主併及家族中其他基金，有最差的選股能力，且相對家族平均的選股能力也較差。被併基金其被併前7-12個月之選股能力相較於被清算基金要好，但比主併基金要差，其選股與擇時能力相較於家族其他基金都較差。然而在被購併或清算前6個月，我們發現其選股能力已改善，此顯示該基金可能消息已釋出，反而提升選股能力。主併基金在併購基金前7-12個月，其選股與擇時能力相較其他群皆是最優，這也是家族會選該基金做為主併基金的原因。然而當消息釋出其可能接收表現較不佳基金時，我們發現購併前6個月，該主併基金其選股與擇時能力都惡化。
由二元羅吉斯迴歸分析，我們發現基金被併前7-12個月選股能力愈差，基金相對家族擇時能力愈差，其成為被併基金的機率愈高。在被清算部分，選股能力、相對家族選股能力與被清算基金發生之機率呈負向之關係，即選股能力愈差的基金，在7-12個月後成為被清算基金的機率較高。主併基金在成為主併者前7-12月，選股、擇時能力及相對家族選股能力確實較佳，因此其會獲選成為主併基金。規模愈小的基金成為被合併及清算基金的機率也會增加。

關鍵字

基金購併 ； 基金清算 ； 選股能力與擇時能力

並列摘要

This study takes Taiwan equity funds from 2003 to 2022 as a sample, including 34 liquidated funds and 92 acquired funds, to explore whether there are differences in stock selection and timing ability compared with other equity funds in the family before the merger and liquidation of funds. Next, we explore whether the stock selection and timing capabilities of the acquiring fund are different from those before the merger when the size increases after the merger. Finally, binary logical regression explores whether manager’s stock selection ability and market timing ability will affect the liquidation or acquisition of funds.
The results of the study show that the liquidated fund has the worst stock selection ability compared with other funds in the acquired funds, acquiring funds and other family funds 7-12 months before liquidation, and the stock selection ability relative to the average family is also poor. The stock selection ability of the acquired fund in the first 7-12 months is better than that of the liquidated fund, but worse than that of the acquiring fund, and its stock selection and market timing ability are worse than that of other funds in the family. However, 6 months before the merger or liquidation, we found that its stock selection ability had improved, which indicates that the fund may have been released with news, but instead improved its stock selection ability. In the 7-12 months before the acquiring funds, their stock selection and market timing ability are the best compared with other groups, which is why the family chooses these funds as the acquiring funds. However, when the news was released that it might accept a fund with a lower performing performance, we found that the stock selection and timing ability of the acquiring fund deteriorated in the 6 months before the merger.
From the binary logical regression analysis, we find that the worse the stock selection ability of the fund 6-12 months before it is merged, the worse the timing ability of the fund relative to the family, and the higher the probability of becoming an acquired fund. In the liquidated part, the stock selection ability, relative family stock selection ability and the probability of liquidated fund are negatively correlated, that is, the fund with worse stock selection ability has a higher probability of becoming a liquidated fund after 6-12 months. From 7 to 12 months before becoming an acquiring fund, the stock selection, market timing ability and relative family stock selection ability of the acquiring funds are indeed better, so they will be selected as the acquiring funds. The smaller the fund, the more likely it is to become a merged or liquidated fund.

並列關鍵字

Acquired Funds ； Liquidated Funds ； Manager's Stock Selection Abilities ； Market Timing Abilities

參考文獻

一、中文部分

王育蒼(2011)。避險基金經理人選股與擇時能力之研究。長庚大學企業管理研究所碩士論文，桃園市。

王柔雯(2016)。家族特性、擇時能力與基金經理人替換之關係。台南應用科技大學國企系研究所碩士論文，台南市。

王麗梅、林昆諒、黃怡儒(2014)。基金經理人選股擇時能力之研究。致理學報，34，807-844。

李志凡(2010)。共同基金經理人擇時能力與績效持續性之探討—以國內開放型股票基金為例。銘傳大學管理研究所碩士論文，台北市。