我們檢驗了在美國共同基金市場從1993年到2004年,由60大基金家族所發行的2510支股票型新基金。首先,我們發現,大體而言新基金的長期績效勝過短期績效,但皆輸給S&P500指數大盤報酬。其次,實證結果證明排擠效果存在於同一基金家族中,意即新基金流量改變與其他同類型舊基金績效好壞具有負相關。此外我們討論基金家族常運用經理人轉移策略來扶植新基金,結果發現若經理人最近的管理經驗是與新基金不同類別的基金,其可能會產生正的報酬。但不論經理人來源為何都不能帶入新資金流入。最後,我們藉由新基金成立的因素來檢驗新基金短期與長期績效,並且對投資人與對基金家族提出一些建議。冀望藉由本文深入的分析能夠降低投資人與基金家族間資訊不對稱問題。
We examine 2510 equity new funds opened by top 60 fund families over the period 1993-2004 in the American mutual fund market. First, we find that overall report the long-term performance is better than short-term, but the performances of all groups were worse than S&P500 index return. Second, empirical result proves the crowding-out effect exists in the same fund family, that means it exists negative relationship between the flow change of new fund and the performance of other similar objective seasoned funds. In addition, we discuss the prevalence of cross-fund subsidization strategy which is fund families usually manipulate fund manager switch strategy to support new fund. Our empirical evidence shows that if the last experience of new fund manager comes from other irrelevant objective funds, its return might be positive. But no matter how new fund manager source, they don’t bring new money into family. Finally, we use the determinants of a fund opening to examine the short-term and long-term performance of new funds, and that we raise some suggestions for general investors and fund family. Furthermore, we hope to reduce the asymmetric information between general investors and fund family by our brief analysis.