基金流量影響因素之分析－動量法之應用

Analysis of Determinants of Fund Flows-An Application of Momentum Method

傅英芬(Ying-Fen Fu) ； 劉海清(Hai-Ching Liu)

《臺南科大學報（人文管理）》 26_1期 (2007/09) Pp. 135-150

https://doi.org/10.6970/JTUTHSM.200709.0135

摘要

本文主旨在應用動量法來探究影響基金流量的因素。研究結果顯示就申購率而言，投資人追逐短期贏家，且青睞長期輸家，顯示投資人認爲基金績效短期具動能效應，長期卻具反轉效應；若以贖回率來看，投資人贖回短期贏家與長期輸家，顯示短期有錯置效果的現象。而若以報酬率與風險二維分類的方式來觀察流量行爲，其結果顯示不管中期或長期，投資人在申購與贖回上同時皆偏好高風險組的基金，這種現象在高報酬組基金上尤其顯著。本文進一步將研究期間分成多頭與空頭時期來觀察在股價爲上升趨勢與下跌趨勢下，贏輸家組淨流量率的變化。在多頭時期贏家與輸家之間的淨流量率差距比空頭時期要明顯的高出很多，此外就短中期績效而言，不論是多頭或是空頭時期，只有成爲贏家其淨流入比率才會爲正，其他組別淨流入比率皆爲負，而且多頭時期贏家與輸家的淨流量率差異很大，而空頭時期各組別的淨流量率則差異不大。也就是說投資人在空頭時期對輸家太過慈悲，但在多頭時期對贏家卻又過度熱情。這種投資行爲對採高持股策略的基金來說，在市場資金的爭取上顯得相當有利。

關鍵字

動量法 ； 基金流量 ； 空頭時期 ； 多頭時期

並列摘要

This study aims to investigate the influence of fund flows by applying momentum method. Regarding redemption rate, investors chase winners in the short run, while they prefer losers in the long run. This result indicates investors think that fund performance exhibit short-term momentum effect and long-term contrarian effect. Regarding redemption rate, investors sell winners in the short run, while they sell losers in the long run. It is a phenomenon of disposition effect. We further divide funds into winners and losers based on past return and risk simultaneously. The result shows that investors prefer high-risk fund especially for high-risk funds with high returns. This study further investigates fund flow behavior in the bullish and bearish markets. In the bullish market, investors are attracted by well performed funds. However, this phenomenon does not exist in the bearish markets. Investors sell funds to realize gains in the bullish markets, while they do not realize loss in the bearish markets. Investors thus are too merciful to losers in the bearish markets, while they are too glowing to winners in the bullish markets.

並列關鍵字

momentum method ； fund flow ； bullish market ； bearish market