投資者情緒是否影響基金績效?過去文獻主要著重在探討投資者情緒與股票報酬之關聯性,甚少探究投資者情緒對基金績效之影響。本論文以市場週轉率與月平均IPO報酬率作為投資者情緒指標,探究投資者情緒對基金月報酬率、TREYNOR績效指標、SHARPE 績效指標、JENSEN績效指標之影響。樣本期間從2001年至2015年為止,共計15年。實證結果發現,高投資者情緒的投資組合中,存在較高的當期基金月報酬率、TREYNOR績效、SHARPE 績效、JENSEN績效;且投資緒情緒指標與四種基金績效指標皆具有正向顯著的關聯性。此外,在迴歸分析中,本論文進一步發現投資者情緒分別對基金月報酬率、TREYNOR績效指標、SHARPE 績效指標、JENSEN績效指標皆具有正向顯著的影響,故投資者情緒愈高,當期具有較高的基金績效。
Regarding the effect of investor sediment on fund performance, previous studies have mostly focused on the relationship between investor sentiment and stock market returns, and few have explored the influence of investor sentiment on fund performance. In this study, average IPO returns per month and stock market turnover rates are used as investor sentiment indicators to measure the effects of investor sentiment on monthly returns and TREYNOR, SHARPE, and JENSEN fund ratios. Samples dated from 2001 to 2015 are collected. The empirical results show that portfolios with high levels of investor sentiment yield high monthly returns and high TREYNOR, SHARPE, and JENSEN ratios, and that the investor sentiment indicator is significantly positively correlated with the four types of fund performance indicator. In addition, a regression analysis reveals that investor sentiment has significant positive effects on the monthly returns as well as on the TREYNOR, SHARPE, and JENSEN fund ratios; that is, high investor sentiment leads to high fund performance during the same period.