國內開放型股票基金規模與影響報酬變異因素之研究

The Impacts of the Size and Affecting Factors on the Return Rate of Mutual Funds

陳美玲(Mei-Ling Chen)

指導教授 ： 古永嘉

國立臺北大學/商學院/企業管理學系/碩士(2008年)

摘要

所謂「規模效果」( Size Effect )，即小規模企業的股票報酬率優於大規模的企業，即公司規模對股票報酬率呈現負向影響。對於股票市場此種異常現象，是否也存在於股票型基金中？ Berk and Green(2004)研究顯示基金規模過大時，經理人為保持持股的流動性，會將基金淨資產投資在較不理想的商品上，形成基金規模與績效為負相關之現象。
本研究即以國內開放式股票型基金為研究對象，研究期間為自2002年10月至2007年9月，共60個月，選取國內128檔股票型基金，合計7680筆樣本數，研究實證模型為橫斷面/時間序列混合迴歸模式(time-series /cross-section pooling regression)，並在模型中加入基金標準差、Beta值、費用比率及資訊比率，以反應基金在操作時的風險與成本。另針對股票型基金投資標的的不同，將股票型基金分成科技類型、中小型、價值型、一般股票型、中概股型、上櫃股票型及特殊類股票型基金，進行各種不同類型的股票基金之探討。並將所有樣本依規模分組，探討資訊比率、費用比率與基金規模之互動關係，對基金績效的影響。並利用實證結果中，市場報酬對各類別基金報酬率之迴歸係數，以證券市場線(Security Market Line, SML)模式推估，基金報酬率與其β係數之間的線性關係。
本研究經由實證研究後獲得以下之結論：
一、基金規模在所有股票型及一般股票型基金中，對基金績效皆具有顯著為正的解釋能力，但價值型及上櫃股票型基金，其基金規模與績效皆呈負相關。
二、在基金規模分組的第四組中，基金報酬的穩定度，對基金績效的影響程度不如其他規模來的重要。而在基金規模分組的第一組，費用比率與績效呈現負相關，但在其他組別都呈現正相關，顯示股票型基金費用比率具有規模經濟效益。
三、在各類型基金中，不論是以集中市場為投資標的的基金，還是投資在店頭市場為主的上櫃基金，其報酬率與系統風險β係數的關係落點皆在證券市場線之上，反映各類型基金其內在價值都明顯的有低估的情形。

關鍵字

共同基金 ； 規模效果 ； 混合迴歸

並列摘要

"Size Effect” means that the return of small size stocks is much higher than big ones. And there is a negative relationship between the company size and the stock return. Is this kind of abnormal phenomenon to the stock market, whether also exists in the stock funds? Berk and Green(2004) research shows when fund size oversized, manager artificial keep to hold the liquidity of, let the funds net assets investment on comparatively not the ideal merchandise, formation funds size and return is negative related phenomenon.
This thesis studies the open type stock funds in Taiwan and the research period is from October, 2002 to September, 2007, total of 128 domestic stock funds is selected. The paper used time-series/cross-section pooling regression model as the empirical model, and variables include standard deviation, Beta value, expenses ratio and information ratio with respond fund while operating of risk and cost. Aim at the dissimilarity of the stock fund investment object, divides into a stock funds high-tech; valued; medium and small cap; general equity; China conceptual; Over-the-Counter stock and special situation funds, carry on the study of the stock fund of various different type. Also depend on the size grouping for all samples, inquire into the interaction relation of information ratio, expenses ratio and fund size, to the influence of the funds return. And in use empirical results, the market return is to the regression coefficient of various categories funds return. Estimate by Security Market Line, the linear relations of funds return rate and beta coefficient.
The empirical results of this thesis are summarized as follows:
1.The fund size all has to the fund return notable are positive explanation ability in the total stock and general equity type, but valued and Over-the-Counter stock type, its funds size and return all present to negative related.
2. In the fourth funds size, the stability of funds return is rather other size importance to the influence degree of the funds return. In the first funds size, funds return is negative related to expense ratio. But all of other sizes are positive related; show the stock funds expense ratio has the economies of scale.
3. In various funds, its return rate and β coefficient relational point of descent all at Security Market Line above, reflected various funds intrinsic value has the situation of underestimated.

並列關鍵字

Mutual Funds ； Size Effect ； Time-series /cross-section pooling regression

參考文獻

13.傅澤偉、林曼莉、沈孟賢(2006)，公開資訊與基金特性對股票型基金績效之影響，真理財經學報，第15卷，pp47-76。

15.陳信憲，黃美賢，潘麗卿(2005)，影響共同基金績效因素之效果探討，企業管理學報，第66期，pp101-131。

1.Banz, R.W. (1981), “The Relationship between Return and Market Value of Common Stocks.” Journal of Financial Economics, Vol.9, No.1, pp.3-18.

2.Berk. J, and R.C. Green (2004), “Mutual fund flows and performance in rational markets.” Journal of Political Economy, Vol.112, pp.1269–1295.

4.Chan, H., R. Faff, D. R. Gallagher and A. Looi (2005), “Fund size, transaction costs and performance: Size matters.” The University of New South Wales, working paper.