Title

影響共同基金績效因素之效果探討

Translated Titles

A Study of Factors Influencing the Mutual Fund Performance

Authors

陳信憲(Bryan H. Chen);黃美賢(Mei-Hsien Huang);潘麗卿(Li-Ching Pan)

Key Words

共同基金 ; 路徑分析 ; 基金績效 ; mutual fund ; path analysis ; fund performance

PublicationName

企業管理學報

Volume or Term/Year and Month of Publication

66期(2005 / 09 / 01)

Page #

101 - 131

Content Language

繁體中文

Chinese Abstract

本研究乃以2001-2004年美國股票型基金和債券型基金為研究樣本,以路徑分析法整合分析基金規模大小、基金家族規模大小、管理費用比例高低、基金週轉率高低、基金波動性大小、基金評比、詹森指標等因素和指標與基金績效的關係,進而提供投資者作為選擇基金之參考依據。研究結果發現基金評比、詹森指標與波動性對兩類基金績效均有影響力,而基金週轉率對兩類基金績效都沒有明顯的影響,其它因素則在不同類型基金有不同的影響效果。

English Abstract

Path analysis method is in use in this study to examine the relationships among the mutual fund performance, the fund size, fund family size, expense ratio, turnover rate, volatility, ranking and Jensen index. The research sampled 8,953 US equity and bond funds from 2001 to 2004. Our empirical results confirm that mutual fund ranking, Jensen index and volatility are key factors to affect equity and bond funds' performance and thus they could be useful indicators of funds selection. There is no significant relationship between turnover rate and the performance of equity funds or bond funds. Nevertheless, other factors show different impacts on various types of mutual funds.

Topic Category 社會科學 > 經濟學
社會科學 > 管理學
Reference
  1. Standard & Poor`s Fund Rating
  2. Ahn. J.(2002).Beyond Single Equation Regression Analysis: Path Analysis and Multi-Stage Regression Analysis.American Journal of Pharmaceutical Education,66,37-42.
  3. Ang, J. S.,Chen, C. R.,Lin, J. W(1998).Mutual Fund Manager's Efforts and Performance.Journal of Investing,17(4),68-75.
  4. Berkowitz, M. K.,Yehuda, K.(2002).Managerial Quality and the Structure of Management Expenses in the U. S. Mutual Fund Industry.International Review of Economics and Finance,2,315-330.
  5. Blake, C.,Elton, E.,Grube, M.(1993).The Performance of Bond Mutual Funds.Journal of Business,66,371-403.
  6. Carhart, M. M.(1997).On Persistence in Mutual Fund Performance.Journal of Finance,52,57-82.
  7. Chang, K. P.(2004).Evaluating Mutual Fund Performance: an Application of Minimum Convex Input Requirement Set Approach.Computer & Operations Research,31,929-940.
  8. Chiang, K. C.,Kozhevnikov, K.,Wisen, C. H.(2005).Ranking Properties of Morningstar Risk-adjusted Ratings.The Journal of Investing,14(1),90-98.
  9. Detzler, M. L.(1999).The Performance of Global Bond Mutual Funds.Journal of Banking & Finance,23,1195-1217.
  10. Droms, W. G.,Walker, D. A.(1994).Investment Performance of International Mutual Fund.Journal of Financial Research,27(1),1-14.
  11. Droms, W. G.,Walker, D. A.(2001).Persistence of Mutual Fund Operating Characteristics: Returns, Turnover Rates, and Expense Ratios.Applied Financial Economics,11,457-466.
  12. Droms, W. G,Walker, D. A.(1996).Mutual fund investment performance.Quarterly Review of Economics and Finance,36(3),347-363.
  13. Elton, E.,Gruber, G.,Blake, C.(1996).Survivorship Bias and Mutual Fund Performance.Review of Financial Studied,9,1097-1120.
  14. Gallagher, D. R.,Martin, K.M.(2005).Size and Investment Performance: A Research Note.ABSCUS,41(1),55-65.
  15. Goetzmann, W. N.,Ibbotson, R. G.(1994).Do Winner Repeat? Patterns in Mutual Fund Performance.Journal of Portfolio Management,20,9-18.
  16. Golec, J. H.(1996).The Effects of Mutual Fund Managers` Characteristics on Their Portfolio Performance, Risk and Fees.Financial Services Review,5(2),133-148.
  17. Grinblatt, M.,Titman, S.(1992).The Persistence of Mutual Fund Performance.Journal of Finance,47,1977-1984.
  18. Gruber, M. J.(1996).Another Puzzle: the Growth in Actively Managed Funds.Journal of Finance,51,783-810.
  19. Indro, D. C.,Jiang, C. X.,flu, M. Y.,Lee, W. Y.(1999).Mutual Fund Performance: Does Fund Size Matter?.Financial Analysts Journal,55,74-87.
  20. Ippolito, R. A.(1989).Efficiency with Costly Information: A Study of Mutual Fund Performance.Quarterly Journal of Economics,104,1-23.
  21. Ippolito, R. A.(1993).On Studies of Mutual Fund Performance.Financial Analysts Journal,49,42-50.
  22. Jan, Y. C.,Hung, M. W.(2003).Mutual Fund Attributes and Performance.Financial Service Review,12(2),165-178.
  23. Jan, Y. C.,Hung, M. W.(2004).Short-run and Long-run Persistence in Mutual Funds.The Journal of Investing,13(1),67-71.
  24. Jones, M. A.,Lesseig, V. P.,Smythe, T. I.(2005).Financial Advisors and Mutual Fund Selection.Journal of Financial Planning,18,64-70.
  25. Lemark,Satish(1996).Mutual Fund Performance and Manager`s Term of Service: is Their Performance Difference?.The journal of investing,Winter,59-63.
  26. Malkiel, B.G.(1995).Returns from Investing in Equity Mutual Funds 1971-1991.Journal of Finance,50(2),1589-1622.
  27. Payne, T. H.,Prather, L.,Bertin, W.(1999).Value creation and determinants of equality fund performance.Journal of Business Research,45,69-74.
  28. Philpot, J.,Hearth, D.,Eimbey, J. N.,Schulman, C. T.(1998).Active Management, Fund Size, an Bond Mutual Fund Returns.The Financial Review,33,114-126.
  29. Philpot, J.,Hearth, D.,Rimbey, J. N.(2000).Performance Persistence and Management Skill in Nonconventional Bond Mutual Funds.Financial Service Review,19,247-258.
  30. Prather, L.,Bertin, W.J.,Henker, T.(2004).Mutual Fund Characteristics, Managerial Attributes, and Fund Performance.Review of Financial Economics,13,305-326.
  31. Sharpe, W. F.(1996).Mutual Fund Performance.Journal of Business,39,119-138.
  32. Volkman, D. A.(1995).Determinants of Persistence in Relative Performance of Mutual Funds.Journal of Financial Research,18(4),415-430.
  33. Walker, G. A.(1997).Testing the Predictability of Mutual Fund Returns.Review of Business,18(4),10-15.
  34. 吳明隆(2000)。SPSS統計應用實務。台北:松崗電腦圖書資料股份有限公司。
  35. 周文賢(2002)。多變量統計分析。台北:智勝文化事業有限公司。
  36. 林弘立(2005)。金融時事論壇。台北:金融研訓院。
  37. 邱皓政(2004)。結構方程模式。台北:雙葉書廊有限公司。
  38. 徐清俊、姜志堅(2003)。基金績效持續性與基金類型之相關性研究。遠東學報,20(4),785-798。
  39. 張紹勳(2000)。研究方法。台北:松崗電腦圖書資料股份有限公司。
  40. 陳安琳、洪嘉苓(2000)。共同基金經理團隊屬性與基金績效之研究。證券市場發展季刊,13(3),1-27。
  41. 劉文祺、張淑怡、張清鳳(2000)。共同基金評選指標之實用性研究。產業金融季刊,109,60-79。
  42. JF台灣投資人信心調查-投資行爲篇
Times Cited
  1. 李方瑋(2008)。建構共同基金投資組合模式之研究 - 以台灣開放式股票型基金為例。淡江大學管理科學研究所企業經營碩士在職專班學位論文。2008。1-96。
  2. 陳美玲(2008)。國內開放型股票基金規模與影響報酬變異因素之研究。臺北大學企業管理學系學位論文。2008。1-62。
  3. 黃佩君(2010)。共同基金績效之研究。虎尾科技大學經營管理研究所在職專班學位論文。2010。1-101。
  4. 許婷媛(2010)。基金特性因子對股票型基金績效的影響。朝陽科技大學財務金融系學位論文。2010。1-48。
  5. 王世豪(2011)。共同基金是否存在規模經濟?-以台灣市場為例。亞洲大學財務金融學系學位論文。2011。1-35。
  6. 曾世輝(2011)。新興市場股票型基金績效評估。淡江大學財務金融學系碩士在職專班學位論文。2011。1-95。
  7. 陳姵穎(2011)。績優基金績效、持續性、決定因素與排名—台灣股票型基金之實證研究。朝陽科技大學財務金融系學位論文。2011。1-141。
  8. 林智宏(2011)。選取債券型基金或基金組合之探討與分析。淡江大學管理科學研究所企業經營碩士在職專班學位論文。2011。1-37。
  9. 林蕙敏(2014)。國內投信債券型基金風險與報酬之實證研究。中山大學財務管理學系研究所學位論文。2014。1-56。
  10. 游宗軺(2014)。Persistent Effects of Turnover Ratio and Fund Flow on Performance of Equity Funds in Taiwan。中正大學財務金融學系學位論文。2014。1-40。