本研究運用Gonza′lez,Teräsvirta and van Dijk(2004, 2005)發展的縱橫平滑移 轉迴歸模型(Panel Smooth Transition Regression Model, PSTR)進行實證分析,探 討費用率對於基金淨值、基金規模、基金週轉率及費用率等基金特性,於不同基金 費用率下對於基金績效之影響性。 經研究發現當基金費用率小於0.0445%時,基金規模與基金績效呈現顯著正向 關係,基金淨值及週轉率與基金績效為顯著負相關,基金費用率與基金績效之間並 無相關性。當基金費用率大於0.0445%時,基金淨值與基金規模與基金績效呈現顯 著的正向關係,基金週轉率與基金績效為顯著負相關,基金費用率與基金績效之間 並無相關性。故歸納出之國內股票型基金之相關投資策略;若以基金費用率與基金 績效作為國內股票型基金之投資策略時,則投資標的應挑選規模較大的基金,基金 規模越大,費用率越低的情況存在使基金績效表現較為優異。而基金週轉率與基金 績效作為國內股票型基金之投資策略時,則投資標的應挑選週轉率較低的基金,以 增加基金之績效表現。
This study is to investigate the panel smooth transition effect associated with fund characteristics and mutual fund performance. Utilizing the panel smooth transition regression model developed by Gonza′lez,Teräsvirta and van Dijk(2004,2005)to figure out that fund net asset value, fund size, turnover rate, fund expense ratio and fund expense ratio may affect mutual fund performance under different fund expense ratio. The result shows that when fund expense ratio below 0.0445 percent, there is a significant positive effect between fund size and fund performance, also fund net asset value and turnover rate exist significant negative effect to fund performance, but fund expense ratio has no significant relationship with fund performance. When fund expense ratio above 0.0445 percent or climbs, fund net asset value and fund size has significant positive effect with fund performance, the turnover rate exist significant negative effect to fund performance, but fund expense ratio has no significant relationship with fund performance. Consequently, investors could make decisions according to the result. No matter fund expense ratio higher or lower , investors should choose funds with large size, lower turnover rate and lower fund expense ratio to increase fund performance.