摘要
過去文獻在研究基金流量與績效的單向關聯性時，多著重探討是否存在聰明錢效果－共同基金流量與其未來績效是否存在正向關係。本文旨在研究受共同基金高要素報酬率吸引而引發的流量，與該基金未來績效間是否存在單向反向關係。探討是否會因部分投資人不具備鑑別基金經理人的能力，投資要素報酬率高但經理人能力低的基金，使該基金取得超出其能良好掌控之資產規模，最終因資產規模遞減效應使未來基金績效下降。 本研究以2010 至 2019年國內股票型基金做為樣本，實證結果指出，國內股票型基金並沒有顯著的特定流量對績效的單向反向關係，但本研究發現部分alpha值較低基金，呈現共同基金要素報酬率與未來短期績效負相關情形，推測可能是因為取得過多基金流量使資產規模過大。
並列摘要
Most of the researches that study the one-way correlation between fund flow and performance, focused on whether there is a smart money effect. That is, whether there is a positive relationship between mutual fund flow and its future performance. This article aims to study whether there is a one-way negative relationship between the flow attracted by the high factor returns of mutual funds and the fund's future performance. This implies that some investors cannot identify fund managers’ skills, invest in funds that have high factor returns but low managers’ skills, cause those funds to obtain too many assets that they cannot control, and ultimately cause performance decline due to the effect of diminishing asset scale. This study uses domestic equity funds from 2010 to 2019 as samples. The empirical results indicate that domestic equity funds do not have a significant one-way negative relationship between specific flow and performance. However, this study found that some funds with lower alpha show a negative correlation between the factor returns of the funds and future short-term performance. It may be due to excessive asset skill cause by excessive fund flow.