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題名：既存共同基金經理人與新發行共同基金績效之研究
作者：馬宏志
作者(外文)：Hong-Chih Ma
校院名稱：雲林科技大學
系所名稱：財務金融系博士班
指導教授：李春安
學位類別：博士
出版日期：2011
主題關鍵詞：新基金；基金經理人；共同基金；績效持續性；基金流量；基金績效；mutual fund；fund manager；newly-raised fund；fund flows；fund performance；performance persistence
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本研究主要目的為探討共同基金績效是否與前期報酬或基金經理人的特徵相關。特別是，本研究考量到被多數先前的研究所忽略，但卻明顯極其重要的議題：基金經理人的更替。本研究也探討了新發行的基金是否真能達成基金公司所宣稱的績效目標。研究結果顯示，擁有碩士學歷的女性經理人以及國內研究所畢業的碩士經理人賺取較高的超額報酬。這個優越能力並未被共同因子、管理費或交易成本所完全解釋。本研究也發現，共同基金的績效持續性雖存在於早期，但近期已不復存在。另外，新發行的基金績效劣於既存的基金，並且，現金流量較低的新基金績效優於現金流量較高的新基金。本研究也發現新聞報導對新基金現金流量有正向影響。
The primary aim of this study is to determine whether mutual fund performance is related to either prior returns or the characteristics of fund managers. In particular, we account for the changes in fund managers, an issue largely ignored in the majority of the prior related studies. Our results reveal that female managers with Master’s degrees have higher excess returns, with such superiority not being adequately explained by common factors, management fees or transaction costs. Furthermore, fund managers gained their Master’s degrees from domestic institutes perform better than fund managers obtained their Master’s degrees from foreign institutes. We also find that whilst persistence in mutual fund performance did exist in an earlier time period, it has subsequently disappeared, even condition on female managers or managers with Master’s degrees.
Another purpose of this paper is to examine whether ‘newly-raised funds’ can actually achieve the performance targets. Our results show that the performance of the new funds is weakly inferior to that of existing funds. Furthermore, the results also indicate that newly-raised funds with lower cash flows tend to outperform those with higher cash flows. We also find that reports appearing in the newspapers relating to such newly-raised funds have significantly positive effects on cash flows. Thereby, it indicates that more promotional efforts can attract more money.
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