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題名：組合型基金是否優於一般共同基金？風險與報酬及基金特性之探討
書刊名：管理與系統
作者：陳瑞璽 引用關係／洪碧霞 引用關係／劉喻欣
作者(外文)：Chen, Ruey-shii／Hung, Pi-hsia／Liu, Yu-shin
出版日期：2014
卷期：21:2
頁次：頁363-392
主題關鍵詞：基金流量；基金績效；績效持續性；聰明錢效果；Fund flow；Fund performance；Performance persistence；Smart money effect
原始連結：連回原系統網址new window
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本研究區分共同基金為組合型基金與一般共同基金，此兩類基金又各細分成股票型、債券型以及平衡型基金，探討各類型基金相關特性之差異，以作為投資決策之參考。以台灣跨國投資基金所作之實證顯示組合型基金之風險小於一般共同基金，此風險差異主要來自於債券型而非股票型基金，對應一般共同基金較高的風險，其績效亦優於組合型基金。基金績效與基金規模及基金費用率呈負向關係但與前期基金流量呈正向關係，同時組合型基金正負向持續比率皆大於一般共同基金。本文發現一般基金前期報酬及前期淨流量皆對當期報酬有解釋能力，存在動能與聰明錢效果，其中動能效果大於聰明錢效果；組合型基金則不存在單獨的動能與聰明錢效果，但合併使用前期報酬及前期基金淨流量資訊，即買進贏家且高基金流量投資組合同時賣出輸家且低基金流量之投資組合，仍可獲取超額報酬。
We divided all the international mutual funds into funds of funds and traditional mutual funds. For each category, we further separate the samples into subsamples of stocks, bonds, and hybrids to investigate the differences of characteristics between separate categories of funds. By analyzing international funds, we find that funds of funds are not as volatile as traditional mutual funds in the comparison of the funds' risk, and the source of main differences comes from bond funds rather than equity funds. We also find that, irrespective of categories, there are a negative relationship between fund size and performance and a positive relationship between the previous fund flow and performance. Also, there exists a negative influence on the performance for the expense ratio. The funds of funds have a larger proportion of positive/negative performance persistence than that of traditional mutual funds. Besides, we find that momentum and smart money effect have separate explanatory power on fund performance for traditional mutual funds, but only the two combined factor can influence the performance of funds of funds.
期刊論文
1.Volkman, D. A.、Wohar, M. E.(1995)。Determinants of persistence in relative performance of mutual fund。Journal of Financial Research，18(4)，415-430。  new window
2.Blake, C. R.、Morey, M. R.(2000)。Morningstar Ratings and Mutual Funds Performance。Journal of Financial and Quantitative Analysis，35(3)，451-483。  new window
3.Carhart, M. M.(1997)。On Persistence of Mutual Fund Performance。Journal of Finance，52(1)，57-82。  new window
4.Carhart, M. M.、Carpenter, J. N.、Lynch, A. W.、Musto, D. K.(2002)。Mutual Fund Survivorship。Review of Financial Studies，15(5)，1439-1463。  new window
5.Chen, L. W.、Chen, F.(2009)。Does Concurrent Management of Mutual and Hedge Funds Create Conflicts of Interest。Journal of Banking and Finance，33(8)，1-11。  new window
6.Ding, B.、Shawky, H. A.、Tian, J.(2009)。Liquidity Shocks, Size and the Relative Performance of Hedge Fund Strategies。Journal of Banking and Finance，33(5)，883-891。  new window
7.Ferris, S. P.、Yan, X. S.(2009)。Agency Costs, Governance, and Organizational Forms: Evidence from the Mutual Fund Industry。Journal of Banking and Finance，33(4)，619-626。  new window
8.Goetzmann, W. N.、Peles, N.(1997)。Cognitive Dissonance and Mutual Fund Investor。Journal of Financial Research，20(2)，145-148。  new window
9.Greene, J. T.、Hodges, C. W.、Rakowski, D. A.(2007)。Daily Mutual Fund Flows and Redemption Policies。Journal of Banking and Finance，31(12)，3822-3842。  new window
10.Pollet, J. M.、Wilson, M.(2008)。How does Size Affect Mutual Fund Behavior?。Journal of Finance，63(6)，2941-2969。  new window
11.Sirri, E.、Tufano, P.(1998)。Costly Search and Mutual Flows。Journal of Finance，53(5)，589-1622。  new window
12.Toledo, I.、Marco, R.(2009)。Costs Associated with Mutual Funds in Spain。International Journal of Finance and Economic，15(2)，165-179。  new window
13.Bilson, C.、Frino, A.、Heaney, R.(2005)。Australian Retail Fund Performance Persistence。Accounting and Finance，45(1)，25-42。  new window
14.Kaushik, Abhay、Barnhart, Scott W.(2009)。Do mutual funds with few holdings outperform the market?。Journal of Asset Management，9(6)，398-408。  new window
15.Prather, Laurie、Bertin, William J.、Henker, Thomas(2004)。Mutual fund characteristics, managerial attributes, and fund performance。Review of Financial Economics，13(4)，305-326。  new window
16.Sapp, T.、Tiwari, A.(2004)。Does Stock Return Momentum Explain the "Smart Money" Effect?。The Journal of Finance，59(6)，2605-2622。  new window
17.池祥萱、林煜恩、周賓凰(20070600)。基金績效持續與聰明錢效果：臺灣實證。管理學報，24(3)，307-330。new window  延伸查詢new window
18.Berk, Jonathan B.、Green, Richard C.(2004)。Mutual fund flows and performance in rational markets。Journal of Political Economy，112(6)，1269-1295。  new window
19.Gruber, Martin J.(1996)。Another Puzzle: The Growth in Actively Managed Mutual Funds。Journal of Finance，51(3)，783-810。  new window
20.Grinblatt, Mark、Titman, Sheridan(1989)。Mutual fund performance: an analysis of quarterly portfolio holdings。Journal of Business，62(3)，393-416。  new window
21.Ippolito, Richard A.(1992)。Consumer reaction to measures of poor quality: Evidence from the mutual fund industry。The Journal of Law & Economics，35(1)，45-70。  new window
22.Zheng, Lu(1999)。Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability。Journal of Finance，54(3)，901-933。  new window
23.Chen, J.、Hong, H.、Huang, M.、Kubik, J. D.(2004)。Does fund size erode mutual fund performance? The role of liquidity and organization。The American Economic Review，94(5)，1276-1302。  new window
24.Grinblatt, Mark、Titman, Sheridan(1993)。Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns。The Journal of Business，66(1)，47-68。  new window
25.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance，48(1)，65-91。  new window
學位論文
1.呂美瑩(2003)。台灣發展組合型基金之可行性研究(碩士論文)。國立臺灣大學。  延伸查詢new window
圖書
1.Darlington, R. B.(1990)。Regression and Linear Models。New York：McGraw-Hill。  new window
 
 
 
 
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