近年在信託業法及「證券投資信託及顧問法」三讀通過後，受託銀行的責任在法律上有明顯規範，受託銀行有監督基金經理公司，維護投資人權利的責任，除了負有損害賠償責任外，也有刑事罰則。本文研究的問題為國內保管銀行現今服務能力是否可以達到法律的規範？該如何從國外全球保管機構或受託機構中，尋求學習或合作的解決之道？政府及相關公會該如何在制度上更加公平完善，使得受託機構與基金經理人的權利義務產生制衡（check-balance），此對基金業長期健全的發展很重要。 國外保管銀行在保管業務的發展領先國內業者數十年外，已處於專業技術成熟的階段，隨著經理人跨國投資的需要，證券多元跨國掛牌，及業務標準化與證券識碼及電報傳輸的統一化，國內保管銀行在全球化潮流，朝著國外的後程，而無法自成一個封閉的產業，繼續以現行的作業方式運作，學習現行國際保管銀行的運作是必然發展之路。 本論文選擇以保管服務為其主要的業務的機構，也是全球最大的保管銀行--道富銀行，為主要的個案研究。該行以保管及資產管理為其主要業務，總信託資產為9.5兆美元，管理資產1.4兆美元，2004年手續費收益佔總收益的82%，是一個經營績效相當良好的保管銀行，從2001年起的過去二十四年來，每股盈餘每年皆有二位數字的成長率。過去10年（1994~2004）每股盈餘年複成長14%，其間保管資產由1.7兆成長至9.5兆。 本文希望藉瞭解全球保管銀行及信託公司之實務作業及全球保管銀行產業之現況，瞭解全球保管銀行（Global Custodian）、次保管銀行（Sub-custodian）、受託機構（Trustee）及基金事務機構（Fund Administrator）的角色及其服務的區分，並比較我國保管業務的服務內容，及目前發展的瓶頸。 國際上保管銀行業務大致分為三大型態：全球保管銀行、次保管銀行以及信託公司或受託銀行兼任基金事務機構，當討論的服務內容時，保管銀行的角色不同時，對服務的內容就不同。全球保管銀行，以提供單一窗口，由其整合各地次保管銀行，達到全球網絡，標準化及效率為主要目標，客戶大多為機構法人、保險公司、退休金或傳統基金等標準化產品。次保管銀行業務（sub-custodian）或區域型保管銀行為各地實際負責交割結算的保管服務提供者，多擔任全球保管銀行的次保管銀行。信託公司或基金事務機構則以提供客製化基金事務或避險基金為主，專長在提供全套基金服務，包括淨值計算，基金會計、複雜的績效評估，避險基金中涉及的衍生性產品的評價及控管。 國內保管銀行面對「證券投資信託及顧問法」中信託責任及投信基金投資更多元化等市場重大變革，其中投資監管、資產評價及處理衍生性產品的能力更是作業上難以克服的挑戰，信託業幾度透過信託公會及投信投顧公會協調，試圖在定型化契約及保管銀行收費上取得平衡點，但爭議仍不斷，在保管銀行強烈反應的背後，除了收費不合理外，實務上，保管銀行的作業無法在短時間內由原來委任責任變成承擔信託的責任，最主要的原因為受限於系統的改善不易。一直以來，投信選任保管銀行以保管的通路及包銷為標準，而不是保管銀行的服務能力，此業務導向及過去委任法律關係的歷史背景，再加上保管費收費太低及基金規模經濟不易達到，保管銀行在服務能力的提昇缺乏支援。 從分析國外保管產業可知：大型保管機構的業績成長穩定獲利成果傲人，但背後系統再投資成本驚人，產業完成競爭，大者恆大，國內保管機構受限系統公司及技術能力，面對服務能力與法規要求的鴻溝，需要時日及規模經濟的收益來支持，現階段若只是覆核投信的報表，保管銀行的系統無法提供評價、警示功能，並無法完全達到投資監管及控制業務風險。未來我國保管銀行後續發展的方向必須尋求與國外受託機構學習或合作為解決之道。

本研究主要以Cox 迴歸模型為主軸，以1995年7月1日至1999年5月7日公務人員退撫基金成員:公務人員及教育人員為研究對象，分析影響基金成員各項脫退的個別變數，並量化所擇取之變數的影響，以估計各個基金成員的脫退率。同時針對現有基金成員，評估退撫基金短期現金支出並分析之。實證結果發現：藉由Cox迴歸模型之分析可知，相異的脫退因素，被不同的迴歸變數所影響著，且各個變數對各項脫退的影響程度亦存在著差異。短期現金支出的評估結果顯示，各項給付支出，以退休給付的支出佔最大的比例，次為資遣、死亡及離職給付。而人數比例較少的教育人員，其脫退給付支出金額，高於公務人員之給付支出。 略 / Cox regression model is proposed in this study to investigate the demographic factors (i.e., gender, age, seniority, salary scale and the entry date) that influence the turnover pattern of the plan members. This research has focused on the government employees and public school teachers in Taiwan Public Employees Retirement System (Tai-PERS). Quantitative analyses on turnover are performed through monitoring and selecting the significant factors in Cox regression model. Finally based on the current members in Tai-PERS, the short-term cash outflow is projected. Based on the empirical results, different causes of turnover (i.e., death, withdrawal, layoff and retirernent) are influenced by the selected factors. Significant differences have been found within the various causes of decrements. Result from the short-term cash outflow shows that the payment due to retirement has the largest proportion. Then follows the payment amount due to payoff, death and withdrawal if we rank them in order. In additions, the total payments of the public school teachers are larger than those of the government employees, while the plan members of the public school teachers are comparatively less.

本論文應用數學規劃建立符合我國法令規範與投資政策說明書之投資政策及風險管理的資產負債管理模型。主要的討論對象為國民年金、公務人員退休撫卹基金與新制勞工退休金。模型中主要透過資產配置的收益與提撥收入維持現金流的平衡，以支應現在或未來的負債。在提出的模型中，採取維持最低基金公積率的策略，以確保長期的償付能力。當償付能力不足時，以政府撥補或是修正提撥率處理巨額的虧損。且使用機率限制式將發生不足的風險控制在可接受的範圍內。因此本論文提出的模型為多階段的有補償的混和整數隨機規劃模型。

近年基金投資已然成為一般民眾重要的理財工具之一，而投資人最關注的顯然是基金績效的好壞，以及前績效好的基金在未來能否持續先前好的績效表現。因此本論文主要探討台灣的開放式股票型基金之績效、基金績效的持續性，以及投資人買賣基金的行為與基金績效之間的相互影響。論文第一部份是從隨機變數的觀點評估台灣的開放式股票型基金其夏普指標績效值，第二部份則以一般化的馬可夫模型－「漂移者—停駐者」模型評估基金績效持續性的動態行為，第三部份討論投資人的現金流量和基金績效之間的關聯性。 在第一部份的實證結果中，我們認為過去對夏普指標高的基金其績效較佳之想法必須修正，因為從隨機變數的觀點衡量基金的夏普指標值時，所有基金的績效均不顯著異於0。若與市場指數的夏普指標相比，並非所有基金經理人都能打敗市場，雖然以五年評估期間衡量基金績效時，有半數以上的基金其績效顯著優於市場指數，但在二年評估期間下只有極少數基金的績效顯著優於市場。第三，以拔靴法模擬基金的小樣本夏普指標分配時，仍然無法找到基金績效顯著大於零的證據。整體而言，本部份的研究認為從隨機變數的觀點衡量基金的夏普指標績效時，台灣的開放式股票型基金其績效超越市場的證據並不強。 第二部份以「漂移者—停駐者」模型衡量基金績效的動態持續性之實證結果，我們發現整體基金市場具有某種程度的績效持續性，但績效持續性的強弱程度隨著績效組別的不同而有差異，表現最佳與最差兩組基金的績效持續性高於績效中等基金，但整體基金的績效持續性並不很明顯。另外，績效最差組別的停駐基金比率為各組中最高，代表該組別基金的績效持續性較強。第二，基金績效持續性因績效指標的不同而有差異，主要差異反映在各績效組別裡停駐基金比率的估計。第三，「存活偏誤」的確對基金績效持續性的結果有影響，但主要影響反應在停駐基金比率的估計，而非績效漂移基金的轉換機率。第四，以概度比檢定驗證單純馬可夫鏈模型與「漂移者—停駐者」模型對資料的配適程度時，發現「漂移者—停駐者」模型較適合分析台灣開放式股票型基金的績效持續性。 就第三部份基金績效與投資人現金流量的討論，第一，實證結果支持台灣的開放式股票型基金其績效具有持續性，但整體市場的績效持續性並不顯著，其中季資料下基金績效的持續性證據最強，此部份與論文第二部份的結論一致。第二，前一季績效佳的基金在下一季能吸引投資人較多的現金流量，但是放入市場報酬率作為解釋因子後，我們發現投資人的現金流入隨著市場報酬率的上升而提高、隨著基金報酬率的增加而減少，因此投資人買賣基金的主要考量似乎是以市場整體走勢為主，而非基金前期績效。第三，投資人買賣基金的活動對基金後續績效並無影響，這可能是基金經理人的持股比率高於法令規定，或是投資人買入贖回基金的活動對績效的影響通常在數日內即已反應完畢。最後，討論經理人的流動性交易及訊息交易對基金後續績效的影響之前，我們發現基金前期績效的持續大約維持兩個月，但是加入流動性交易及訊息交易作為解釋變數後，基金績效的持續性減弱。 / Mutual funds have been a popular investment vehicle in recent years regardless of the growth of fund assets or numbers of beneficiaries. What investors mind are that whether mutual funds can provide higher return than others, star managers can persist previous dominant performance. For the reasons, we try to examine the performance of Taiwan mutual funds by Sharpe ratio index from new insights, and study mutual fund within best performance group can maintain antecedently superior performance. Finally, we attempt to investigate the relationship between fund performance and fund flows of open-ended stock fund in Taiwan. 1. We analysis the statistical distribution of the Sharpe ratio in Taiwan Mutual Funds developed by Lo(2002) and explore fund performance. First, we construct the confidence intervals of Sharpe ratio of Taiwan stock funds under different assumption for the return-generating process is independently and identically distributed returns (IID) and Non-IID but stationary, then, annualize Monthly Sharpe ratios by Time Aggregation technique. To avoid small sampling errors, we utilize bootstrap sampling conception to simulate the small sample distribution of Sharpe ratio of stock funds. We find that (1) there are not significant evidences that mutual funds in Taiwan have superior performance than riskless rate or market returns in several conditions. (2)By Bootstrapping sampling technique, we still cannot find stock funds have comparatively better performance than market indexes from empirical result. Accordingly, we believe that the usual methods about Sharpe ratios must be modified. That is, a mutual fund with higher Sharpe ratio is not necessarily a good performance, absolutely. Cause, Sharpe ratio index is not a constant, but a random variable, and we must build up its interval estimation and then test if there are significant differences between funds performance. Consequently, we argue it is relatively important to construct the performance-ranking system of mutual funds similar the bond credit-rating. 2. We employ the mover-stayer model to study the dynamics of performance persistence of mutual funds in Taiwan. This model provides us more detailed information about and help us further understand the nature of mutual fund performance persistence. We find (1) that there exists certain degree of persistence in mutual fund performance. Such persistence is, however, not very significant. It is because most funds are mover funds with unstable performance rather than stayer funds with consistence performance. More interestingly, funds within the best and the worst performance groups have more persistent performance than those within the middle performance group. It implies that in view of the previous mediocre performance, fund managers within the middle group have strong intention to improve their future performance. In addition, the fact that the worst performance group has the highest proportion of stayer funds implies that losers are more persistent than winners in Taiwan mutual fund industry. Overall, mutual funds in Taiwan have only weak performance persistence. (2) that consistent with the literature, the degree of persistence in performance is dependent on the performance evaluation criteria. It seems that this difference of degree of persistence is reflected in the estimation of stayer fund proportion, not in the estimation of the transition probability matrix of mover funds. (3) that there exists survivorship bias in our study. It mainly influences the estimation of stayer funds proportion, not that of the transition probability matrix of mover funds. Having said that , we believe that this bias will not alter the important conclusions of this article. 3. This part studies three important issues including the performance persistence of mutual funds, the relationship between mutual fund performance and investor fund flows, and the influence of investor fund flows on the performance of mutual funds. Our analyses are based on the data of mutual funds in Taiwan with three different frequencies that include monthly, quarterly, and yearly data. The methods we utilize to perform the analyses are those from Gruber (1996) and Edelen (1999). There are three main findings in this article: (1)During the sample period from 1996 to 2004, the evidence on the performance persistence of mutual funds in Taiwan is at best weak regardless of various risk-adjusted models and data frequencies. In sum, mutual funds in Taiwan do not perform persistently no matter how their performance is measured. (2)We are not able to discover a significant relationship between mutual fund performance and investor fund flows based on monthly data. This result is not consistent with that of Gruber (1996). However, this relationship becomes stronger if we look at quarterly data. In addition, the most interesting thing is that it seems that it is the quarterly stock market return that derives most of investor fund flows rather than the quarterly mutual fund performance itself. This result implies that the key factor for investors to decide whether to invest more capital into mutual funds is the overall market performance. In other words, the market sentiment may be the most importance factor that induces investors to purchase or sell mutual funds. (3) In contrast to the results of Edelen (1999), the liquidity-trading of fund managers induced by investor fund flows does not have a significant adverse effect on fund performance. Interestingly, the contemporaneous information-trading of fund managers has significant negative impact on fund performance while that in the previous month actually improves fund performance. Furthermore, the performance persistence normally lasts for two months but it diminishes when we incorporate both the liquidity-trading and information-trading of fund managers into the regressions.

本研究探討2001年1月至2016年12月內所有以台股市場為標的之開放式股票型基金，透過多元迴歸模型與交易策略法深入的了解資金流量與過去和未來一期報酬率之間的關聯性，並從中探討台灣投資人的行為偏好。 透過多元迴歸模型與交易策略法可以發現代表台灣投資人投資偏好的資金淨流量變動率普遍有追逐過去績效表現優異之基金的傾向，接著探討資金淨流量變動率與未來一期報酬率的關聯後發現，台灣共同基金市場上當期資金淨流量變動率越高的基金，普遍在未來短期內所獲得的報酬率有較低的現象，然而隨著未來報酬期間的拉長，此現象便逐漸消失，最主要的解釋原因為台灣共同基金投資人普遍有追逐過去績效表現優異之基金的傾向，使過去績效表現較好的基金容易湧入過多的申購資金，而這些基金雖然在過去一期該基金經理團隊可以憑藉著自己所擅長的產業與個股經驗，挑選到具有成長潛力的投資標的，但隨著過去一期的優異表現，這些基金的投資組合持股價格已經來到相對高點，難以持續擁有良好的報酬表現，加上基金經理團隊手上仍握有許多等待投資的現金，最終可能迫使基金經理團隊必須開始涉入自己不熟悉的產業與個股，增加錯誤投資的機會而使績效表現變差，然而長期而言，該基金經理團隊仍可以憑藉著自己的專業投資能力，重新尋找到優良投資標的，消化過去湧入的投資資金，改善過去短期績效表現不佳的狀況。 / This study explored all open-ended equity funds targeting Taiwan’s stock market from January 2001 to December 2016. Through multiple regression model and trading strategy method, we got an in-depth understanding of the relationship between fund flows and both past and future returns, and the characteristics of the trading behavior of Taiwan’s investors were further investigated. By using multiple regression model and trading strategy method we found evidence that Taiwan’s investors have the tendency to chase mutual funds which had superior performance in the last period. Following this issue, we also found that funds with higher fund inflow generally had lower return in the short term time horizons, but the phenomenon would gradually disappear when the time horizons were extended. The main explanation of this phenomenon is that Taiwan’s investors generally have the tendency to buy mutual funds which gave superior return in the last period, so that funds with better performance in the past are prone to attract subscription. Although in the last period, these funds’ management team could rely on their own industrial and individual stock-picking experience, selecting those stocks with high growth potential. However, with an outstanding performance in previous period, stock prices in those fund’s portfolio had come to a relatively high point, so it’s hard to maintain good performance. With a vast sum of fund inflow, the management team may also be forced to invest in the industries or companies that they’re unfamiliar with, causing the possibility of wrong investment. However, when the time horizons were extended, the management team could digest the inflow of investment funds by rediscovering good investment targets and improve their fund performance.

退撫基金成立之目的主要為解決經費來源以減輕政府財政負擔，而退撫基金運作迄今已逾十年，退撫基金管理運用機構因受組織屬性、功能及人力之限，經營績效無法大幅提昇，因基金規模不斷成長，參加基金人數及支領定期給與之退休人數亦快速增加，面對日增之業務量，似有必要針對基金管理機構組織屬性、功能及人力配置等重新審視檢討。 鑑於基金運作之良窳，對於退撫基金支付能力具有關鍵性的影響，且涉及全國軍公教人員及各級政府退撫經費之負擔，因此，基金管理機構是否有適當之組織結構，能否採行企業化經營以靈活妥善運用基金，以及如何因應現有制度與管理上之缺失，創造高收益率以穩固退撫財源，均為本研究之重點。時值政府為提升國家整體競爭力，積極推動更具彈性與企業精神之「行政法人」，本研究乃分別就德國、英國、日本公法人制度，以及世界主要國家退休基金管理現況進行文獻探討，再針對我國退撫基金管理及運用現況進行檢視分析，復對基金管理會現職員工以問卷調查其對機關改制為行政法人之態度，並輔以深度訪談及SWOT分析等方法，以探究我國退撫基金管理機構行政法人化之可行性。 茲據研究結果發現，基金管理機構因受組織屬性、功能及人力之限，退撫基金管理無法獨立運作，致影響經營績效之提昇，其業務性質確具專業性，應頗適合行政法人化，惟因尚有潛藏負債、最後支付責任、行政法人法草案尚未建置完成以及現實上之政治生態等諸多考量，故建議其如擬行政法人化，應先明確區分政府及行政法人之潛藏負債及最後支付責任，並宜配合退休制度一同考量。 / The purpose of establishing Public Service Pension Fund （PSPF）mainly focuses on reducing the financial burden of the government. However, after more than ten years of operation, the performance of the pension fund still cannot significantly improve due to the limitation of attributes, functions and human resources of organization. This, together with the adjustment of contribution rates to reflect the normal costs, has received universal condemnation and worries about how to improve the operation of the fund in order to relieve the pressure of raising contribution rates. Due to the gradual increase of workloads caused by the continued growth of fund scale, fund participants and the number of retirees receiving regularly payments, it seems to be necessary to inspect and review the attributes, functions and human resources of the fund management agency. As the quality of the fund operation has crucial effects to the payment ability of the PSPF, and the expenditure burden of all fund participants and different levels of local governments, whether the fund management agency has proper organization structure, whether it is suitable to adopt the craft industry, and how to cope with the drawbacks of present system and management are the main points of this research. While the government is actively boosting “administrative corporation”, which is more flexible and possesses business spirit, with the aim of promoting integral competitiveness of the government, this research first literarily discusses public corporation system of Germany, Britain and Japan, and the current management state of main countries in the world. This is followed by an analysis of current management and operation state of the PSPF, and questionnaires filled by the employees of the Management Board of PSPF to understand their opinions on changing to administrative corporation. The analysis is reinforced by a deep interview, SWOT analysis and so on to investigate the feasibility of administrative corporation system for the management agency of PSPF.. This research finds out that being unable to operate independently, due to the limitations of organization attributes, functions and human resources, the PSPF’s management performance has been negatively influenced. Judging from agency functions, “administrative corporation” can be a suitable system for the organization. However, with considerations like inclined liabilities, final disbursement duty, and the Administrative Corporation Act still pending for legislative approval, it is suggested that a clear distinction between the inclined liabilities and final disbursement duty of the government and the administrative corporation has to be made, together with a consideration of the retirement system, before the “administrative corporation” system is put into real practice.

社會福利的成長速度超過了一般資本主義國家的財政負擔，幾乎可以說是各國財政的夢魘。因此各國莫不企求能在不增加財政支出的原則下，調整政府組織或是者是政策執行架構，以達到一方面節約成本，另方面又能繼續施政的雙贏。因此這種原本是以因應社會福利政策高支出的辦法－成立「基金」就被許多國家重新思考與引用。 這種以「基金國家」為主體的管理與施政方式同時涉及了幾方面治理模式的改變：（一）在財政上與政府預算脫鉤；（二）政府與基金的地位在法律上相對平行，同時也由上下隸屬關係成為平行契約關係；（三）政府必須在原有的政府組織之外另設管理與獨立監督機構以進行監督與管理；（四）與政府的關係是建立在法律關係上，同時基金也享有公法人之地位，基金一切營運管理必須依照法律規定進行。這種維持「一個手臂」距離的治理方式的最大優點就是少了政府官僚組織僵化的問題，同時又能適度引進市場機制的競爭，以維持效率與效能。 中國的醫療保障制度自八○年代後展開了一連串的改革，到了九二年的「兩江模式」試點可以說是到了一個新的轉折點。改革之後的中國醫療體制度由於法令的不夠週延，卻使各地方的醫療保障基金各據山頭，成為各地方政府的小金庫。雖然如此，但是「基金國家」的雛形卻是已經出現，這是否是未來中國的一種新的治理模式，值得各界觀察。 / The rapid growth of social welfare has worsened financial difficulties of capitalist countries in general, so whatever principle that may help assure the realization of related polices without increasing fiscal expenditures becomes desirable. Thus the managerial pattern based on funds has been widely taken into account and adopted. The features of such “fund-states” pattern are as follows. First, the funds are fiscally independent of governmental budgets. Second, legally the government and the funds are relatively equal. Third, the funds must be under management and supervision of independent agencies established by the government. Fourth, while the funds are given a status of public corporation, its relationship with the government is based on laws. Such managerial pattern “one arm-swinging distance” can mostly benefit from the market competitive system properly introduced to maintain efficiency and effectiveness. In China, the problem of medicare funds is hard to solve due to the incompletion of laws. Nevertheless, the “fund-states” pattern has come into bud. Whether it will emerge as a brand-new managerial pattern of China is worth more observation. Keywords: governance；public management；market economics；medical reform；fund-states

摘要 論文首先透過民族史與民族誌的書寫方式，將基金會觀光產業所寄存的pasikau部落時空舞台搭建起來。另外，透過部落發展觀光產業的相關討論回顧，以期了解民族文化觀光產業推動研究議題的困境，並找尋突破可能的定位。因此，筆者選擇透過Bourdieu理論的視域，將既具體又抽象、主客觀交融的「文化」，析離成【（慣習）（資本）】＋場域＝日常生活言行（實踐）的生活實踐公式來理解，以期將行動者的能動性與場域兼具束縛與自由的本質展現。 接下來，筆者透過理論概念與田野資料的交錯置放，藉此產生對話，使資料產生概念層次的意義，亦使論述不至真空。資本如同場域中的入場券，因此，筆者先就「資源」與「資本」間的關係做討論。透過基金會民族文化觀光產業的例子，了解從「資源」到「資本」其間辨識、篩選與應用的界定轉換歷程。換句話說，資本因場域的認可而產生兌換價值，因此，場域成為筆者接下來的論述重點。 筆者藉由基金會觀光場域中「布農部落」、「部落劇場」、「布農之旅」三種實踐活動，展現場域多樣的動態面貌。透過「布農部落」入園動線與原住民主題風格營造的鋪陳，將基金會觀光場域的風格基調呈現，同時也反映出基金會以「非原住民」做為的遊客身分邊界。「部落劇場」的展演解說，帶出整個觀光場域的文化消費主題核心。而觀光場域中的內容與風格呈現，則是基金會與遊客的共構關係中形塑而來。而「布農之旅」是「部落劇場」故事的延伸，亦是「布農部落」空間的拓展。透過這三個相互呼應的實踐活動，希冀讓遊客產生再次投入觀光場域的渴望。 而承載資本在場域中的實踐的行動主角，在本文的例子即是基金會。其透過將自身獨具的文化資本，在場域中進行積極的資本轉換，以兌換成經濟資本。然而，基金會多元（源）的人力組成，雖透過組織架構與理念（部落文化重建），生成了內部的社會資本。但來自於社會場域不同位置的多元人力，卻在基金會內部再現了社會場域關係位置的距離與慣性。因此，基金會出現「形式」（象徵）取向與「功能」（實用）取向的美學品味衝突，產生「文化資本」與「經濟資本」孰輕孰重的內部角力。基金會外顯的觀光場域經營策略展現，正是此角力動態平衡的一個凝相。至此，筆者已透過Bourdieu的實踐理論，檢視了基金會在觀光場域的實踐邏輯。接著，筆者有意再將視野拉回到pasikau部落的相關研究以及台灣民族文化觀光產業的發展脈絡，重新回顧省視Bourdieu理論下的文化資本與實踐邏輯在此個案的意義所在。

本論文是研究在台灣開放型的股票型共同基金，並且利用資料採掘的技術加以分析並分類所謂優異績效及劣質績效的共同基金。我們使用分類決策樹(Classification and regression trees, CART)的方法來進行共同基金績效的分析及預測。本篇論文，我們採用了13種重要的變數來建構樹並找出優質基金，此外更驗證CART對於我們進行台灣共同基金績效的分析是穩定且有效的。最後，我們利用cross-validation test進行兩個月的基金的選取及持有，並各透過一個月的持有來視其績效。我們特別發現利用此方法選取出來的基金，其平均績效將優於所有共同基金的績效，並且其中有一個月的平均報酬率高於僅投資於高科技股的共同基金平均報酬率。 / We study the performance of open-end mutual funds in Taiwan, and use the technology of data mining to classify the outperforming and underperforming mutual funds. Classification and regression tree (CART) is the method to evaluate and predict the performance of mutual funds. In this paper, we utilize thirteen crucial factors to build trees and pick mutual funds by its classification rules. Moreover, we will verify precision of each tree. We find that the CART is a good tool to evaluate the performance of mutual funds in Taiwan because of its stability in outperforming - underperforming spreads. Moreover, we use two kinds of learning sample to build two trees and pick mutual funds to compose of them into the fund of funds. The results are better than the total average returns monthly, and one of them is better than the mutual funds that its investing target is high-tech stocks.

台灣投資人在股票市場的投資行為有明顯的短線進出現象，且在股票有獲利時就急著把手上的獲利實現，若是股票呈現虧損，則一直不肯實現損失，此行為即是行為財務學中所探討的「處分效果」。個人在投信公司任職期間發現，基金投資人的投資行為也出現相同的現象，為了驗證處分效果是否亦存在於基金投資人身上，個人以匯豐中華投信系列基金之投資人為研究對象，並選定發行日期在2000年以前並存續至今的七檔基金為研究的目標基金，欲驗證處分效果是否存在於基金投資人的投資行為中。 在以整體投資人為研究對象下發現，台灣的共同基金投資人存在處分效果，且當持有期間以月份為單位時的處分效果比以半年為單位時的處分效果強烈。若將基金投資人依屬性分類為自然人與法人，分別探討其處分效果發現，自然人與法人均存在處分效果。 一般認為，法人比自然人有更專業的投資評斷與投資理性，處分行為應該比自然人輕微，但實證結果發現，自然人的處分效果只有在持有間以月份為單位時達到顯著；持有期間以半年為單位時則沒有觀察到處分現象。法人則不論持有期間的單位為月份或是半年，均存在處分效果。原因可能是法人在季底或是月底，有將會計帳上的壓力，導致法人所表現出的處分效果高於自然人的處分效果。 市場行情可能也會影響處分效果，本研究依據台灣經濟新報資料庫的台灣大盤加權指數資料，將2000年至2003年6月定義為空頭，2003年7月至2006年底定義為多頭，進行處分效果的驗證。研究結果顯示，基金投資人在多頭時期的處分效果比空頭時期的處分效果顯著，推究其原因可能是投資人在空頭時對獲利的基金會想立即實現獲利，把賺到的前穩當的放到口袋。在多頭時則因為心裡預期手中虧損的基金一定會有獲利的一天，而不願損失將兌現。 投資人應該對自己的投資組合設定停損與停利點，以減少因為心理因素驅動的投資行為減少投資獲利。