本研究主要在探討投資流程之行為模式對股票型基金績效之影響，研究內容包括探討拜訪上市公司、下單積極度、下單集中度、及停損機制與基金投資績效之關係。 研究發現：（1）國內及外資券商公布評等報告前，皆有資訊事先洩漏之情況；法人說明會雖具有資訊內涵，但其資訊內涵於見報日即反應在股價上，投信公司透過拜訪上市櫃公司取得第一手資訊，才是提升基金績效之有效方法。（2）高下單積極度將對個股股價產生價格衝擊，並產生買進價格偏高及賣出價格偏低之劣勢，均不利於基金績效表現。（3）每年微幅差距之交易成本，經過複利計算，累積多年後之差異程度將非常驚人，投信公司應致力於提升下單集中度、節省交易成本，間接提升基金投資報酬率。（4）停損機制對基金績效有正面之影響，為減少經理人產生錯置效應，投信公司應確實執行停損機制，避免投資損失擴大。 依據研究結果，提出建議如下：（1）在資訊不對稱的環境下，投資人無法知悉基金經理人之投資操作，因此隱藏著基金經理人的道德危險，主管機關應善盡監督管理之責，以確保投資人權益。（2）投信公司及基金經理人應勤於拜訪上市櫃公司、謹慎訂定股票買賣價格區間、致力於節省投資交易成本、及落實損失檢討機制以提升投資績效。（3）投資人申購基金除了參考以往投資績效外，也應將基金投資交易成本高低列為參考之依據，避免基金投資交易成本過高侵蝕獲利。 / This study examines the behavior of equity funds in relation to the investment process, Include visits to companies, actively traded stock level, the concentration of stock trading, and stop-loss mechanism of the effect on fund performance. This study found that: domestic and foreign brokerages, before reporting their stock recommendations, usually leak information in advance. Although investor conferences have the information content, but its information content lies in the newspapers on the day of reaction in the stock price. Securities Investment Trust, to visit the company's way to obtain first-hand information to effectively improve the investment performance of equity funds; a high degree of active stock trading affects the stock price by resulting in a high purchase price and low selling price, which is not conducive to equity fund performance; As a result of the gap between the cost of each transaction and the effect of compound interest, there is a high degree of difference after many years. As such, securities investment trust companies should strive to enhance the concentration of trading to reduce transaction costs, thereby increasing the investment return of equity funds; and as stop-loss mechanisms have a positive effect on the performance of equity funds, securities investment trust companies should implement stop-loss mechanisms to avoid loss of the expansion. Based on the results of this study, the recommendations include: in the context of asymmetric information, investors have no knowledge of how the fund manager may conduct investment operations; therefore, regulatory authorities should take on the responsibility of protecting the interests of investors; securities investment trust companies and fund managers should be prudent when setting a stock trading price range to decrease investment transaction costs and minimize losses to improve investment performance; as high transaction costs erode profits, investors should also consider the level of transaction costs, which should be listed on a reference basis, in addition to past investment performance.

本文以臺灣證交所上市的前九檔槓桿及反向指數股票型基金(LETFs)作為 樣本,根據 Charupat and Miu(2014)研究方法衡量其績效。傳統衡量指數股票 型基金(ETFs)績效的方式,為單純將基金淨值報酬對指數累積報酬做簡單迴 歸,若將此方法應用在衡量 LETFs 之績效上,由於許多影響基金淨值報酬的因素 沒被分離出來,常造成迴歸結果存在嚴重偏誤,或是難以解釋。本文是第一篇研 究國內 LETFs 績效的著作,透過在迴歸式中納入複利效果、融資效果,以更精確 的方式比較分析影響 LETFs 基金淨值報酬的因素,及各 LETFs 之管理績效。本 文實證結果除了證實融資效果確實存在,也證實大部分複利效果及融資效果的理 論性質,最重要的是,顯示出追蹤上証 180 指數的三檔 LETFs 在準確複製報酬槓 桿倍數上比較傑出,而追蹤台灣 50 指數的三檔 LETFs 在基金管理效率方面有比 較優秀的表現。 / Using Leveraged and Inverse Exchange-Traded Funds (LETF) listed in the Taiwan Stock Exchange, this thesis evaluates the performance of these LETFs based on the methodology proposed by Charupat and Miu (2014). The traditional approach of performance evaluation of ETFs is to regress the fund’s net asset value (NAV) returns on the underlying index’s returns. However, such an approach fails to account for important factors, such as compounding and financing effects, that affect the NAV of the LETFs, and unavoidably leads to serious estimation biases. This is the first thesis which evaluates the performance of LETFs listed in the Taiwan Stock Exchange. By considering compounded effect and financing effect in the regression model, the proposed method is more precise and appropriate in disentangling factors that affect the performance of the LETFs. Our empirical evidence shows how compounding effect, financing costs, and management factors influence LETFs’ tracking errors. Most of all, the three LETFs tracking the SSE180 index have the best tracking ability of the underlying asset return, while the LETFs tracking the FTSE TWSE Taiwan 50 index have the best management performance among all LETFs examined in this these.

從投資組合理論與效率市場假說來看，影響投資績效之主要因素為資產配置而非選股或擇時能力，相關之實証亦發現主動式投資策略並無法獲得持續優於大盤的報酬，因此被動式投資策略將是一較佳的選擇。自先鋒集團在1976年率先推出指數基金之後，此類指數化投資商品即呈現指數化成長。而我國亦在2003年6月30日正式推出第一檔指數股票型基金「臺灣50指數股票型基金，簡稱TTT」。 本論文以投資人的角度來分析TTT之報酬率及成交量，從追蹤誤差及溢折價來觀察基金之報酬率，研究造成追蹤誤差之主要影響因子為何與實物創造或贖回機制是否能有效發揮功用，使TTT之市價可貼進基金淨值，以免如同封閉型基金大都折價交易，而影響投資人之獲利率。此外，更進一步比較TTT與其他指數化商品之差異性以供投資人選擇投資標的時參考。 本研究發現影響追蹤誤差之因素主要為指數成份股之增刪、公眾流通係數之調整與現金股利的發放。雖然在短期下上述因素會影響基金報酬，但長期而言基金報酬與指數相當，甚或更為略高，故在衡量長期績效時臺灣50指數可做為一良好的報酬指標。而從溢折價來分析時，由於市場交易機制，使得TTT自上市以來之流動性不足，市場效率性不高，溢折價幅度較大。此點與成交量之分析結果一致，研究發現TTT之成交量並未因出現套利機會而顯著增加，投資人買賣TTT主要在於避險或投機需求。 雖然現階段我國尚未出現指數基金，但若未來有出現類似之商品時，在目前我國停徵證券交易所得稅的環境下，投資金額的大小將非決定選擇指數基金或TTT之關鍵因素，投資期間與「質」的因素才是主要關鍵。當投資期間愈長，TTT之高交易成本的影響程度將降低，其可在盤中隨時買賣及低追蹤誤差等「質」方面的優勢將提高，TTT將相對較具吸引力。而臺灣50指數期貨由於交易成本及流動性風險較高，因而投資人較不偏好操作臺灣50指數期貨。

近年來，在世界各地金融公司所謂的「指數股票型基金」已經成為主流投資標的。指數股票型基金讓投資人能夠將其資金直接投資於國外股市，同時避免匯率問題。目前，台灣投資人藉由所謂的中國指數股票型基金來直接投資中國股市。 身為中國指數股票型基金的先驅者，台灣匯豐中華證券投資信託股份有限公司於2009年夏天創造了第一恆生跨境指數股票型基金。就像其他服務業，匯豐中華必須向投資人推銷該指數股票型基金以及其他金融產品。有鑑於行銷對於資產管理公司的成敗扮演著很重要角色，因此本研究以策略行銷分析為主要研究基礎。並且，藉由公司訪談和邱志聖（2006)的四個成本分析架構(4C Analysis)，來探討台灣匯豐中華證券投資信託股份有限公司在台灣的行銷活動。所謂的4C分析包含外顯單外效益成本、資訊搜尋成本、道德危機成本及專屬陷入成本。本研究為台灣匯豐中華提供服務、媒體廣告、品牌形象及行銷策略的改善之道。 關鍵字：策略行銷、四個成本分斯、外顯單外效益成本、資訊搜尋成本、道德危機成本及專屬陷入成本、指數股票型基金 / Since the early 2000's, Exchange Traded Funds (ETFs) have become a mainstream investment product in the portfolios of financial companies across the world. In recent years, ETFs have been created to allow investors to allocate their capital in the stock market of other countries while at the same time avoiding the currency exchange problem. Now, Taiwanese people can invest in the China stock market indexes via China ETFs. A pioneer in China ETFs, HSBC Global Asset Management Taiwan created the first Heng Seng cross border ETFs in the summer of 2009. As with any service-oriented business, HSBC Taiwan must advertise and promote these new investment products. In light of the fact that marketing plays a large role in the success of asset management companies, hence this thesis adopts strategic marketing analysis as the backbone of the research process. Utilizing professional interviews and Chiu's (2006) four cost (4C) analysis, this thesis examines HSBC Global Asset Management Taiwan's marketing activities via a constructively critical lens. These four costs include external unit costs, information search costs, moral hazard costs and firm-specific costs. This thesis focuses on providing solutions for enhanced customer service, media advertising, brand image as well as marketing strategies for HSBC Taiwan. Key Words: strategic marketing, four cost structure, information search costs, moral hazard costs, firm-specific costs, exchange-traded funds