Prior research finds that mutual fund investors have adequate ability to select funds which superior performance remains persistent. Following the work of Keswani and Stolin (2008), we use a fund netflow as a proxy for investors¡¦ preference to examine whether the smart money effect exists. Furthermore, this paper differs from prior research by combining the smart money phenomenon and fund firm¡¦s marketing activities (the advertising expenditure of mutual funds). This paper generates four empirical findings. (1) Mutual funds with positive netflow subsequently have positive Carhart four-factor alpha, that is, the ¡§smart money effect¡¨ exists in Taiwanese mutual fund market. (2) The smart money effect is caused by investors¡¦ buying decisions. (3) The smart money effect is only a short-lived phenomenon. (4) Our evidence shows that advertising of funds can explain the smart money effect in Taiwanese open-end mutual fund market.

國外研究證實，由於基金績效具有持續性，則理性的投資人會以過去績效最為投資參考依據，將資金投入過去表現佳的基金，而此一投資決策應能持續創造超額報酬或風險溢酬，因此市場資金應會流向未來績效佳的基金（smart money effect)，此即為現金流量報酬預期效果且由於基金的現金流量變動代表投資人的投資決策變動，故現金流量報酬預期效果亦即為投資人對於股票型基金報酬的預測能力。 為瞭解台灣基金投資是否具有報酬預測能力（選對好基金，將資金由壞基金中抽離的決策），而此能力是否會因基金基金規模產生差異，且市場投資人可否根據此一公開資訊（上上期的現金流量）、累積資訊（累積前三期的淨現金流量）作為投資參考，並賺取超額報酬。本研究根據建構八組投資組合，包括三組不同基礎的現金流入（出）交易策略，比較各投資組合的報酬預期效果。 結果發現，台灣股票型基金投資人並不具備報酬預期能力，且常做出錯誤的決策，通常由好基金中籌離資金，喪失獲取較佳報酬的機會。而市場投資人無法藉由遞延一期的現金流量資訊獲取較佳超額報酬機會，但可藉由過去累積三期的現金流量資訊，將資金由淨現金流入金額大的基金中抽離，並投資於淨現金流出金額較大的基金，可因而獲取較佳的績效。另外，投資人對小型基金的報酬預期能力優於大型基金。

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.