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.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0104357001 |
| Creators | 洪聖雄 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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