共同基金之績效對流量的影響- 以國內股票型共同基金為例

Abstract

本研究利用2010年 1月至2015年12月的六年境內基金樣本，並在追蹤回歸模型的套用後，主要探討基金績效對於投資人的投資決策影響。 在基金的申購量，績效對於申購是正向影響，且不論自然人占比大小與基金規模大小都不影響這個關係，顯示出投資人有績效持續性的推測，且有'winner-picking effect'的行為。在基金的贖回量，績效對於贖回也是正向影響，因為績效優於大盤或競爭者的基金會有投資人做”Profit taking”，反觀績效差的基金，基金管理公司會盡量避免揭露，且投資人會有避免產生實現損失的心態。最後，在2010年至2016年間，基金的績效對於基金淨流量為負影響，顯示出績效對於申購與贖回都是正向影響，但是贖回的金額大於申購，導致績效與淨流量產生負相關，資金正在流出該市場。 另外，本文為了探討自然人與法人投資人的投資習性，以自然人占比做分類，得到以下實證結論: 1.不論自然人占比，績效對於申購量、贖回量與淨流入的影響都為正向。 2.自然人占比少的基金，管理費有顯著負相關，自然人較多的基金卻無顯著影響。 3.自然人占比高的族群，基金家族規模對於贖回量有顯著正向影響。 最後，本文再以規模作為分類，得到以下結論，手續費、基金家族規模、基金公司的市佔率、投信的基金數量在規模大的基金中，對於淨流出沒有顯著影響，但在規模小的基金中，顯著影響淨流出。

The focus of this research is on the behavior of mutual funds’ investors who invested in the domestic equity fund in Taiwan. The result shows that the investors will purchase more well-performance fund. It means that investors who purchased the domestic equity funds in Taiwan believe that the performance of fund is continuous and there is winner-picking effect in this market. The relationship between funds’ performance and flows is positive. It’s because investors always take profit when the performance is well and wait for good performance when it under-performs. Also, asset management company always cover up bad-performed funds and hope investors will ignore it. For the funds’ net inflow, the relationship between it and performance is negative which shows that this industry was facing outflow during this period. Whether natural and institutional investors have different investment strategies is included in this research. The following are the results, 1.No matter what’s the ratio of natural investors to funds’ size, the influence of performance to purchase, redemption and inflows is positive. 2.There is significantly negative relationship between the management fee and inflows when the fund’s natural beneficiaries are higher than average. 3.There is significantly positive relationship between fund family’s size and inflows when the fund’s natural beneficiaries are higher than average. If separating funds to two group by their size, we can find that the fees, size of fund family, market share of fund family and the amount of fund in the fund family have significant positive impact on inflows in smaller size funds. However, there isn’t significant influence on inflows in larger size funds.