台灣基金投資人擇時能力研究

Abstract

本研究透過2001至2011之台灣共同基金資料研究台灣基金投資人之擇時能力。研究發現，台灣基金投資人擇時能力之年報酬相對於消極的買入持有策略獲得較差的報酬(每年1.22%)，且投資人因為追逐報酬行為或過度自信的心理因素造成投資人投資於標的為國內之基金時，獲得報酬較低。投資人投資於現金流變動較大、具有申購費用與積極管理類型的基金時隱含報酬也較低。 但是在熊市狀況下，投資人的報酬追逐行為相對於消極的買入持有策略獲得較好的報酬，且投資於現金流量變動較大或積極管理型基金皆可獲得較好的報酬。

I examine the timing ability of mutual fund investors in Taiwanese market in individual fund level. From March 2001 to February 2011, the timing ability and the return-chasing behavior of Taiwanese mutual fund investors reduce their average annual return by 1.22%. The underperformance is more observable on funds with investment target in Taiwanese market, with larger net cash flow changes, with purchase load and with more actively managed strategy. But under bear or recovery market, the investors’ return-chasing behaviors make them outperform than the one with passive strategy.