董事會結構與共同基金績效之關聯性研究

Abstract

本文之目的在於探討共同基金之董事會成員結構，與其基金之績效表現之相關性，以董事會高齡成員比例、董事會規模、獨立性、董事監理之基金數量等董事會結構變數，分析其與共同基金之風險調整後收益、投資類型調整後收益、費用比率以及經理人之更換之關聯性。研究樣本選擇2001年最大之35個基金家族，於2008以及2009兩年間於CRSP以及SEC資料庫之基金資料，並以最小平方法進行迴歸分析。本文研究發現，董事會高齡成員比例與投資類型調整後收益有著顯著之負向關係，同時與董事會之費用比例呈顯著之正向關係，此結果顯示高齡之董事會的確會使董事會之運作效率降低。本文同時發現董事會之獨立性與基金之表現有著負向之關係，表示獨立董事比例之提高同時也會使其需支付給獨立董事之報酬提高，提升其費用比率使其基金收益不佳。經理人之更換則主要與前一年度之基金收益負向相關，且迴歸結果也指出規模較大、任期較長且獨立董事比例較高之董事會較易去做出更換經理人之舉動。

The study examines the relations between board structure and the performance of mutual funds. By analyzing the fund data in 35 U.S fund families in 2008 and 2009, we find that fund whose board contains a higher percentage of older directors is more likely to have lower future objective adjusted returns and higher expense ratios. We also find that funds with higher percentage of independent directors have lower future performance. In the analysis of manager turnover, we find that a fund tends to replace its manager when it performed badly last year, and that a board with a higher percentage of independent directors and a larger board also more likely to change its fund manager. Overall, our study provides evidence that aging directors and high board independence have a negative effect on fund performance.