本研究探討在臺灣共同基金市場中，投資人是否會過度依賴過期的績效資訊來挑選基金。投資人常關注基金是否有良好的累積績效，如近一、三或五年的「持有期間報酬率」。這些評量指標皆利用固定大小的樣本窗口，以致逐月變動不僅源自最新的「近期報酬」移進，亦同時來自最舊的「過期報酬」移出。因此，投資人或會混淆新舊資訊對持有期間報酬率的影響，並可能產生追逐過期績效之認知偏誤。本文以 2001 年至 2025 年臺灣境內股票型基金為樣本，檢驗近期報酬與過期報酬對基金資金流量之影響。實證結果顯示，有別於美國市場所發現的過期績效追逐現象，臺灣投資人之資金流量對新資訊較有反應，且近期報酬之正面影響在多數績效窗口下顯著高於過期報酬之負面影響。此一結果表示，臺灣投資人雖存在績效追逐行為，但整體上仍能區分新資訊與已反映於基金淨值中的舊資訊，並未對過期績效產生與新資訊同幅度之重複反應。在進一步回測分析後，臺灣市場存在一定程度之聰明錢效應。同時具備高近期績效與高資金流入之基金組合，在未來中長期窗口下可獲得顯著正向之超額報酬，且表現優於單純高績效基金組。此一結果顯示，臺灣投資人追逐近期贏家的行為，並非單純由注意力偏誤所驅動，而較可能具有一定之資訊含量與獲利基礎。臺灣投信月報與文宣雖同樣強調累積績效、排名與獎項資訊，但在資訊揭露較為標準化、資訊更新頻率較高、資訊平台較透明，以及投資人教育逐漸普及的環境下，投資人較可能偏向回應新資訊，而非落入過期績效追逐模式。綜合而言，臺灣共同基金市場中的績效追逐行為，較接近對近期資訊與可持續績效訊號之回應，而非對表面績效改善之機械性追逐。

This study examines whether investors in Taiwan mutual fund market overreact to stale fund performance when making investment decisions. Since the commonly used holding-period return metric captures cumulative performance over a fixed rolling window, it reflects not only the latest return entering the window, but also the stale return dropping out of it. Fund investors may find it difficult to disentangle the effects of new and old information on holding-period returns, potentially leading to behavioral biases in the pursuit of stale returns. Using monthly data on Taiwan-domiciled equity mutual funds from 2001 to 2025, this study finds that fund flows in Taiwan respond more strongly to recent returns than to stale returns. Although stale returns in the one-year performance window exhibit a mild negative effect, their economic magnitude is substantially smaller than the strong positive effect of recent returns. Hence, fund investors in Taiwan do engage in performance chasing. However, in contrast to the U.S. evidence, they primarily react to changes in holding-period retruns stemming from recent returns rather than stale ones. Moreover, fund portfolios with both high recent performance and high fund inflows generate positive future excess returns, suggesting potential “smart money” effect among fund investors in Taiwan. Although cumulative performance and rankings are salient in fund disclosures, content analysis reveals that investors appear to focus primarily on recent performance signals, potentially reflecting better information environment and investor education in Taiwan.

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