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| 研究生： |
傅宗皓 Fu, Tsung-Hao |
|---|---|
| 論文名稱： |
基金績效持續性與投資人行為分析 An Analysis of Performance Persistence and Investor Behavior |
| 指導教授： |
陳鴻毅
Chen, Hong-Yi |
| 口試委員: |
陳佰弦
Chen, Bai-Sian 湛可南 Chan, Konan |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2025 |
| 畢業學年度： | 113 |
| 語文別： | 英文 |
| 論文頁數： | 38 |
| 中文關鍵詞： | 共同基金 、績效持續性 、基金流入 |
| 外文關鍵詞： | Mutual fund, Performance persistence, Fund flow |
| 相關次數： | 點閱：36 下載：18 |
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本文旨在探討美國共同基金市場是否存在績效的持續性，透過西元2000年至2024年月資料，利用基金月份層級和個別基金層級檢測績效持續性，發現有部分共同基金存在顯著的績效持續性。後續進一步挖掘造成績效持續性的因子，發現整體費用率、12b-1 行銷費與經理人管理費可以解釋此績效持續性。接著以此三項特徵作為篩選基金的指標進行回溯測試，發現此方法可以帶來顯著高於股市大盤表現的績效。此外，本文也探討具有績效持續性的基金是否能帶來顯著的基金流入。結果表明，投資人更加關注中、長期的績效持續性，而基金當期表現也是投資人投資基金的重要參考。
This study investigates performance persistence in the U.S. mutual fund market using monthly data from 2000 to 2024 at both the fund-month and fund levels. The analysis identifies a subset of mutual funds exhibiting statistically significant persistence in returns, and further reveals that key cost-related attributes—including total expense ratios, 12b-1 marketing fees, and management fees—help explain this persistence. A backtested fund selection strategy based on these characteristics consistently outperforms the broad market index, demonstrating their effectiveness as practical screening tools. Moreover, the study examines the relationship between performance persistence and investor fund flows, finding that investors are more responsive to medium- and long-term performance persistence, while recent performance also plays a significant role in shaping investment decisions.
1. Introduction 1
2. Literature Review 3
2.1 Performance Persistency 3
2.2 Critique of traditional asset pricing theory 4
2.3 Objectives, Fee Structure, and Trading Behavior 5
2.4 Research Motivation 7
2.5 Hypothesis Development 7
3 Data & Methodology 9
3.1 Data 9
3.2 Variables 10
3.3 Methodology 11
3.3.1 Measurement of Performance Persistence 11
3.3.2 Determinants of Performance Persistence 12
3.3.3 Strategy Backtesting 14
3.3.4 Impact of Persistence on Fund Flows 15
4. Empirical Results 17
4.1 Performance Persistency 17
4.1.1 Test for Performance Persistency 17
4.1.2 Differences Across Degrees of Performance Persistency 17
4.1.3 Fund Objectives 19
4.2 Factors of Persistency 20
4.3 Performance Prediction 21
4.4 Fund Flows 22
5. Conclusion 23
6. Future Research 24
References 25
Appendix 38
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