本研究以台灣 2025 年開放之每日完整持股揭露的主動式 ETF為核心情境，探討全透明揭露、注意力、行為反應、定價偏離之傳導機制。理論上，注意力屬稀缺資源：當資產的可見度因極端績效、媒體與平台曝露而升高時，投資人申贖行為可能出現U型反應：極端績效下資金流反應強烈、中間區段反應較弱的非線性反應；即使存在理論上的套利機制，實務上仍受到造市商深度不足與套利成本過高的限制，使ETF價格偏離淨值的情形無法完全消除。本研究依序檢驗四個問題： (1) 資金流是否對極端績效呈U形？ (2) 注意力(Abnormal Attention Index, AAI)是否放大上述U形？ (3) 在台灣全透明制度下，注意力(AAI)放大是否更強？ (4) 溢折價是否受注意力(AAI)驅動而不僅反映基本面。
資料方面，本文彙整台灣主動式ETF、對照之台灣與美國共同基金與美國主動式 ETF 等多市場樣本，採月度頻率；資金流以總資產規模（TNA）調整後之比例衡量，定價偏離以月末收盤價相對淨值（NAV） 的溢折價衡量；注意力(Abnormal Attention Index, AAI)以異常週轉之 z 分數為主指標，並依模型需求採用 t−1 或同期。估計均納入基金與年月雙向固定效果，標準誤採基金與月份雙向叢集，對主要變數實施 1%–99% 雙端截尾。
實證結果顯示：第一，台灣主動式ETF 子樣本呈現顯著U形資金流與績效關係（β₂>0），轉折點落在中等正報酬區間；全體混合樣本則趨於平緩。第二，注意力與績效平方的交互項顯著為正（δ₂>0），說明在高注意力月份，投資人對正負極端績效的申贖反應被放大。第三，控制樣本顯示，制度落地後台灣主動式ETF 的注意力與資金流斜率有上升跡象，而美國安慰劑樣本不具同向變動。第四，定價面上，溢折價對注意力與不流動性呈現顯著正敏感，顯示在套利彈性受限的環境下，注意力會系統性推升月末錯價；美國對照樣本邊際效果接近零。
本文之貢獻有三：其一，將注意力資產觀點延伸至主動式投資與全透明揭露的制度脈絡；其二，提供台灣制度落地後之行為與定價證據並與他國市場對照；其三，就資訊揭露頻率、造市深度與投資人教育提出可操作的政策與產業建議。整體而言，透明不必然等於理性：在高可見度與有限套利的交互條件下，注意力的變動仍可能放大短期申贖與定價偏離。

This thesis examines the transmission channel from transparency to investor attention, flow reactions, and pricing deviations in the context of Taiwan’s fully transparent active ETFs, which disclose full portfolio holdings on a daily basis since 2025. Theoretically, attention is scarce. When visibility rises due to extreme performance or media/platform exposure, flows may respond in a U-shaped manner—strong at both tails but muted around the center; under limited depth and costly arbitrage, premiums/discounts (P/D) can become more sensitive to investor attention.
Using monthly data across Taiwan active ETFs, U.S. active ETFs, and Taiwan and U.S. mutual funds, we measure flows as total net asset-adjusted percentages, pricing deviations by end-of-month price-to-NAV ratios, and attention via abnormal turnover (z-scores) with proper timing (lagged for flow models and contemporaneous for P/D models). All estimations include fund and month fixed effects with two-way clustered standard errors and 1–99% winsorization.
Four results emerge. ( i ) Taiwan active ETFs exhibit a significant U-shaped flow–performance relation with a turning point in moderate positive returns, whereas the pooled sample looks flat. ( ii ) Attention amplifies the U-shape: the interaction between attention and squared returns is positive and significant. ( iii ) Difference-in-differences and triple-difference tests indicate a steeper attention-to-flow slope for Taiwan post-reform, while a U.S. placebo shows no parallel change. ( iv ) On pricing, |P/D| loads positively on attention (and illiquidity), implying attention-driven mispricing in a setting where arbitrage is less elastic; the U.S. counterpart is near zero.
The study contributes by ( 1 ) embedding attention-asset reasoning into an active × full-transparency regime; ( 2 ) documenting behavioral and pricing outcomes in Taiwan with cross-market contrasts; and ( 3 ) offering policy and industry implications on disclosure cadence, market-making depth, and investor education. In short, transparency does not guarantee rationality; when visibility meets limited arbitrage, attention shocks can still magnify short-run flows and pricing deviations.

英文參考文獻
• Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and news on buying behavior of individual and institutional investors. Review of Financial Studies, 21(2), 785–818.
• Barber, B. M., Lee, Y.-T., Liu, Y.-J., & Odean, T. (2009). Just how much do individual investors lose by trading? Review of Financial Studies, 22(2), 609–632.
• Barber, B. M., Huang, X., Odean, T., & Schwarz, C. (2022). Attention-induced trading and returns: Evidence from Robinhood users. Journal of Finance, 77(6), 3141–3190.
• Nekrasov, A., Teoh, S. H., & Wu, S. (2022). Limited attention and financial decision making. Working paper / chapter.
• Da, Z., Engelberg, J., & Gao, P. (2011). In search of attention. Journal of Finance, 66(5), 1461–1499.
• Frazzini, A., & Lamont, O. A. (2008). Dumb money: Mutual fund flows and the cross-section of stock returns. Journal of Financial Economics, 88(2), 299–322.
• Huang, D., Nair, V., & Schwarz, C. (2025). Active ETFs as attention assets: Retail trading meets managed funds. (Working paper).
• Li, J., & Yu, J. (2012). Investor attention, psychological anchors, and stock return predictability. Journal of Financial Economics, 104(2), 401–419.
• Mackintosh, P. (2017). It’s all about active ETFs. Journal of Index Investing, 7(4), 6–15.
• Madhavan, A. N. (2016). Exchange-traded funds and the new dynamics of investing. Oxford University Press.
• Meziani, A. S. (2015). Active exchange-traded funds: Are we there yet? Journal of Index Investing, 6(2), 86–98.
• Pan, K., & Zeng, Y. (2019). ETF arbitrage under liquidity mismatch. Journal of Financial Economics, 134(3), 518–548.
• Peng, L., & Xiong, W. (2006). Investor attention, overconfidence and category learning. Journal of Financial Economics, 80(3), 563–602.
• Rompotis, G. G. (2011). The performance of actively managed exchange-traded funds. Journal of Index Investing, 1(4), 53–65.
• Schizas, P. (2014). Active ETFs and their performance vis-à-vis passive ETFs, mutual funds, and hedge funds. Journal of Wealth Management, 17(3), 84–98.
• Sherrill, D. E., & Upton, K. (2018). Actively managed ETFs vs actively managed mutual funds. Managerial Finance, 44(3), 303–325.
• Shleifer, A., & Vishny, R. W. (1997). The limits of arbitrage. Journal of Finance, 52(1), 35–55.
• Sirri, E. R., & Tufano, P. (1998). Costly search and mutual fund flows. Journal of Finance, 53(5), 1589–1622.
• Chen, H.-L. (2024). Active mutual funds and their passive ETF investments. Journal of Financial Research, 47, 367–399.

中文參考文獻
• 陳怡婷（2014），〈短期下投資人注意力與心理定錨效應—以臺灣股票市場為例〉。（碩士論文，國立政治大學)。
• 蔡晉昇（2025），〈ETF是否由市場注意力驅動–以臺灣股市為例〉，（碩士論文，國立臺灣大學）。
• 楊惠婷（2024），〈投資人關注與台灣指數股票型基金報酬關聯性之研究〉，（碩士論文，逢甲大學）。
• 謝宏義（2024），〈臺灣廣基型ETF與專業化ETF表現比較〉，（碩士論文，國立中央大學）。
• 王俞（2023），〈台灣ETF溢價現象與投資人情緒〉，（碩士論文，國立中山大學）。
• 童宥舜（2021），〈投資人情緒與槓反型ETF報酬背離現象之關係〉，（碩士論文，國立陽明交通大學）。
• 臺灣證券交易所（2024），〈主動式ETF國際趨勢：市場發展、政策演進與投資人行為轉型全覽〉。