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題名 配息對基金流量之影響：以台灣境內固定收益基金為例
The Effects of Income Distribution on Mutual Fund Flows: Evidence from Taiwan Onshore Fixed-income Funds作者 鄭雅雯
Cheng, Ya-Wen貢獻者 陳聖賢
Chen, Sheng-Syan
鄭雅雯
Cheng, Ya-Wen關鍵詞 基金流量
配息
配息率
fund flows
income distribution
distribution yield日期 2020 上傳時間 1-Jul-2020 13:37:50 (UTC+8) 摘要 本研究主要探討國內固定收益型基金，有無配息對台灣投資人行為之影響，意即申購基金時，配息型基金是否較累積型基金更吸引資金流入，以及資金流出時，選擇配息型基金之投資人，是否較不願意贖回資金，經實證結果得出以下結論：在高收益債券型中，配息型基金並未顯著較累積型基金更吸引投資人申購。而金融資產證券化型、跨國投資固定收益一般債券型與跨國投資組合型_債券型中，配息與基金流入呈現負向關係，顯示投資人偏好申購累積型基金。而在資金流出方面實證顯示選擇配息型基金之投資人，較不願意贖回配息型基金。此外，本研究亦針對配息型基金探討配息率高低對基金流量的影響，經實證結果得出以下結論：在選擇跨國投資固定收益一般債券型與跨國投資組合型_債券型之配息型基金，高配息率越能吸引投資人進行申購；而金融資產證券化型、高收益債券型則為不顯著正向關係，由於投資標的風險較高，可能會以本金進行配息，因此即使高配息率對資金流入影響並不顯著。在資金流出方面研究顯示高配息率因素使得投資人較不願意贖回配息型基金。
This paper investigates the effects of income distribution on Taiwan onshore fixed-income fund flows. The empirical results show that in high-yield bonds type, income distribution is not significantly more attractive to investors. In asset-back securitization bonds, multinational investment fixed-income, and multinational investment bond types, income distribution is negatively related to fund inflows which means investors prefer to purchase cumulative funds. The outflows, however, show that investors who choose distribution share class funds are less willing to redeem.This paper also investigates the effects of distribution yield on Taiwan onshore fixed-income distribution share class funds. The empirical results show that in multinational investment fixed-income, and multinational investment bond types, the higher the distribution yield, the more attractive it is to investors. While in asset-back securitization bonds and high-yield bond types, high distribution yield is not significantly attractive to inflows. The possible reason is that due to the high risk of holding assets, income distribution may be paid by investors’ principal. The outflows, however, show that investors who buy higher distribution yield funds are less willing to redeem.參考文獻 中文文獻1.陳森松、黃憲彰、王南喻、張華然（2007），「檢視債券型基金績效與流量之動態關連-應用多元隨機波動模式」，企業管理學報，第74期，頁41-65。2.王南喻、陳信憲（2006），「開放式股票型基金績效與流量關係之研究-台灣地區境內基金市場實證」，企業管理學報，第69期，頁73-96。英文文獻1.Asness, C. S. (2006). The value of fundamental indexing. Institutional Investor, 40(10), 95-99.2.Barber, B., Odean, T., and Zheng, L. (2005). Out of sight, out of mind: The effects of expenses on mutual fund flows. The Journal of Business, 78(6), 2095-2120.3.Chen, Y., and Qin, N. (2017). The behavior of investor flows in corporate bond mutual funds. Management Science, 63(5), 1365-1381.4.Frino, A., and Gallagher, D. R. (2001). Tracking S&P 500 index funds. Journal of Portfolio Management, 28(1), 44-55.5.Fortin, R., and Michelson, S. (2002). Indexing versus active mutual fund Management. Journal of Financial Planning, 15(9), 82-95.6.Fulkerson, J. A., Jordan, B. D., and Riley, T. B. (2013). Return chasing in bondFunds. The Journal of Fixed Income, 22(4), 90-103.7.Goldstein, I., Jiang, H., and Ng, D. T. (2017). Investor flows and fragility in corporate bond funds. Journal of Financial Economics, 126(3), 592-613.8.Harris, L.E., Hartzmark, S.M., and Solomon, D.H. (2015). Juicing the dividendyield: Mutual funds and the demand for dividends. Journal of Financial Economics, 116(3), 433–451.9.Ippolito, R. A. (1992). Consumer reaction to measures of poor quality: Evidence from themutual fund industry. Journal of Law and Economics, 35(1), 45–70.10.Ivkovic´, Z., and Weisbenner, S. (2009). Individual investor mutual fund flows. Journal of Financial Economics, 92(2), 223–237.11.Jun, X., Li, M., and Yugang, C. (2017). Catering to behavioral demand for dividends and its potential agency issue. Pacific-Basin Finance Journal, 46, 269–291.12.Jiang, H., & Sun, Z. (2019). Reaching for dividends. Journal of Monetary Economics.13.Kjetsaa, R. (2004). Actively managed equity mutual fund performance relative to Benchmarks. American Business Review, 22(1), 102-112.14.Nenninger, S., and Rakowski, D. (2014). Time-varying flow-performance sensitivity and investor sophistication. Journal of Asset Management, 15(5), 333–345.15.Prondzinski, D.A. (2010). Passive versus active management of mutual funds: evidence from the 1995- 2008 period (Doctoral Dissertation). Retrieved from https://search.proquest.com/docview/516280447?pq-origsite=gscholar16.Sirri, E.R., and Tufano, P. (1998). Costly search and mutual fund flows. The Journal of Finance, 53(5), 1589–1622.17.Shu, P.G., Yeh, Y.H., and Yamada, T. (2002). The behavior of Taiwan mutual fund investors—performance and fund flows. Pacific-Basin Finance Journal, 10(5), 583–600.18.Zhao, X. (2005). Determinants of flows into retail bond funds. Financial Analysts Journal, 61(4), 47-59. 描述 碩士
國立政治大學
財務管理學系
107357006資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107357006 資料類型 thesis dc.contributor.advisor 陳聖賢 zh_TW dc.contributor.advisor Chen, Sheng-Syan en_US dc.contributor.author (Authors) 鄭雅雯 zh_TW dc.contributor.author (Authors) Cheng, Ya-Wen en_US dc.creator (作者) 鄭雅雯 zh_TW dc.creator (作者) Cheng, Ya-Wen en_US dc.date (日期) 2020 en_US dc.date.accessioned 1-Jul-2020 13:37:50 (UTC+8) - dc.date.available 1-Jul-2020 13:37:50 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2020 13:37:50 (UTC+8) - dc.identifier (Other Identifiers) G0107357006 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130526 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 107357006 zh_TW dc.description.abstract (摘要) 本研究主要探討國內固定收益型基金，有無配息對台灣投資人行為之影響，意即申購基金時，配息型基金是否較累積型基金更吸引資金流入，以及資金流出時，選擇配息型基金之投資人，是否較不願意贖回資金，經實證結果得出以下結論：在高收益債券型中，配息型基金並未顯著較累積型基金更吸引投資人申購。而金融資產證券化型、跨國投資固定收益一般債券型與跨國投資組合型_債券型中，配息與基金流入呈現負向關係，顯示投資人偏好申購累積型基金。而在資金流出方面實證顯示選擇配息型基金之投資人，較不願意贖回配息型基金。此外，本研究亦針對配息型基金探討配息率高低對基金流量的影響，經實證結果得出以下結論：在選擇跨國投資固定收益一般債券型與跨國投資組合型_債券型之配息型基金，高配息率越能吸引投資人進行申購；而金融資產證券化型、高收益債券型則為不顯著正向關係，由於投資標的風險較高，可能會以本金進行配息，因此即使高配息率對資金流入影響並不顯著。在資金流出方面研究顯示高配息率因素使得投資人較不願意贖回配息型基金。 zh_TW dc.description.abstract (摘要) This paper investigates the effects of income distribution on Taiwan onshore fixed-income fund flows. The empirical results show that in high-yield bonds type, income distribution is not significantly more attractive to investors. In asset-back securitization bonds, multinational investment fixed-income, and multinational investment bond types, income distribution is negatively related to fund inflows which means investors prefer to purchase cumulative funds. The outflows, however, show that investors who choose distribution share class funds are less willing to redeem.This paper also investigates the effects of distribution yield on Taiwan onshore fixed-income distribution share class funds. The empirical results show that in multinational investment fixed-income, and multinational investment bond types, the higher the distribution yield, the more attractive it is to investors. While in asset-back securitization bonds and high-yield bond types, high distribution yield is not significantly attractive to inflows. The possible reason is that due to the high risk of holding assets, income distribution may be paid by investors’ principal. The outflows, however, show that investors who buy higher distribution yield funds are less willing to redeem. en_US dc.description.tableofcontents 中文摘要iAbstractii圖 次iv表 次v第一章 緒論 1第一節 研究動機與目的 1第二節 研究架構 5第二章 文獻探討 7第一節 影響基金流量因素之股票型基金文獻回顧 7第二節 影響基金流量因素之固定收益型基金文獻回顧 10第三章 研究方法 12第一節 樣本與資料來源 12第二節 各變數定義 13壹、 應變數 13貳、 解釋變數 14參、 控制變數 15第四章 實證結果與分析 16第一節 敘述性統計分析 16第二節 迴歸實證結果分析 19壹、 有無配息對基金流量之影響 19貳、 配息型基金之配息率對基金流量之影響 27第五章 結論與建議 31第一節 結論 31壹、 有無配息對基金流量之影響 31貳、 配息型基金之配息率對基金流量之影響 32第二節 研究限制與後續建議 33參考文獻 35 zh_TW dc.format.extent 1856359 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107357006 en_US dc.subject (關鍵詞) 基金流量 zh_TW dc.subject (關鍵詞) 配息 zh_TW dc.subject (關鍵詞) 配息率 zh_TW dc.subject (關鍵詞) fund flows en_US dc.subject (關鍵詞) income distribution en_US dc.subject (關鍵詞) distribution yield en_US dc.title (題名) 配息對基金流量之影響：以台灣境內固定收益基金為例 zh_TW dc.title (題名) The Effects of Income Distribution on Mutual Fund Flows: Evidence from Taiwan Onshore Fixed-income Funds en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文文獻1.陳森松、黃憲彰、王南喻、張華然（2007），「檢視債券型基金績效與流量之動態關連-應用多元隨機波動模式」，企業管理學報，第74期，頁41-65。2.王南喻、陳信憲（2006），「開放式股票型基金績效與流量關係之研究-台灣地區境內基金市場實證」，企業管理學報，第69期，頁73-96。英文文獻1.Asness, C. S. (2006). The value of fundamental indexing. Institutional Investor, 40(10), 95-99.2.Barber, B., Odean, T., and Zheng, L. (2005). Out of sight, out of mind: The effects of expenses on mutual fund flows. The Journal of Business, 78(6), 2095-2120.3.Chen, Y., and Qin, N. (2017). The behavior of investor flows in corporate bond mutual funds. Management Science, 63(5), 1365-1381.4.Frino, A., and Gallagher, D. R. (2001). Tracking S&P 500 index funds. Journal of Portfolio Management, 28(1), 44-55.5.Fortin, R., and Michelson, S. (2002). Indexing versus active mutual fund Management. Journal of Financial Planning, 15(9), 82-95.6.Fulkerson, J. A., Jordan, B. D., and Riley, T. B. (2013). Return chasing in bondFunds. The Journal of Fixed Income, 22(4), 90-103.7.Goldstein, I., Jiang, H., and Ng, D. T. (2017). Investor flows and fragility in corporate bond funds. Journal of Financial Economics, 126(3), 592-613.8.Harris, L.E., Hartzmark, S.M., and Solomon, D.H. (2015). Juicing the dividendyield: Mutual funds and the demand for dividends. Journal of Financial Economics, 116(3), 433–451.9.Ippolito, R. A. (1992). Consumer reaction to measures of poor quality: Evidence from themutual fund industry. Journal of Law and Economics, 35(1), 45–70.10.Ivkovic´, Z., and Weisbenner, S. (2009). Individual investor mutual fund flows. Journal of Financial Economics, 92(2), 223–237.11.Jun, X., Li, M., and Yugang, C. (2017). Catering to behavioral demand for dividends and its potential agency issue. Pacific-Basin Finance Journal, 46, 269–291.12.Jiang, H., & Sun, Z. (2019). Reaching for dividends. Journal of Monetary Economics.13.Kjetsaa, R. (2004). Actively managed equity mutual fund performance relative to Benchmarks. American Business Review, 22(1), 102-112.14.Nenninger, S., and Rakowski, D. (2014). Time-varying flow-performance sensitivity and investor sophistication. Journal of Asset Management, 15(5), 333–345.15.Prondzinski, D.A. (2010). Passive versus active management of mutual funds: evidence from the 1995- 2008 period (Doctoral Dissertation). Retrieved from https://search.proquest.com/docview/516280447?pq-origsite=gscholar16.Sirri, E.R., and Tufano, P. (1998). Costly search and mutual fund flows. The Journal of Finance, 53(5), 1589–1622.17.Shu, P.G., Yeh, Y.H., and Yamada, T. (2002). The behavior of Taiwan mutual fund investors—performance and fund flows. Pacific-Basin Finance Journal, 10(5), 583–600.18.Zhao, X. (2005). Determinants of flows into retail bond funds. Financial Analysts Journal, 61(4), 47-59. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000589 en_US
