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題名 基金績效持續性與投資人行為分析
An Analysis of Performance Persistence and Investor Behavior
作者 傅宗皓
Fu, Tsung-Hao
貢獻者 陳鴻毅
Chen, Hong-Yi
傅宗皓
Fu, Tsung-Hao
關鍵詞 共同基金
績效持續性
基金流入
Mutual fund
Performance persistence
Fund flow
日期 2025
上傳時間 4-Aug-2025 14:07:03 (UTC+8)
摘要 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.
參考文獻 Barber, B. M., Odean, T., & Zheng, L. (2005). Out of sight, out of mind: The effects of expenses on mutual-fund flows. Review of Financial Studies, 18(2), 539–572. Busse, J. A., Goyal, A., & Wahal, S. (2010). Performance and persistence in institutional investment management. Journal of Finance, 65(2), 765–790. Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57–82. Cremers, M., & Petajisto, A. (2009). How active is your fund manager? A new measure that predicts performance. Review of Financial Studies, 22(9), 3329–3365. Elton, E. J., Gruber, M. J., & Blake, C. R. (1996). The effect of mutual fund expenses on after-tax returns. Journal of Finance, 51(2), 357–368. Evans, R. B., & Fahlenbrach, R. (2012). Institutional investors and mutual-fund governance: Evidence from retail-shareholder voting. Review of Financial Studies, 25(12), 3530–3572. Fama, E. F., & French, K. R. (2010). Luck versus skill in the cross-section of mutual-fund returns. Journal of Finance, 65(5), 1915–1947. Ferson, W. E., & Schadt, R. W. (1996). Measuring fund strategy and performance in changing economic conditions. Journal of Finance, 51(2), 425–461. Gil-Bazo, J., & Ruiz-Verdú, P. (2009). The relation between price and performance in the mutual-fund industry. Journal of Finance, 64(5), 2153–2183. Grinblatt, M., & Titman, S. (1992). The persistence of mutual-fund performance. Journal of Finance, 47(5), 1977–1984. Hendricks, D., Patel, J., & Zeckhauser, R. (1993). Hot hands in mutual funds: Short-run persistence of relative performance, 1974–1988. Journal of Finance, 48(1), 93–130. Lewellen, J., Nagel, S., & Shanken, J. (2010). A skeptical appraisal of asset pricing tests. Journal of Financial Economics, 96(2), 175–194. Pástor, L., & Stambaugh, R. F. (2012). On the size of the active-management industry. Journal of Finance, 67(6), 2667–2717. Roll, R. (1977). A critique of the asset pricing theory's tests. Part I: On past and potential testability of the theory. Journal of Financial Economics, 4(2), 129–176. Sirri, E. R., & Tufano, P. (1998). Costly search and mutual-fund flows. Journal of Finance, 53(5), 1589–1622.
描述 碩士
國立政治大學
財務管理學系
112357023
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112357023
資料類型 thesis
dc.contributor.advisor 陳鴻毅zh_TW
dc.contributor.advisor Chen, Hong-Yien_US
dc.contributor.author (Authors) 傅宗皓zh_TW
dc.contributor.author (Authors) Fu, Tsung-Haoen_US
dc.creator (作者) 傅宗皓zh_TW
dc.creator (作者) Fu, Tsung-Haoen_US
dc.date (日期) 2025en_US
dc.date.accessioned 4-Aug-2025 14:07:03 (UTC+8)-
dc.date.available 4-Aug-2025 14:07:03 (UTC+8)-
dc.date.issued (上傳時間) 4-Aug-2025 14:07:03 (UTC+8)-
dc.identifier (Other Identifiers) G0112357023en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/158504-
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) 112357023zh_TW
dc.description.abstract (摘要) 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。zh_TW
dc.description.abstract (摘要) 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.en_US
dc.description.tableofcontents 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 38zh_TW
dc.format.extent 1694707 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112357023en_US
dc.subject (關鍵詞) 共同基金zh_TW
dc.subject (關鍵詞) 績效持續性zh_TW
dc.subject (關鍵詞) 基金流入zh_TW
dc.subject (關鍵詞) Mutual funden_US
dc.subject (關鍵詞) Performance persistenceen_US
dc.subject (關鍵詞) Fund flowen_US
dc.title (題名) 基金績效持續性與投資人行為分析zh_TW
dc.title (題名) An Analysis of Performance Persistence and Investor Behavioren_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Barber, B. M., Odean, T., & Zheng, L. (2005). Out of sight, out of mind: The effects of expenses on mutual-fund flows. Review of Financial Studies, 18(2), 539–572. Busse, J. A., Goyal, A., & Wahal, S. (2010). Performance and persistence in institutional investment management. Journal of Finance, 65(2), 765–790. Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57–82. Cremers, M., & Petajisto, A. (2009). How active is your fund manager? A new measure that predicts performance. Review of Financial Studies, 22(9), 3329–3365. Elton, E. J., Gruber, M. J., & Blake, C. R. (1996). The effect of mutual fund expenses on after-tax returns. Journal of Finance, 51(2), 357–368. Evans, R. B., & Fahlenbrach, R. (2012). Institutional investors and mutual-fund governance: Evidence from retail-shareholder voting. Review of Financial Studies, 25(12), 3530–3572. Fama, E. F., & French, K. R. (2010). Luck versus skill in the cross-section of mutual-fund returns. Journal of Finance, 65(5), 1915–1947. Ferson, W. E., & Schadt, R. W. (1996). Measuring fund strategy and performance in changing economic conditions. Journal of Finance, 51(2), 425–461. Gil-Bazo, J., & Ruiz-Verdú, P. (2009). The relation between price and performance in the mutual-fund industry. Journal of Finance, 64(5), 2153–2183. Grinblatt, M., & Titman, S. (1992). The persistence of mutual-fund performance. Journal of Finance, 47(5), 1977–1984. Hendricks, D., Patel, J., & Zeckhauser, R. (1993). Hot hands in mutual funds: Short-run persistence of relative performance, 1974–1988. Journal of Finance, 48(1), 93–130. Lewellen, J., Nagel, S., & Shanken, J. (2010). A skeptical appraisal of asset pricing tests. Journal of Financial Economics, 96(2), 175–194. Pástor, L., & Stambaugh, R. F. (2012). On the size of the active-management industry. Journal of Finance, 67(6), 2667–2717. Roll, R. (1977). A critique of the asset pricing theory's tests. Part I: On past and potential testability of the theory. Journal of Financial Economics, 4(2), 129–176. Sirri, E. R., & Tufano, P. (1998). Costly search and mutual-fund flows. Journal of Finance, 53(5), 1589–1622.zh_TW