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定期定額投資比例對於基金流量敏感度之影響 = The Effect of...

國立高雄大學金融管理學系碩士班

定期定額投資比例對於基金流量敏感度之影響 = The Effect of Dollar – Cost Averaging on the Sensitivity of Fund Flows

Record Type:	Language materials, printed : monographic
Paralel Title:	The Effect of Dollar – Cost Averaging on the Sensitivity of Fund Flows
Author:	林蕙君,
Secondary Intellectual Responsibility:	國立高雄大學
Place of Publication:	[高雄市]
Published:	撰者;
Year of Publication:	2009[民98]
Description:	76面圖、表 : 30公分;
Subject:	基金績效
Subject:	Dollar-Cost Averaging ratio
Online resource:	http://handle.ncl.edu.tw/11296/ndltd/39392202664578250647
Notes:	指導教授：余歆儀
Notes:	參考書目：面
Summary:	定期定額投資法是台灣普羅大眾投資基金的主要管道之一，但過去文獻對於定期定額投資法之著墨較少，因此基金經理人應該重視定期定額投資法對於基金特性與流量既有關係之影響，以進一步制定吸引流量之投資決策。本研究主要分為兩部份，第一部份依照基金過去績效、規模、費用以及風險來分別檢驗共同基金的特性對基金流量的影響，第二部份再探討定期定額比例的差異對於基金流量的影響，並且進一步探討高定期定額投資比例之基金，會如何影響共同基金特性對基金流量的既有關係。實證結果顯示高定期定額比例之基金其基金過去績效與基金贖回金額以及淨流量的正向關係會被削弱。而高定期定額比例之基金其基金規模與基金申購金額、贖回金額以及淨流量的正向關係會被強化，且高定期定額比例之基金其基金費用與基金申購金額的負向關係會被強化，而與贖回金額的正向關係會被削弱。除此之外，高定期定額比例會強化基金風險與基金申購金額的正向關係，但會削弱基金風險與淨流量的正向關係。而基金經理人在了解上述定期定額投資法會如何影響基金特性與流量之既有關係後，就可以調整其投資組合的資產配置，並且更進一步制定吸引流量之投資決策。 Dollar-cost averaging is the main way to invest for Taiwan investors. Although the dollar-cost averaging is widespread, prior research on the relationship between fund flow and dollar-cost averaging is rare. This thesis examines whether that dollar-cost averaging influences the existent relationship between fund characteristics and fund flows. To do so, we use a unique and remarkably complete dataset, which contains the complete inflows and outflows separately, which is different from previous papers that have used estimated net flows only.This research has three parts. The first part examines whether fund characteristics, such as past performance, size, fee, and volatility affect fund flows. The second part separates the whole sample to two subsamples and investigates whether these relationships documented in the first part are different in the two subsamples. The third part uses a dummy variable to measure the level of dollar- cost averaging and documents how the ratio of dollar-cost averaging affects the relationship between fund characteristic and fund flows.The result presents that the funds with a higher dollar-cost averaging ratio will be less sensitive to past performance and fees, but more sensitive to fund size. In the other words, compared to other investors in the market, dollar-cost averaging investors prefer to invest in larger funds but the intention of chasing the winners is weaker. That is, dollar-cost averaging investors can reduce the incentive of the tournament effects of fund managers. In order to attract such investors, fund managers should enlarge the fund size to have more inflows.

定期定額投資比例對於基金流量敏感度之影響 = The Effect of Dollar – Cost Averaging on the Sensitivity of Fund Flows
林, 蕙君

定期定額投資比例對於基金流量敏感度之影響 = The Effect of Dollar – Cost Averaging on the Sensitivity of Fund Flows / 林蕙君撰 - [高雄市] : 撰者, 2009[民98]. - 76面 ; 圖、表 ; 30公分.
指導教授：余歆儀參考書目：面.
基金績效Dollar-Cost Averaging ratio

定期定額投資比例對於基金流量敏感度之影響 = The Effect of Dollar – Cost Averaging on the Sensitivity of Fund Flows
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