Estimating the Incentives and Sensitivities in Taiwan Mutual Funds: An Application of the Generalized Maximum Entropy Approach

台灣共同基金誘因與敏感度之估計：一般化極大熵之運用

10.30166/PPMR.200601.0002

邱魏頌正(Song-Zan Chiou-Wei)

誘因 ； 基金支出與價格彈性 ； AIDS模式 ； GME ； Incentives ； Fund expenditure and price elasticities ； Almost ideal demand system ； Generalized maximum entropy

Pan-Pacific Management Review

9卷1期（2006 / 01 / 01）

25 - 52

英文

本文擴展並補充Berkowitz及Kotowitz(1993)之研究架構，探討證券基金之敏感度與基金經理人之誘因。研究中運用近理想需求體系(AIDS)及一般化極大熵方法(GME)估計台灣六種基金類目之分配方程式。觀察樣本為2001年2月至2004年2月之月資料。實證結果顯示投資者對預算支出及價格之變動具高度敏感性，而支出之增加對資產分配支出有正面影響。另外，正向誘因亦提供台灣經理人採用資產基準體制之合理解釋，但負向誘因則意味中小型及一般證券基金應採用價格基準體制。

This paper examines the sensitivities of category equity funds and the incentives offered to fund managers when their remuneration is based upon the market value of the assets they manage. An almost ideal demand system model is applied as a framework to analyze all categories with different risk-return profiles, and a generalized maximum entropy approach is employed to empirically estimate the share equations for six types of category equity funds using times series data from Taiwan. Empirical evidence shows that investors are highly sensitive to the influence of changes in budget expenditure and prices, and an increase in expenditure is expected to have a positive impact on asset allocation expenditure. The relatively positive incentives also help to explain the adoption of the asset-based scheme.

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