基金流量波動性、獨特性風險與台灣共同基金績效：考慮全球金融風暴的衝擊

Fund Flow Volatility, Idiosyncratic Risk and Performance of Taiwan Mutual Fund: Considering the Financial Crisis

10.6697/TBPJ.201506_8(2).0002

高子荃(Tzu-Chuan Kao)；林楚雄(Chu-Hsiung Lin)；張簡彰程(Chang-Cheng Chang Chien)；韋尊仁(Tsun-Jen Wei)

基金流量波動性 ； 獨特性風險 ； 非系統風險 ； 基金績效 ； Fund Flow Volatility ； Idiosyncratic Risk ； Nonsystematic Risk ； Mutual Fund Performance

臺灣企業績效學刊

8卷2期（2015 / 06 / 01）

141 - 157

繁體中文

本文實證檢驗2007至2012年間，基金流量波動性與獨特性風險對台灣股票型基金績效的影響。實證結果顯示，在全樣本期間歷經金融風暴衝擊下，基金流量波動性越高績效越佳，隱含投資人具有處分效果，在基金績效好時短期進出頻繁、基金績效差時則觀望以對，使得基金流量波動加劇，故基金流量波動與基金績效正相關。再者，獨特性風險越高績效越佳，隱含採取積極性投資組合策略的基金能賺取風險溢酬。另外，本文亦發現在全球金融海嘯期間[2007,2008]，台灣基金市場只有具獨特性風險的大型基金能賺取風險溢酬。而在全球金融海嘯過後[2009, 2012]，投入較高的資訊蒐集成本、保有較高的現金持有、減緩換股與擇時操作頻率的小型基金，可有效提升基金績效。

This study empirical analysis the impact of fund flow volatility and idiosyncratic risk on Taiwan equity fund performance from 2007 to 2012. For full sample period including financial crisis, empirical results document a significant positive relationship between the fund flow volatility and performance. This implies that the fund investors do have disposition effect. When the performance is better the investors to trade more frequently, when the performance is poor the investors reluctant to sell, incurring violent fund flow volatility, thus between the fund flow volatility and performance have positive relationship. Furthermore empirical results document a significant positive relationship between the idiosyncratic risk and performance. This implies the fund manager adopting active portfolio strategy can gain risk premium. In addition, this study also found that during the global financial crisis [2007, 2008] the large fund with higher idiosyncratic risk can gain risk premium. After the global financial crisis [2009, 2012], for the small fund, inputting the higher collect information cost, holding cash, reducing the operating frequency of securities conversion and market timing, which can effectively enhance fund performance.

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