本研究以2001年7月至2006年6月，共計60個月，發行超過24個月以上之國內股票型開放式基金，期間所涵蓋之9,132支共同基金為研究樣本。研究方法以Fama and MacBeth(1973)之橫斷面迴歸方法(cross-sectional regression)，分析基金績效衡量指標與基金各項特徵值之間的橫斷面關係。本研究以五種因子模式衡量基金績效，並且將基金特徵歸納出六大類特徵，共計14個特徵變數。研究結果發現除了基金年齡變數外，其餘基金特徵對於基金績效皆具有解釋能力，當中基金單位淨值、基金淨資產、經理人年資、投信基金數、投信規模等五個特徵，對於基金績效，更兼具了預測能力。

The study provides an analysis, FM cross-sectional regressions, of the interrelationship and impact of though list of fund-specific characteristics on performance. My fund database covers 9132 open-ended equity funds in Taiwan from July 1, 2006 to June 30, 2007. I employ five factor models to evaluate their performance estimates. There are six categories fund characteristics and amount to 14 characteristics valuables in my study. The study prove if fund characteristics are capable of predicting and explaining performance. The result show that 13 characteristics valuable are capable of explaining work except fund age valuable. Besides, in 13 characteristics, the five valuables: Net asset value, total net asset, manager’s seniority, the numbers of fund in mutual fund company, the total net asset of mutual fund company, are capable of predicting work.

目  錄
誌  謝	I
中文摘要	II
ABSTRACT	III
目  錄	IV
表 目 次	V
圖 目 次	VI
第壹章 緒 論	1
第一節 研究背景與動機	1
第二節 研究目的	5
第三節 研究架構	6
第貳章 文獻探討	8
第一節 基金經理人擇股、擇時相關文獻探討	8
第二節 影響基金績效相關文獻結論不一之因素之探討	12
第三節 因子模式相關文獻探討	15
第四節 小結	18
第參章 研究方法	19
第一節 研究資料與處理	19
第二節 衡量基金績效的因子模式	21
第三節 基金特徵與經理人屬性	24
第四節 分析基金績效與各特徵變數關係的模式	29
第肆章 研究結果與分析	31
第ㄧ節 因子溢酬	31
第二節 因子模式	34
第三節 基金績效估計值(因變數)之敘述統計	38
第四節 基金特徵(自變數)之敘述統計	41
第五節 基金績效與基金特徵間的橫斷面關係	48
第伍章 結論	54
參考文獻	58

 
表 目 次
表1.本研究選取樣本之分年與分類型統計表：	20
表2.本研究參與討論之基金特徵變數的符號與定義	28
表3.因子攸關溢酬(%)之敘述統計及因子間相關係數：2001年7月-2006年6月(60個月)	33
表4.單因子模式、三因子模式、四因子模式之估計與檢定	36
表5. 基金績效估計值(因變數)之敘述統計及相關係數：2001年7月-2006年6月	39
表6.基金特徵敘述統計與相關係數2001年7月-2006年6月	44
表7.各基金特徵變數間相關係數	47
表8.14個基金特徵變數與5個基金績效估計值之FM橫斷面迴歸係數的平均數與檢定結果：2001年7月-2006年6月全部樣本基金	52

 
圖 目 次
圖1. 本研究架構圖………………………………………………7

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