本研究運用Gonza′lez,Teräsvirta and van Dijk（2004, 2005）發展的緃橫平滑移轉迴歸模型進行實證分析，探究資訊比率、基金淨值、基金週轉率等基金特性是否在不同基金經理人費用變化下對基金規模的影響性產生變化。本研究之基金經理人費用以基金費用率替代之。
根據實證結果顯示，當基金費用率小於0.0786(%)時，資訊比率與基金規模呈現顯著之正向關係；當基金費用率大於0.1636(%)時，資訊比率與基金規模呈現顯著之負向關係。無論基金費用率小於0.0786(%)、介於0.0786(%)與0.1636(%)及大於0.1636(%)時，基金淨值與基金規模皆呈現顯著之正向關係，基金週轉率與基金規模皆呈現不顯著之正向關係。

This aim of study is to investigate the panel smooth transition effect associated with fund manager’s fee and mutual fund size. Utilizing the panel smooth transition regression model developed by Gonza′lez, Teräsvirta and van Dijk（2004, 2005）to figure out that information ratio, fund net asset value and turnover rate may affect mutual fund size under different fund manager’s fee. The study is to fund expense ratio substitute of Fund Manager’s Fee.
The result shows that when fund expense ratio below 0.0786 percent, there is a significant positive effect between information ratio and fund size. When fund expense ratio above 0.1636 percent, there is a significant negative effect between information ratio and fund size. No matter fund expense ratio above 0.0786 percent, between 0.0786 percent and 0.1636 percent, above 0.1636 percent, there is a significant positive effect between fund net asset value ratio and fund size. There is not significant positive effect between turnover rate and fund size.

第一章  緒論………………………………………………………………………..01
第一節　研究背景動機…………………………………………………………..01
第二節　研究目的…………………………………………………….………….05
第三節　研究架構………………………………………………………………..06
第二章　文獻探討…………………………………………………………………..07
第一節　基金規模與績效相關文獻探討………………………………………..07
第二節  基金費用率與績效相關文獻探討……………….…………………….09
第三節  基金週轉率與績效相關文獻探討……………………………………..11
第三章　研究方法…………………………………………………………………..13
第一節　研究資料………………………………………………………………..13
第二節　縱橫單根檢定…………………………………………………………..18
第三節  縱橫平滑移轉迴歸模型………………………………………………..21
第四節　縱橫平滑移轉迴歸模型的設定………………………………………..26
第四章　實證結果與分析…………………………………………………………..31
第一節　敘述統計分析…………………………………………………………..31
第二節　縱橫單根檢定…………………………………………………………..31
第三節　基金費用率對基金規模之平滑移轉效果……………………………..33

第五章　結論與建議………………………………………………………………..40
第一節　研究結論………………………………………………………………..40
第二節　研究限制與建議………………………………………………………..41
參考文獻……………………………………………………………………………..43















圖　表　目　錄
表目錄
【表1.1.1】國內基金統計資料…………………………………………………….03
【表3.1.1】選取基金明細表………………………………………………….........13
【表3.1.2】模型中各變數之定義………………………………………………….18
【表4.1.1】各變數之敘述統計分析……………………………………………….31
【表4.2.1】各變數原始序列之單根檢定………………………………………….32
【表4.3.1】基金費用率對基金規模之同質性檢定（線性檢定）……………….34
【表4.3.2】基金費用率對基金規模之轉換區間個數檢定（模型設定）……….35
【表4.3.3】各模型之檢定結果決定轉換函數…………………………………….35
【表4.3.4】門檻值與轉換速度（m=1, r=2）……………………………………..36
【表4.3.5】各基金公司所屬基金費用率區間之出現次數與比率……………….37
【表4.3.6】基金費用對基金規模之估計結果（m=1, r=2）……………………..39
【表4.3.7】基金費用對基金規模模型中解釋變數之影響（m=1, r=2）………..39





圖目錄
【圖1.1.1】研究流程圖……………………………………………………………..06
【圖3.3.1】m=1之轉換模型……………………………………………………….24
【圖3.3.2】m=2之轉換模型……………………………………………………….25

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