臺灣地區共同基金投入擁擠效率

Abstract

本研究主要以資料包絡分析法(DEA)運用Tone and Sahoo (2004)發表的擁擠效率模型探討臺灣地區共同基金績效的表現。縱橫斷面資料期間從2005年至2014年，總共214檔臺灣地區發行的共同基金。我們選擇風險值(Value at Risk)、手續費率、交易稅率、經理費率、保管費率、其他費用率當作投入變數，年度報酬為產出變數。最後我們以Tobit迴歸探討基金特性(基金成立年限、當年度更換經理人次數)與經理人特性(經理人同時操盤複數基金、女性經理人、經理人操盤經驗、經理人具有國外學歷)，結果顯示平均而言高達90.7%的基金具有投入擁擠的情況而國內貨幣市場型基金與固定收益型基金為效率表現最好的基金，為唯二效率高達0.9以上的基金類型。在基金與基金經理人部分發現女性基金經理人與經理人的操盤經驗對基金擁擠效率有顯著正向影響，而具有國外學歷的基金經理人與當年度更換經理人次數對基金擁擠效率具有顯著負向影響。

This research applies congestion model by Tone and Sahoo (2004) to evaluate the performance of mutual funds in Taiwan. The panel dataset contains 241 onshore mutual funds in Taiwan from 2005 to 2014. We choose VaR, front-end load Fee, tax, Management Fee, Custodian Fee, others Fee as our input variables, and the return of fund as the output variable. The age of fund, gender, foreign academic degree, experience of manager, frequency of changing the fund manager during a year, and whether or not a fund manager operates more than one fund at same time are the six environmental variables. Experience of a manager and a female manager help improve efficiency of congestion. A manager with a foreign academic degree and highly frequently change of the manager during a year worsens the congestion efficiency.