共同基金流量及其對基金績效的衝擊

Abstract

過去對共同基金的研究多半著重於績效評估模式探討，隨著基金流量逐日增加，投資人的申購與贖回動作對基金績效影響，也開始受到重視，因此，本文將由基金流量角度切入，探討其對基金績效影響。 由於開放型基金提供給投資人無限制的流動性，基金經理人因而得去從事大量不具資訊的流動性動機交易或改變其現金部分，在這之間有著直接或非直接的成本，如手續費、交易成本等。而且在這段時間現金流入、流出，基金經理人須做買賣股票交易如此會有較大的手續費或買賣價差所形成的交易成本相對較高。都是再證實交易費用對基金績效有很大影響，但是並沒有提到這些交易費用和基金流量的關係。所以本篇將以非預期基金流量為流動性動機交易的代理變數來驗證未預期基金流量與基金績效的關係，在Edelen(1999)是以實際的流量值為流動性動機交易的代理變數驗證與績效的關係。但非預期流量可能比預期流量更能引起基金經理人去做流動性動機交易。此想法源自Warther(1995)，Warther發現當期的非預期基金流量顯著影響市場報酬，但當期的預期基金流量對市場報酬的影響则不顯著。 Ferson & Schadt (1996)使用有條件評估方法，傳統的無條件CAPM 等模型，視公開資訊可產生超額報酬，因此，將造成評估結果的偏誤，因此本文將代表公開資訊(包括前期一個月國庫券殖利率、CRSP 股利率)的工具變數導入模型CAPM、Treynor & Mazuy 模型中,本文要驗證的是當使用有條件及無條件的方法及控制基金流量之下的績效。 其次,我們想探討基金流量對具一些基金特性績效(包括規模、銷售費用、支出比率、週轉率、現金持股比率)的影響。

Open-end mutual funds can provide unlimited liquidity to investors who wish to buy or redeem fund shares. In response to this, the fund manager must either engage in costly liquidity-motivated trading or alter its cash position. Several previous papers investigate the importance of transaction cost on fund performance. We adopt unexpected flow as a proxy for liquidity-motivated trading and try to examine the relation between unexpected flow and fund performance. Our approach is different from Edelen (1999), in which actual flow is used as a proxy for liquidity-motivated trading. We argue that it is unexpected flow rather than expected flow that induces fund managers to do liquidity-motivated trading and incur costs. Our argument arises from Warther (1995), who finds that security returns are highly correlated with concurrent unexpected cash flows into mutual funds, but not related to concurrent expected flows. Ferson and Schadt (1996), using the unconditional performance techniques can lead to performance measurement biases which arises due to time variation in managed fund risks and expected returns. To fill in this gap, this paper evaluates the performance of active managed funds using both unconditional and conditional approaches and controlling for potential influence of fund flows on fund returns. Finally, we examine if the effect of liquidity-motivated trading on fund returns will differ with fund characteristic(for example: fund size、turnover、load、expenseratio、cash)。