本研究檢驗共同基金的廣告和績效，對於基金流入量的影響是否具有遞延效果存在。此外，更進一步觀察，基金廣告和績效之間是否對基金流入量具有交互作用存在。再根據此實證結果頗析廣告、績效和基金流入量之間的關係，進一步了解投資人的投資行為。實證結果顯示，共同基金的廣告對於基金流入量具有正向顯著的影響，此影響結果具有遞延的現象。並從實證結果發現，基金廣告和績效之間對於基金流量具有交互效果存在，此結果更進一步指出，廣告扮演之角色為傳達績效訊息的觸媒角色，以吸引投資人進行投資；而績效是一個建立廣告信度的主要因素。

This research examines the duration effect and interaction effect of advertising and performance in the mutual fund industry. And we examine these effects by using the method of ordinary least squares to know how advertising and performance influence the fund investors’ investment strategies. Our empirical study of the mutual fund industry shows that there is a duration effect between advertising and fund inflows, and this effect lags two periods. We also find that the interaction effect of advertising and performance is significant, with no significant effect for advertising. This result refers that there is a complement relationship between advertising and performance. Furthermore, it indicates that advertising likes a catalyst to convey the information about fund performance in attracting investors, and the performance is a major factor to construct advertising reliability.

I. Introduction............................5

II. Literature Review..................7
1. Effect of Performance.......7
2.Effect of Advertising............9

III. Research Model...................11
1.Hypothesis...........................11
2.Model.....................................14
3.Variables Definitions..........15
3.1 Fund inflows...................15
3.2Advertising........................16
3.3Performance....................18
3.4Control Variables............19
4.Estimation Approach.............20

IV. Data and Descriptive Statistics....23
1.Data.................................................23
2.Descriptive Statistics..................25

V.Empirical Results..............................30
1.The Duration Effect of Advertising...........30
2.The Duration Effect of Performance.......33
3.The Difference between Advertising and
performance...............................................35
4.Which Information Is More Important to
Investors.....37
5.Summaries of Results.............................39

VI. Conclusion...................................42

REFERENCES...................................44

Bain, Joe S. (1951), “Relation of Profit Rate to Industry Concentration: American Manufacturing, 1936-1940,” Quarterly Journal of Economics, 65 (3), 293-324.
Bergstresser, Daniel and James Poterba (2002), “Do After-tax Returns Affect Fund Inflows?” Journal of Financial Economics, 63 (3), 381-414.
Capon, Noel, Gavin Fitzsimons, and Roger Prince (1996), “An Individual Level Analysis of the Fund Investment Decision,” Journal of Financial Services Research, 10, 59-82.
Chih, Hsiang-Hsuan, Yu-En Lin, and Pin-Huang Chou (2007), “Performance Persistence and Smart Money Effect: Evidence from Taiwan,” Journal of Management, 24 (3), 307-330.
Chiou, Shian-Bi (1990), “The Decision Process of Trading on Fund Investors,” Theses of Theories and Practice of Financial Market.
Comanor, William S. and Thomas A. Wilson (1979), “The Effect of Advertising on Competition: A Survey,” Journal of Economic Literature, 17(2), 453-476.
Del Guercio, Diane and Paula A. Tkac (2002), “The Determinants of the Flow of Funds of Managed Portfolios: Funds vs. Pension Funds,” Journal of Financial & Quantitative Analysis, 37 (4), 523-558.
Fant, L. Franklin and Edward S. O’Neal (2000), “Temporal Changes in the Determinants of Fund Flows,” Journal of Financial Research, 23 (3), 353–371.
Goriaev, Alexei, Theo E. Nijman, and Bas J. M. Werker (2008), “Performance Information Dissemination in the Fund Industry,” Journal of Financial Markets, 11, 144-159.
Graham, Robert C. and Kristina D. Frankenberger (2000), “The Contribution of Changes in Advertising Expenditures to Earnings and Market Values,” Journal of Business Research, 50, 149-155.
Grullon, Gustavo, George Kanatas, and James P. Weston (2004), “Advertising, Breadth of Ownership, and Liquidity,” The Review of Financial Studies, 17 (2), 439-461.
Jain, Prem C. and Joanna Shuang Wu (2000), “Truth in Fund Advertising: Evidence on Future Performance and Fund Flows,” Journal of Finance, 55 (2), 937-959.
Jones, Michael A., Vance P. Lesseig, Thomas I. Smythe, and Valerie A. Taylor (2007), “Fund Advertising: Should Investors Take Notice?” Journal of Financial Services Marketing, 12 (3), 242–254.
Jones, Michael A. and Tom Smythe (2003), “The Information Content of Fund Print Advertising,” Journal of Consumer Affairs, 37 (1), 22-41
Kaldor, Nicholas (1949–1950), “The Economics of Advertising,” Review of Economic Studies, 18, 1–27.
Kempf, Alexander and Stefan Ruenzi (2006), “Status Quo Bias and the Number of Alternatives: An Empirical Illustration from the Fund Industry,” Journal of Behavioral Finance, 7 (4), 204-213.
Kempf, Alexander and Stefan Ruenzi (2008), “Family Matters: Rankings within Fund Families and Fund Inflows,” Journal of Business Finance & Accounting, 35 (1), 177-199.
Korkeamaki, Timo, Vesa Puttonen, and Tom Smythe (2007), “Advertising and Fund Asset Flows,” International Journal of Bank Marketing, 25 (7), 434-451.
Liou, Jeng-Tian (2001), “Stock Valuation of R&D expenditure on Accounting Basis,” International Journal of Accounting Studies, 33, 1-26.
Shu, Pei-Gi, Yin-Hua Yeh, and Takeshi Yamada (2002), “The Behavior of Taiwan Fund Investors—Performance and Fund Flows,” Pacific-Basin Finance Journal, 10 (May), 583-600.
Sirri, Eric R. and Peter Tufano (1998), “Costly Search and Fund Flows,” Journal of Finance, 53 (5), 1589-1622.
Smith, Keith V. (1978), “Is Fund Growth Related to Fund Performance?” Journal of Portfolio Management, Spring, 49-54.
Spitz, A. Edward (1970), “Fund Performance and Cash Inflows,” Journal of Applied Economics, 2 (2), 141-145
Tsai, Taung-Ren (1995), “The Research of Accounting Theory and Problem on Advertising Expenditure,” Theses of Department of Accounting, National Cheng-Chih University.
Yu, Chih-Hsten and Wang-Tsung Tzeng (2003), “The Spillover and Crowding-Out Effects of Funds,” Journal of Financial Studies, 11 (2), 1-38.