過去許多文獻指出，基金的廣告支出與其績效表現顯著影響基金的流量。本文使用臺灣投信投顧公會(SITCA)的資料使本研究可以分別探討投資人申購與贖回的獨立行為，以及廣告對於投資人行為的影響。本文主要研究廣告對投資者行為的影響以及績效與基金現金流量的相關性。不同於過去文獻僅研究廣告支出對基金流量的影響，本文更進一步地探討廣告支出對基金流量的影響是否存在門檻效果。本文以Tsay (1989)所提出的時間序列自我相關門檻模型為基礎，將該方法調整為橫斷面變數門檻模型，探討廣告對基金流量的門檻效果是否存在在。本文主要的發現有：(1) 基金績效與基金流量有顯著的正向關係。 (2) 廣告對基金流量有顯著的正向影響。 (3)臺灣基金市場確實存在處分效果，投資人會贖回手中獲利的基金，但卻傾向較長時間持有虧損的基金，也發現廣告會部份增強處分效果。 (4) 廣告對基金流量確實存在門檻效果。

Previous researches find that advertising expenditure and performance can significantly influence fund flows. With a unique data from Securities Investment Trust and Consulting Association (SITCA) of Taiwan, we can use monthly data of exact purchasing amounts, redemption amounts and advertising expenditures to gain more insight into investors’ investment behavior. We examine the impact of advertising on mutual fund investors’ behavior and the performance-flow relationship. This paper differs from the existing literature, which only concerned with the average advertising effect on fund flow. We follow the procedure of Tsay (1989) time series autoregressive processes model and modify it to cross-section variables threshold model to examine whether threshold effect of advertising on fund flows exists. We generate four empirical results. (1) Performance is significantly associated with higher fund flows. (2) Advertising is significantly associated with higher fund flows. (3) Disposition effect exists in Taiwanese mutual fund market and advertising expenditure can partially enhance the disposition effect. (4) We also measure the threshold effect of advertising on fund flows.

1. Introduction……........................1
2. Literature Review……………...5
2.1 Performance-Flow Relationship and Disposition Effect..5
2.2 Effect of Advertising on Fund Flows………..8
3. Empirical Model………………………….10
3.1 Influence of Advertising and Performance……….10
3.2 The Disposition Effect Model…………………...16
3.3 The Threshold Effect Model…………………...17
4. Data and Descriptive Statistics………..20
4.1 Data…………………………………………………20
4.2 Descriptive Statistics……………………………..21
5. Empirical Results…………………….25
5.1 Influence of Advertising and Performance……25
5.2 Disposition Effect and Advertising………………..29
5.3 Threshold Effect of Advertising….........35
6. Conclusion………………………….39

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