動能策略可獲得顯著異常報酬的現象，違背傳統效率市場假說論點。近年來，已有文獻指出共同基金現金流量會加強市場異常現象，共同基金的愚笨錢(dumb money)效果容易導致股票價格偏離基本價值，其研究對象為美國共同基金。本研究以台灣共同基金做為研究對象，探討共同基金現金流量對動能策略獲利的影響，相關結論如下：
1. 台灣市場存在短期動能異常現象。
2. 共同基金現金流量負向影響動能策略報酬，表示散戶傾向於追逐報酬而將資金流入績效好的基金經理人，接著基金經理人會擴增目前的股票部位，導致股票價格容易偏離基本價值。
3. 共同基金現金流量正向影響輸家股票報酬，表示共同基金面臨大量現金流入的當期容易過度投資在輸家股票，且市場存在放空限制的情況，進而推升當期的股票價格。
4. 台灣共同基金的風格投資(investing style)，較偏好高風險(高獨特風險及高市場風險)與小型公司的股票。
5. 在樂觀期間，共同基金現金流量對動能效果影響較強。表示投資人過度樂觀會促使更多的資金流入至共同基金，而迫使基金經理人將資金投資在既有股票部位上，輸家的股票價格提高。

The momentum effect is among the strongest and most pervasive return anomalies. Recently, the literature demonstrates that mutual fund flows could exacerbate stock market anomalies. Consistent with dumb money effect, mutual funds flow will cause stock prices depart from fundamental value. However, these studies only focus on mutual funds in U.S. market and our study is investigation on Taiwan mutual funds. We display that mutual fund flows can affect profitability of momentum strategies. The empirical results are as following:
1. Short-term momentum profits hold on the Taiwan Stock Market.
2. Mutual fund flows negatively impact on momentum profits. We show that retail investors directly put money to mutual funds with highly style investing. Accordingly, mutual fund managers will increase positions in existing stock holdings, and in turn stock price will depart from fundamentals.
3. Mutual fund flows positively impact on momentum profits. We exhibit that fund managers tend to overinvesting on loser stocks when mutual fund facing inflows pressure. Combined with short selling impediments, loser stock prices are relatively overpricing than winner stock prices.
4. Taiwan mutual funds are more likely favor high risk (high idiosyncratic risk) and small size stocks.
5. Mutual fund flows impact on momentum profits are stronger during optimism periods. Showing that highly mutual fund inflow when retail investors are excessive optimistic; and mutual fund managers will demand loser stocks highly.

論文審定書 i
摘要 ii
Abstract iii
目錄 iv
圖次 vi
表次 vii
第一章 緒論 1
第一節 研究動機 1
第二節 研究架構 5
第二章 文獻探討 6
第一節 動能策略 6
第二節 共同基金 9
第三節 共同基金影響股票報酬 11
第三章 假說建立 13
第四章 研究方法 16
第一節 投資組合建構 16
第二節 共同基金現金流量 17
第三節 樣本來源及控制變數說明 17
第四節 模型建立 19
第五章 實證結果 22
第一節 敘述性統計 22
第二節 台灣股票市場的動能效果 27
第三節 共同基金現金流量與動能效果 29
第四節 投資人情緒與共同基金現金流量 36
第六章 結論與建議 40
第一節 結論 40
第二節 研究貢獻 42
第三節 政策意涵 42
第四節 未來研究方向 42
參考文獻 43

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