過去研究發現公司針對旗下某一商品之廣告不僅能增加此廣告商品的銷售，其廣告效果亦能外溢至市場中相同品牌之商品，增加相同品牌之商品的銷售。本文主要研究當基金家族針對旗下所管理之某一基金投入廣告費用時，是否能夠吸引更多資金流入此廣告基金，並且為該家族中其他基金成員帶來廣告外溢效果，吸引更多的資金流入同家族中的其他基金成員。在基金家族為一個具有負指數效用之風險趨避投資人的假設之下，本文推導出基金家族針對旗下所管理之個別基金投入廣告費用的配置比例之理論值，此理論值應為該基金家族之風險趨避程度、期初資產、個別基金廣告與廣告外溢效果所帶來之預期報酬的平均數及變異數的函數。在實證方面，研究結果顯示廣告基金能夠顯著吸引較多的現金流量，並且為家族中其他基金的現金流量帶來顯著的廣告外溢效果。將基金依照其過去績效分類為較低、普通與較高績效基金之後，實證結果發現擁有普通績效之廣告基金比擁有較高與較低績效之廣告基金吸引更多的現金流量。而基金家族中之廣告基金為同家族之基金所帶來的廣告外溢效果，對家族中較高績效基金之現金流量的影響會高於對家族中較低與普通績效基金之現金流量的影響。針對基金家族整體之現金流量，研究結果顯示基金家族對旗下管理之基金的廣告花費能顯著增加該家族整體的現金流量，而此廣告效果在規模較大之基金家族中比在規模較小之基金家族中強烈。此實證結果顯示基金家族能夠經由廣告花費獲取利益，而當基金家族分配在普通績效基金之廣告費用的比例高於較高績效基金時，將能夠更有效的吸引資金流入其管理的個別基金。

Prior studies have found that a firm advertising for one of its products not only can increase the sales of the advertised product, but also spill over the advertising effect by increasing sales of other existing products in the same brand. This study examines whether a fund family spending money on one of its managed funds can attract more money flows into the advertised fund and bring the advertising spillover effect that attract more money flows into other members in the same family. Under the assumption that a fund family is a risk aversion investor endowed with a negative exponential utility function, this study finds a theoretical allocation proportion for a fund family’s spending on advertising of individual funds under management, which is the function of the fund family’s risk aversion level and initial wealth, as well as the mean and the variance of the expected returns generated by individual funds’ advertising and the advertising spillover effect. Empirically, the evidence shows that an advertised fund can significantly attract greater cash flows and bring the significant advertising spillover effect on cash flows of other individual funds in the same family. After grouping funds into lower-, mid- and higher-performing funds based on funds’ past performance, the results indicate that an advertised fund with mid performance can attract greater cash flows than an advertised fund with higher and lower performance. Moreover, an advertised fund can bring stronger advertising spillover effect on cash flows of higher-performing funds than lower- and mid-performing funds in the same family. Regarding with the family cash flows, the evidence shows that a fund family’s aggregating advertising expenditures on managed funds can significantly increase the family cash flows and the advertising effect on the family cash flows is stronger in large families than in small families. The empirical results suggest that a fund family can benefit from its advertising expenditures and which allocating higher proportion for advertising of mid-performing funds than higher-performing funds could attract money flows into its managed funds more efficiently.

論文審定書 i
序言 ii
摘要 iii
Abstract iv
1. Introduction 1
2. Literature Review 6
2.1 Advertising in Product Market and Financial Market 6
2.2 Advertising of Funds and Mutual Fund Flows 8
2.3 Advertising, Performance and Mutual Fund Flows 11
2.4 Advertising of Funds and Family Cash Flows 13
3. Theoretical Model for Allocation Proportion Problem 15
3.1 The Allocation Problem for Advertising of Funds 15
3.1.1 The Relation between Families’ Wealth and Individual Funds’ Advertising 15
3.1.2 The Relation between Families’ Wealth and the Advertising Spillover Effect 17
3.1.3 The Different Degrees of Advertising Effect Based on Performance of Funds 19
3.2 Theoretical Optimal Allocation Proportion for Advertising of Funds 22
3.3 Advertising, Cash Flows and the Change of Wealth for Fund Families 25
4. Empirical Methodology 29
4.1 Effect of Advertising on Mutual Fund Flows 31
4.2 Effect of Advertising on Family Cash flows 37
5. Data and Summary Statistics 40
5.1 The Taiwanese Mutual Fund Market 40
5.2 Data 42
6. Empirical Results 47
6.1 Effect of Advertising on Mutual Fund Flows 47
6.2 Effect of Advertising on Family Cash Flows 51
6.3 Robustness Tests 52
6.4 Major Findings 53
7. Conclusions and Further Works 55
References 58

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