本研究以2012年第一季至2016年第二季共18季的大陸上海、深圳證券市場的開放式股票型基金季資料為研究樣本，欲探討因子風險與特色因子對於基金績效表現的影響。過去文獻多以美國市場為研究目標，並指出市場風險、規模溢酬因子、淨值市價比因子與動能因子對於基金報酬率具有解釋力；基金的年齡、費用率、規模與流量等也常用來檢定基金的績效表現。因此，本研究以目前蓬勃的中國開放式股票型基金為例，進行相關之研究。
針對因子風險之影響評估，本研究運用三種因子模型，以單因子、三因子與四因子模型，探討不同因子組合下的系統風險值在兩階段迴歸法 (Fama and MacBeth(1973))檢定之結果，實證結果顯示在中國基金市場中，市場因子普遍呈現不顯著的情況；相反地，規模溢酬因子、淨值市價比因子與動能因子是影響績效表現的重要因子，小規模基金有較高的基金報酬率、基金績效有反轉效應等特色。
在特色因子檢定中，則採追蹤資料與投資組合兩種研究方法。在此兩種研究方法中發現，基金流量對基金績效皆有不錯的解釋力；基金費用率、基金規模在追蹤資料法之1%顯著水準下，則對基金績效有顯著相關性、但在投資組合法中，費用高低、規模大小不同的基金卻不具有差別性的基金報酬率；最後，兩種研究結果也發現基金的投資報酬率與基金的成立時間長短皆無關。
透過因子風險、特色因子的實證結果可提供中國基金市場之基金經理人、投資人做完投資風險的參考依據。

This paper uses a comprehensive sample of China open-end equity mutual fund from 2012Q1 to 2016Q2 to investigate the influence of market factors and characteristic factors on the mutual fund performance.
In the examination of benchmark factor risk, we use three benchmark models to evaluate how the different combination of risk factors will have an impact on the systematic risk, testing by Fama-MacBeth Two-Step Regression. The result shows that market risk factor exhibits no influence on the performance, but SMB, HML and MOM factors play important roles in China mutual fund markets. In addition, the small-scale funds show higher rate of returns and there are reversal effects on China mutual funds.
In the characteristic determinants of China mutual fund, we use both panel data and time-series portfolio approaches. We find that fund flow has a strong explanation on the mutual fund performance in both research methods, fund expense ratios and fund scales influence the fund performance under the 1% significance level in panel data, but they show different results in time-series portfolio approach. Furthermore, we find that the fund age has nothing to do with the fund performance.
According to the empirical results of risk factors and characteristic factors, this paper provides an investment suggestion to the fund investors and mangers in China open-end equity mutual fund markets.

論文審定書 i
致謝辭 ii
中文摘要 iii
英文摘要 iv
第一章 前言 1
第一節 研究動機 1
第二節 研究架構 3
第三節 研究架構圖 4
第二章 文獻探討 5
第一節 基金績效之評估方法 5
第二節 基金特色因子與績效之關係 8
第三章 研究設計 12
第一節 研究假說 12
第二節 資料來源及研究樣本 14
第三節 研究方法與建立模型 20
第四章 實證研究結論26
第一節 敘述統計 26
第二節 基準模型因子與基金績效之評估 27
第三節 基金特色因子與基金績效之評估 29
第五章 結論 34
第六章 參考文獻 37
附錄 49

1. Amihud, Y., & Goyenko, R. (2013). Mutual fund's R2 as predictor of performance. Review of Financial Studies, 26(3), 667-694.
2. Bali, T. G., Brown, S. J., & Caglayan, M. O. (2012). Systematic risk and the cross section of hedge fund returns. Journal of Financial Economics, 106(1), 114-131.
3. Bali, T. G., Brown, S. J., & Caglayan, M. O. (2014). Macroeconomic risk and hedge fund returns. Journal of Financial Economics, 114(1), 1-19.
4. Beckers, S. E., & Vaughan, G. (2001). Small is beautiful. The Journal of Portfolio Management, 27(4), 9-17.
5. Berk, J. B., & Green, R. C. (2004). Mutual fund flows and performance in rational markets. Journal of political economy, 112(6), 1269-1295.
6. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.
7. Carhart, M. M., Carpenter, J. N., Lynch, A. W., & Musto, D. K. (2002). Mutual fund survivorship. Review of Financial Studies, 15(5), 1439-1463.
8. Chan, L. K., Chen, H. L., & Lakonishok, J. (2002). On mutual fund investment styles. Review of financial studies, 15(5), 1407-1437.
9. Chan, H. W., Faff, R. W., Gallagher, D. R., & Looi, A. (2009). Fund size, transaction costs and performance: Size matters. Australian Journal of Management, 34(1), 73-96.
10. Chen, J., Hong, H., Huang, M., & Kubik, J. D. (2004). Does fund size erode mutual fund performance? The role of liquidity and organization. The American Economic Review, 94(5), 1276-1302.
11. Ciccotello, C. S., & Grant, C. T. (1996). Equity fund size and growth: Implications for performance and selection. Financial Services Review, 5(1), 1-12.
12. Droms, W. G. (2006). Hot hands, cold hands: Does past performance predict future returns. Journal of Financial Planning, 19(5), 60-69.
13. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
14. Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. The Journal of Finance, 51(1), 55-84.
15. Fama, E. F., & French, K. R. (2016). Dissecting anomalies with a five-factor model. Review of Financial Studies, 29(1), 69-103.
16. Fant, L. F., & O'Neal, E. S. (2000). Temporal changes in the determinants of mutual fund flows. Journal of Financial Research, 23(3), 353-371.
17. Gallagher, D. R., & Martin, K. M. (2005). Size and investment performance: a research note. Journal of Accounting, Finance and Business Studies, 41(1), 55-65.
18. Grinblatt, M., & Titman, S. (1994). A study of monthly mutual fund returns and performance evaluation techniques. Journal of financial and quantitative analysis, 29(3), 419-444.
19. Gruber, M. J. (1996). Another puzzle: The growth in actively managed mutual funds. The journal of finance, 51(3), 783-810.
20. Heaney, R. (2008). Australian equity mutual fund size effects. Accounting & Finance, 48(5), 807-827.
21. Indro, D. C., Jiang, C. X., Hu, M. Y., & Lee, W. Y. (1999). Mutual fund performance: Does fund size matter?. Financial Analysts Journal, 55(3), 74-87.
22. Ippolito, R. A. (1989). Efficiency with costly information: A study of mutual fund performance. The Quarterly Journal of Economics, 104(1), 1-23.
23. Jensen, M. C. (1968). The performance of mutual funds in the period 1945–1964. The Journal of finance, 23(2), 389-416.
24. Johnson, W. T. (2004). Predictable investment horizons and wealth transfers among mutual fund shareholders. The Journal of Finance, 59(5), 1979-2012.
25. Lynch, A. W., & Musto, D. K. (2003). How investors interpret past fund returns. The Journal of Finance, 58(5), 2033-2058.
26. Pollet, J. M., & Wilson, M. (2008). How does size affect mutual fund behavior?. The Journal of Finance, 63(6), 2941-2969.
27. Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of economic theory, 13(3), 341-360.
28. Sawicki, J., & Finn, F. (2002). Smart money and small funds. Journal of Business Finance & Accounting, 29(5), 825-846.
29. Spiegel, M., & Zhang, H. (2013). Mutual fund risk and market share-adjusted fund flows. Journal of Financial Economics, 108(2), 506-528.
30. Sharpe, W. F. (1966). Mutual fund performance. The Journal of business, 39(1), 119-138.
31. Sirri, E. R., & Tufano, P. (1998). Costly search and mutual fund flows. The journal of finance, 53(5), 1589-1622.
32. Spiegel, M., & Zhang, H. (2013). Mutual fund risk and market share-adjusted fund flows. Journal of Financial Economics, 108(2), 506-528.
33. Titman, S., & Tiu, C. (2011). Do the best hedge funds hedge?. Review of Financial Studies, 24(1), 123-168.
34. Treynor, J. L. (2009). How to rate management of investment funds. Harvard Business Reviews, 43(1),63-75.
35. Yan, X. (2008). Liquidity, investment style, and the relation between fund size and fund performance. Journal of Financial and Quantitative Analysis, 43(3), 741-767.