近期研究發現基金投資人具有足夠的能力來選擇績效具有持續性的基金。根據Keswani and Stolin (2008) 的研究方法，本文以基金淨流量為投資人偏好的代理變數來檢驗聰明錢效果是否存在。有別於過去的研究，本文嘗試結合聰明錢效果與基金公司之行銷活動(共同基金廣告費用) 。本文有以下四點實證發現: (1) 以Carhart四因子模型來計算風險調整後報酬，發現淨流量為正值的基金在短期的未來會有較佳的績效表現，即「聰明錢效果」存在於台灣開放型基金市場。 (2) 聰明錢效果是由基金投資人之購買行為所引發。 (3) 聰明錢效果只是一個短時間存在的現象。 (4) 在台灣開放型基金市場，基金公司廣告可解釋聰明錢效果的存在。

Prior research finds that mutual fund investors have adequate ability to select funds which superior performance remains persistent. Following the work of Keswani and Stolin (2008), we use a fund netflow as a proxy for investors’ preference to examine whether the smart money effect exists. Furthermore, this paper differs from prior research by combining the smart money phenomenon and fund firm’s marketing activities (the advertising expenditure of mutual funds). This paper generates four empirical findings. (1) Mutual funds with positive netflow subsequently have positive Carhart four-factor alpha, that is, the “smart money effect” exists in Taiwanese mutual fund market. (2) The smart money effect is caused by investors’ buying decisions. (3) The smart money effect is only a short-lived phenomenon. (4) Our evidence shows that advertising of funds can explain the smart money effect in Taiwanese open-end mutual fund market.

1. Introduction …………………………………………... 7
2. Literature Review …………………………………... 12
2.1 Smart Money Effect ………………….................... 12
2.2 Effects of Advertising of Mutual Funds …............15
3. The Taiwanese Mutual Fund Industry …………… 17
4. Methodology and Data …………………………….. 19
4.1 Model specification ……………………………... 19
4.1.1. Performance of New Money Portfolios ….... 19
4.1.2. Determinants of Money Flows to Mutual
Funds ................................................................ 22
4.2. Data ………………………………………………. 23
5. Empirical Results ………………………………….. 28
5.1. Performance of New Money Portfolios ………. 28
5.2. The Span of the Smart Money Effect …………. 31
5.3. Determinants of Money Flows to Mutual
Funds ..................................................................... 33
6. Conclusions ……………………………................... 37
REFERENCES ………………………………………... 39

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