過去頗多研究檢驗出共同基金具備績效持續性，但並未深入追究其影響因素為何？故投資人僅能知悉哪些類型的基金具有此項性質，無法判斷該類型下哪支基金具有較高的績效持續性，本文將針對此問題加以深入研究。本文主要目的為期望提供投資人一個新的挑選基金的方法，投資人在挑選基金時，可以先挑出當期績效好的基金，再尋找哪些基金符合高持續性的特徵，期望能夠挑出前後期績效表現皆名列前茅之基金。
本文於第一部分先以Spearman等級相關係數檢定法檢驗績效持續性之存在，第二部分再以Panel Data分析法分別探討十項影響因素在不同類別基金、不同期間下對基金績效持續性之影響。本研究之樣本資料為2004年至2011年台灣開放式股票型及平衡型基金，共有160支，包含一般型80支、科技型30支、中小型21支及平衡型29支。計算報酬率使用之淨值資料是採取滾動(rolling)方式以月資料列出。為屏除各個基金之風險差異，將原本之簡單報酬率換算成經風險調整後之異常報酬率(Jensen’s α )作為研究基礎。
綜合實證結果，將有明顯趨勢者歸納如下：
1. 在短期下，基金設立期間對績效持續性之影響多為正向。
2. 在短期下，淨值對績效持續性之影響多為負向；長期多為正向影響。
3. 在短、中期下，每人投資金額對績效持續性之影響皆為正向。
4. 幾乎在所有基金類別、所有期間下，持股比例對績效持續性之影響為負向。
5. 幾乎在所有基金類別、所有期間下，景氣對策信號判斷分數對績效持續性之影響為負向。

Recent studies have reported that open-end fund has its performance persistence. However, those studies didn’t mention the factors of performance persistence. Therefore, investors knows the character of the types of fund, but unable to determine which individual fund have the character given the type of fund. The main purpose of this study is to provide investors a new way to select funds. First, investors can select high performance funds in the past period and aim to pick the individual funds which fit the character of high performance persistence.
This study is divided into two parts. In first part, the researcher use Spearman's Rank Correlation Coefficient Test to examine the existence of performance persistence. In second part, the study aims to use Panel Data Analysis to examine the impact of 10 factors on the performance persistence in different type of funds, and periods. Samples in the study are chosen from 160 Taiwan open-end equity funds during 2004-2011. The return rate data is rolling data. In order to remove the difference of the risks of the funds, simple return rates were transferred into Jensen’s Alpha.
The conclusions are shown as below：
1. In short term, Time of Establishment often has a positive effect on fund performance persistence.
2. In short term, Net Asset Value often has a negative effect on fund performance persistence. In long term, net asset value often has a positive effect on fund performance persistence.
3. In short and middle term, Average Investment Amount always has a positive effect on fund performance persistence.
4. Almost in all type of funds and all periods, Stock Holding Rate has a negative effect on fund performance persistence.
5. Almost in all type of funds and all periods, The Score of Monitoring indicator has a negative effect on fund performance persistence.

摘 要 I
英文摘要 II
圖目錄 V
表目錄 V
第一章、 緒論 1
第一節、 研究背景與動機 1
第二節、 研究問題與目的 3
第三節、 研究架構 5
第二章、 文獻探討 7
第一節、 基金績效持續性之文獻探討 7
第二節、 基金績效影響因素之文獻探討 10
第三章、 研究方法 14
第一節、 資料說明 14
第二節、 研究方法 24
第三節、 建立模型及研究假說 31
第四章、 實證結果與分析 34
第一節、 基金績效持續性之檢定 34
第二節、 基金績效持續性之影響因素檢定 35
第五章、 結論與建議 55
第一節、 結論 55
第二節、 研究限制 58
第三節、 研究建議 59
參考文獻 61

一、 國內參考文獻
1. 江奕欣,2000, 共同基金績效能力分解及持續性之研究, 國立中山大學財務管理學系研究所
2. 余育欣,2004, 以拔靴法驗證共同基金之選股能力與績效持續性, 國立中山大學企業管理學系研究所
3. 杜玉雯,2008, 主被動式股票型基金長期績效持續性之研究─以美國為例, 靜宜大學管理碩士在職專班
4. 李志凡,2009, 共同基金經理人擇時能力與績效持續性之探討—以國內開放型股票基金為例, 銘傳大學管理研究所
5. 李顯儀，李欣微與李亮君, 2011,共同基金投資集中度與績效關聯性之研究,管理科學研究第七卷第二期, 第49-62頁
6. 周麟恩,2009, 台灣共同基金報酬率穩定性之影響因素分析,國立政治大學行政管理碩士學程
7. 林灼榮,徐啟升,2010, 台灣共同基金績效持續性之檢定：多構面績效指標之比較, 管理與系統 第十七卷 第一期 27-47 頁
8. 陳炳璋,2000,國內開放式股票型基金流量影響因素之探討, 國立中山大學企業管理學系研究所
9. 陳相宇,2004, 國內上市型開放式股票型基金績效持續性實證研究, 臺灣大學財務金融學研究所
10. 黃鴻鈞,2008, 台灣地區基金績效持續性之影響因素分析,國立政治大學行政管理碩士學程
11. 張正哲,2003, 共同基金選股能力與績效持續性之再驗證, 東海大學企業管理學系碩士班
12. 劉毅乾,2010, 高收益債券型基金績效持續性, 輔仁大學金融與國際企業學系金融碩士班

二、國外參考文獻
1. Brightman, J.S. and Hanslanger, B.L., 1980, Past investment performance: seductive but deceptive, Journal of Portfolio Management 6, 43-45.
2. Brown, S.J., Goetzmann, W., Ibbotson, R.G., Ross, S.A., 1992. Survivorship bias in performance studies, The Review of Financial Studies 5, 553–580.
3. Brown, S.J., and Goetzmann, W.N., 1995, Performance persistence, Jounal of Finance 50, 679-698.
4. Bollen, N.P., and Busse, J.A., 2005, Short-term persistence in mutual fund performance, Review of Financial Studies 18, 569–597.
5. Busse, J. A., and Irvine, P. J., 2006, Bayesian alphas and mutual fund persistence, Jounal of Finance 61,2251-2288
6. Carlson, R.S.,1970, Aggregate performance of mutual funds, Journal of Financial and Quantitative Analysis 5, 1-31
7. Carhart, M., 1997, On persistence in mutual fund performance. Journal of Finance 52, 57–82
8. Chen, J., Hong, H., Huang, M., and Kubik, J., 2004, Does fund size erode performance? Liquidity,organizational diseconomies, and active money management, American Economic Review 94, 1276–1302.
9. Droms, W.G., and Walker, D.A., 2001, Performance of persistence of international mutual funds, Global Finance Journal 12, 237-248.
10. Dunn, P.C., and Theisen, R.D., 1983, How consistently do active managers win, Journal of Portfolio Management 9, 47-51.
11. Elton, E.J., Gruber, M.J., and Blake, C.R., 1996, The persistence of risk-adjusted mutual fund performance, Journal of Business 69, 133–157.
12. Gil-Bazo, J. and Ruiz-Verdu, P., 2009, Yet another puzzle? The relation between price and performance in the mutual fund industry, Journal of Finance 64, 2153–2183.
13. Golec, J. H., 1996, The effects of mutual fund managers’ characteristics on their portfolio performance, risk and fees, Financial Services Review 5, 133-148.
14. Grinblatt, M. and Titman, S., 1992, The persistence of mutual fund performance. Journal of Finance 47, 1977-1984.
15. Grinblatt, M., and S. Titman, 1994, A study of mutual fund returns and performance evaluation techniques, The Journal of Financial and Quantitative Analysis 29, 419-444.
16. Goetzmann, W. N. and Ibbotson, R. G., 1994, Do winners repeat?, Journal of Portfolio Management 20, 9-18.
17. Hendricks, D., Patel, J., and Zeckhauser, R., 1993, Hot hands in mutual funds: Short-run persistence of relative performance, 1974–1988, Journal of Finance 48, 93–130.
18. Huij, J. and Verbeek, M.,2007, Cross-sectional learning and short-run persistence in mutual fund performance, Journal of Banking and Finance 31, 973-997
19. Ippolito, R. A., 1989, Efficiency with costly information: a study of mutual, Quarterly Journal of Economics 104, 1-23.
20. Jan, Y. C., and M. W. Hung, 2003, Mutual fund attributes and performance, Financial Services Review 12, 165-178.
21. Jegadeesh, N., and Titman, S., 1993, Return to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65–91.
22. Jones, C.S., and Shanken, J., 2005, Mutual fund performance with learning across funds, Journal of Financial Economics 78, 507–522.
23. Keswani, A. and Stolin D., 2006, Mutual fund performance persistence and competition: a cross-sector analysis, Journal of Financial Research 3, 349-366
24. Klaas, B., Metrick, A., and Wachter, J., 2001, Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation, Journal of Finance 56, 45–85.
25. Pastor, L., and Stambaugh, R.F., 2002, Mutual fund performance and seemingly unrelated assets. Journal of Financial Economics 63, 315–349.
26. Sharpe, W. F., 1966, Mutual fund performance. Journal of Business 39, 119-138.
27. Volkman, D. A., 1995, Determinants of persistence in relative performance of mutual fund, Journal of Financial Research18, 415-430.
28. Wermers, R.,2000, Mutual Fund Performance: An empirical decomposition into stock-picking talent, style, transactions costs, and expenses, Journal of Finance 55, 1655-1695.
29. Williamson, P.J., 1972, Measurement and forecasting of mutual fund performance: choosing and investment strategy, Financial Analysts Journal 28, 78-84.