中文摘要
自從Markowitz(1952)提出現代投資組合理論分析投資報酬與風險的相互關係後，以有價證券(主要指股票和債券)為投資對象的投資組合稱之為「證券組合」，目前在金融市場普通受到關注及認同，而共同基金則是屬於一種由專業投資人員負責管理的證券組合，如何成功的選擇股票或債券來構成證券組合，並決定其投資內容，調整變動其結構，是決定共同基金效益和風險的關鍵，也是衡量基金經理水準和能力的主要標準。而基金過去的操作績效是一種公開的資訊，故當投資人欲申購或贖回時能仔細地評估相關的資料以做為投資的參考。過去一般學者在研究基金投資組合的績效時，較著重於基金的績效及操作投資的概念，如績效評估、績效持續性、基金經理人選股及擇時的能力…等。最近研究的焦點逐漸轉移至投資人的行為探討，以基金流量來反應投資人的喜好。學術研究已確定共同基金的投資者追求績效的表現，並將資金投資於績效較好的基金而摒棄或逃離績效表現較差的基金。
在本研究中，我們選定影響國內開放式股票基金流量的各項因素，分析投資人共同基金購買之投資行為。我們首先確認影響共同基金流量的各項因素，並在實証分析中瞭解並分析各因素對共同基金流量的影響。我們發現，一般共同基金投資者較願意去追隨過去績效良好的基金並以其短期績效表現(3至6個月)為評估的標準，若基金在過去一年績效表現較佳時，則投資人傾向去買回該基金，以實現獲利。再者，投資人於投資前較會仔細評估基金波動的風險，但在投資後，反而忽略其價格大幅波動的風險，寧願買回標準差較低的基金，同時高β值的基金顯著影響其本身申購及贖回的意願。再者本研究亦證實國內投資者不願選擇相關費用較高的基金，而且對積極性操作週轉率較高的基金情有獨鍾。

Abstract
Since Markowitz (1952) proposed modern portfolio theory to evaluate the correlation between investment returns and risk, a portfolio constructed by securities (mainly stocks and bonds) is called” security portfolio”, which becomes popular and recognized to the financial market. Mutual funds are one of the security portfolios managed by investment professionals. To maximize the portfolio return by choosing a combination of stocks and bonds, to decide an adequate investment philosophy, strategy, process and asset reallocation, are key elements of obtaining considerable returns with limited risk and main standard of manifesting the quality and capability of fund managers. The past performance of funds is publicly available, which is scrutinized to decide what to purchase or redeem. Many studies about evaluation of portfolio performance focus on fund performance. Nevertheless recent researches focus on fund flows instead. In this study, we will examine variables that influence flows of open-ended equity mutual funds in Taiwan and have a better understanding of investor behaviors of purchasing or redeeming.
We first identify variables that influence fund flows and then employee those to analyze the influence in between. We discovered that the investors are more zealous in chasing previous winners based on the short-term performance, approximately 3 to 6 months. However, once the performance of the invested fund improves for the past 12 months they trend to redeem shares to realize profit. Furthermore, they review risk before making the decision, but ignore it after investment. Investors incline to buy or sell funds of high β and are more susceptible to related expenses and react negatively to funds that require high expense. Investors are significantly willing to invest funds that are actively traded.

目　錄
第一章　緒論 1
第一節　研究背景 1
第二節　研究動機 4
第三節　研究目的 5
第四節　研究架構 11
第二章　影響基金流量之變數 13
第一節　績效與基金流量的關係 13
第二節　基金屬性與基金流量的關係 17
一、基金各項費用與基金流量的關係 17
二、基金週轉率與基金流量的關係 18
三、風險與基金流量的關係 19
四、基金規模、平均投資金額與基金流量的關係 20
五、多空市場與基金流量的關係 21
六、基金成立的年限與基金流量的關係 22
第三章　研究方法 24
第一節　樣本選取、資料來源及期間 24
一、樣本選取 24
二、資料來源 25
三、資料期間 26
第二節　變數定義 29
第三節　研究模型 35
第四章　實證結果與分析 36
第一節　績效與流量的關係 36
第二節　總風險與流量的關係 40
第三節　系統風險與流量的關係 42
第四節　週轉率與流量的關係 44
第五節　基金費用與流量的關係 47
第六節　其他影響因素與流量的關係 48
第五章　結論與建議 58
第一節　研究結論 58
一、績效與流量的關係 58
二、總風險與流量的關係 59
三、系統風險與流量的關係 60
四、週轉率與與流量的關係 60
五、基金費用與與流量的關係 60
六、其他因素與與流量的關係 61
第二節　研究限制及建議 62
一、研究限制 62
二、研究建議 62
附錄　共同基金發展概況 69
第一節　全球共同基金發展概況 69
第二節　國內共同基金發展概況 71
第三節　國內共同基金發展趨勢 73
第四節　美國共同基金發展概況 76
第五節　共同基金的穩定性 80
第六節　國內共同基金申贖狀況 82
參考文獻 86
一、中文部分 86
二、英文部分 88
表目錄
表3.1 本研究選取之214支共同基金樣本 26
表4.1 前一個月、三個月、六個月及一年績效下之申購行為 50
表4.2 前一個月績效下之申購行為 50
表4.3 前三個月績效下之申購行為 51
表4.4 前六個月績效下之申購行為 51
表4.5 前一年績效下之申購行為 52
表4.6 前一個月、三個月、六個月及一年績效下之買回行為 52
表4.7 前一個月績效下之買回行為 53
表4.8 前三個月績效下之買回行為 53
表4.9 前六個月績效下之買回行為 54
表4.10 前一年績效下之買回行為 54
表4.11 前一個月、三個月、六個月及一年績效下之淨流量變化 55
表4.12 前一個月績效下之淨流量變化 55
表4.13 前三個月績效下之淨流量變化 56
表4.14 前六個月績效下之淨流量變化 56
表4.15 前一年績效下之淨流量變化 57
表A.1 全球主要國家開放式共同基金規模及基金數 70
表A.2 國內共同基金分類統計 72
表A.3 國內共同基金資料總覽 75
表A.4 美國家庭持有共同基金成長情形 77
表A.5 美國共同基金投資人特性 79
表A.6. 美國共同基金投資人其年收入及年齡分配 79
表A.7 美國共同基金資產成長比例 83
表A.8 美國共同基金的淨資金流入 85
圖目錄
圖1.1 研究架構 11
圖A.1 1998－2000國內開放式股票型基金申購買回金額 82
圖A.2 1998－2000國內開放式整體基金申購買回金額 84
圖A.3 1998－2000國內開放式債券基金申購買回金額 84

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