The persistency of mutual fund performance and the smart money effect

本研究主要探討共同基金績效持續性是否存在，及績效持續性之效果是否會影響基金流量及未來績效。本研究利用1992至2015年間美國共同基金進行實證研究，結果驗證了基金具有績效持續性。進一步的實證結果顯示，在基金具有贏家績效持續性下，其未來一年內基金流量有顯著成長，然若為輸家績效持續性的基金，僅在未來三個月內基金流量顯著流出。此外，在贏家持續性且基金三個月、六個月及十二個月有正向流量下，投資人在未來三個月、六個月及十二個月皆有顯著超額報酬，此即顯示聰明錢效果存在。因此，本研究建議投資人能在觀察到基金具贏家績效持續性，且流量顯著流入下，增加基金持有，以獲超額報酬。The main purpose of this study is to investigate whether the performance persistency exists among equity mutual funds and if the performance persistency is significantly associated with fund flows and future performance. Using mutual funds in U.S. from 1992 to 2015 as the sample, this study confirms the persistency of mutual fund performance. In addition, this study shows that persistent winner funds can generate more fund inflows one year subsequent to the persistency, while persistent loser funds experience a significant outflows in the following three months. This study further finds that, consistent with the smart money effect, persistent winner funds with significant 3-month, 6-month and 12-month fund inflows can continue outperform the market in the following 3 months, 6 months and 12 months. Therefore, this study suggests investors investing persistent winner funds with significant money inflows to generate higher excess returns