The Effects of Participation Costs on Mutual Fund Flow

[[abstract]]本文以1999年1月到2006年12月期間的91檔股票型基金為對象，利用Carhart (1997) 四因子模式來衡量基金績效，並參考Huang, Wei, and Yan (2007) 的參與成本衡量方式及績效分群方法，探討台灣國內股票型基金之參與成本與基金淨流量之關係，以暸解投資者在投資共同基金時，參與成本是否會影響投資決策。實證結果顯示： 1.參與成本中，基金家族大小的虛擬變數對基金流量呈現顯著正向的關係；明星基金的虛擬變數對基金流量呈現不顯著負向的關係；費用率變數方面對基金流量呈現顯著負向的關係。 2.在未經風險調整過的績效 (過去一年之報酬率) 評估方式之下，在績效屬於表現較佳的前20％群體中，對基金流量均呈現顯著正向的關係；在Carhart (1997) 四因子經風險調整過的績效評估模式之下則是績效屬於表現較差的後20％群體中，對基金流量呈現顯著正向的關係。[[abstract]]The study is to measure the fund performance for 91 open-end stock mutual funds from January 1999 to December 2006 by using Carhart’s four factors model. The main purpose is to examine the relationship between participation costs and mutual fund flow. The empirical results can be summarized as follows： 1. The mutual fund flow is positively related to the family factor, unrelated to the star factor and negatively related to the fees. 2.When the performance measure by unadjusted risk return (raw return) , the group of the best 20% is positively related to mutual fund flow；when the ranked risk-adjusted returns according to the four-factor model of Carhart (1997) , the group of the worst 20% is positively related to mutual fund flow