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    Title: 基金特性對基金規模在不同基金經理人費用變化下之非線性探討
    Other Titles: Nonlinear effect of fund characteristics on mutual fund size under different fund manager's fee
    Authors: 陳景棋;Chen, Ching-Chi
    Contributors: 淡江大學財務金融學系碩士在職專班
    聶建中;陳達新;Nieh, Chien-Chung;Chen, Ta-Hsin
    Keywords: 基金經理人費用;基金規模;基金特性;非線性;緃橫平滑移轉模型;Fund Manager's Fee;fund size;fund characteristics;Nonlinear;Panel Smooth Transition Regression
    Date: 2013
    Issue Date: 2014-01-23 13:32:43 (UTC+8)
    Abstract: 本研究運用Gonza′lez,Teräsvirta and van Dijk(2004, 2005)發展的緃橫平滑移轉迴歸模型進行實證分析,探究資訊比率、基金淨值、基金週轉率等基金特性是否在不同基金經理人費用變化下對基金規模的影響性產生變化。本研究之基金經理人費用以基金費用率替代之。
    根據實證結果顯示,當基金費用率小於0.0786(%)時,資訊比率與基金規模呈現顯著之正向關係;當基金費用率大於0.1636(%)時,資訊比率與基金規模呈現顯著之負向關係。無論基金費用率小於0.0786(%)、介於0.0786(%)與0.1636(%)及大於0.1636(%)時,基金淨值與基金規模皆呈現顯著之正向關係,基金週轉率與基金規模皆呈現不顯著之正向關係。
    This aim of study is to investigate the panel smooth transition effect associated with fund manager’s fee and mutual fund size. Utilizing the panel smooth transition regression model developed by Gonza′lez, Teräsvirta and van Dijk(2004, 2005)to figure out that information ratio, fund net asset value and turnover rate may affect mutual fund size under different fund manager’s fee. The study is to fund expense ratio substitute of Fund Manager’s Fee.
    The result shows that when fund expense ratio below 0.0786 percent, there is a significant positive effect between information ratio and fund size. When fund expense ratio above 0.1636 percent, there is a significant negative effect between information ratio and fund size. No matter fund expense ratio above 0.0786 percent, between 0.0786 percent and 0.1636 percent, above 0.1636 percent, there is a significant positive effect between fund net asset value ratio and fund size. There is not significant positive effect between turnover rate and fund size.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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