CAJ | 학술논문

检测台湾股票型基金绩效是否存在门坎上下不对称效果,并进一步探讨在不同的基金规模下投信业公司特征和董监事规模对基金绩效的影响。在实证模型的选取上,采用Hansen提出的纵横门坎回归模型进行检测,以2005年～2007年台湾地区投信业所发行的股票型基金作为研究对象。在实证结果方面,基金管理费用与基金报酬存在显著非线性不对称关系,且其影响取决于基金规模的差异;在不同基金规模区间的样本群组,公司若收取较高的管理费用时,对基金报酬的影响则呈现出不同大小的负向关系;当基金规模超过门坎值或低于门坎值时,公司特征和董监事规模对基金报酬的影响也呈现出显著的差异,特别是在主要股东席次比方面,两群组具有反向的显著差异。
검측태만고표형기금적효시부존재문감상하불대칭효과,병진일보탐토재불동적기금규모하투신업공사특정화동감사규모대기금적효적영향。재실증모형적선취상,채용Hansen제출적종횡문감회귀모형진행검측,이2005년～2007년태만지구투신업소발행적고표형기금작위연구대상。재실증결과방면,기금관리비용여기금보수존재현저비선성불대칭관계,차기영향취결우기금규모적차이;재불동기금규모구간적양본군조,공사약수취교고적관리비용시,대기금보수적영향칙정현출불동대소적부향관계;당기금규모초과문감치혹저우문감치시,공사특정화동감사규모대기금보수적영향야정현출현저적차이,특별시재주요고동석차비방면,량군조구유반향적현저차이。
This paper aims to examine whether the switching regimes of stock mutual funds＇ performance exists in Taiwan,and further investigates the impacts of both firm characteristics and corporate governance on funds performance in investment trust industry. In the empirical model,the paper uses the panel threshold regression model,proposed by Hansen,to estimate. The sample selects stock funds issued by investment trust companies in Taiwan from 2005 to 2007. In the empirical results,there is a significant asymmetric non-linear relationship between fund management fees and fund returns. Beside that the effect of fund management fees on the fund return depends on the fund size. In addition,if firm charges higher fund fees,the influence on fund returns will present a diverse negative relationship in the sub-samples of different fund sizes. Moreover,the impacts of both firm characteristics and the board of director and supervisor on funds performance also appear significant differences while fund size exceeds threshold value or below threshold value. Especially,two sub-samples have distinct significantly results in the seats of major shareholder.