以三因子及四因子模型探討台灣共同基金聰明錢效果

Abstract

We use mutual fund flow data to test the smart money effect. The smart money effect happens when a mutual fund receives higher inflow and then the mutual fund will perform well in the next period. We use Fama and French three factors model and Carhart four factors model to calculate the performance of mutual fund. And also use the two models to calculate the Alpha of portfolio. If the Alpha is significant greater than zero, we confirm the existence of smart money effect. If the Alpha is not significant greater than zero, we compare the Alpha between the portfolio made by inflow and portfolio made by fund value. If the Alpha of inflow portfolio is significant greater than the Alpha of fund value portfolio, we say the money of investors is comparatively smart. We use the monthly data from January 2001 to January 2010.The data set includes inflow of mutual fund, outflow of mutual fund, fund value of mutual fund and the net flow of mutual fund. The result shows that only the Alpha of equal weighted net flow portfolio is significant. The other results show that the money of investors is comparatively smart.

本文以共同基金流量資料進行聰明錢效果的研究。聰明錢效果是指，當期接受到基金流入量高的共同基金，其下期共同基金績效會表現良好。使用共同基金流量的資料當作選取投資組合的指標，再以三因子以及四因子模型檢驗共同基金績效，並且計算所選出的投資組合的Alpha，看是否有顯著性，如果Alpha顯著大於0表示聰明錢效果存在。如果顯著性不明顯，則比較以共同基金流量跟以共同基金市值所作的投資組合Alpha，比較其差異性，如果以共同基金流量所作的投資組合Alpha值，大於以共同基金市值所作的投資組合，表示投資人的投資金錢有相對的聰明錢效果存在。 本研究使用資料是從2001年1月到2010年1月總共109個月的月資料，使用共同基金流入量、共同基金流出量、共同基金市值、共同基金淨量進行研究，結果顯示只有使用共同基金淨量且等權平均的投資組合，具有統計上顯著的聰明錢效果，其他研究結果則是支持有相對聰明的效果存在。