【摘要】：檢測臺灣股票型基金績效是否存在門坎上下不對稱效果,并進一步探討在不同的基金規(guī)模下投信業(yè)公司特征和董監(jiān)事規(guī)模對基金績效的影響。在實證模型的選取上,采用Hansen提出的縱橫門坎回歸模型進行檢測,以2005年～2007年臺灣地區(qū)投信業(yè)所發(fā)行的股票型基金作為研究對象。在實證結(jié)果方面,基金管理費用與基金報酬存在顯著非線性不對稱關(guān)系,且其影響取決于基金規(guī)模的差異;在不同基金規(guī)模區(qū)間的樣本群組,公司若收取較高的管理費用時,對基金報酬的影響則呈現(xiàn)出不同大小的負向關(guān)系;當基金規(guī)模超過門坎值或低于門坎值時,公司特征和董監(jiān)事規(guī)模對基金報酬的影響也呈現(xiàn)出顯著的差異,特別是在主要股東席次比方面,兩群組具有反向的顯著差異。
[Abstract]:This paper examines whether there is an asymmetrical effect on the performance of Taiwan stock funds, and further discusses the influence of the characteristics of investment trust companies and the size of supervisors on fund performance under different fund sizes. In the selection of empirical model, the vertical and horizontal threshold regression model proposed by Hansen is used to test, and the stock fund issued by Taiwan Investment Industry from 2005 to 2007 is taken as the research object. In terms of empirical results, there is a significant nonlinear asymmetric relationship between fund management costs and fund returns, and its impact depends on the difference of fund size. In the sample groups with different fund size ranges, if the company charges a higher management fee, the influence on the fund reward shows a negative relationship of different sizes. When the size of the fund exceeds or is lower than the value of the gate, the influence of the company characteristics and the size of the supervisor on the return of the fund is also significantly different, especially in the seating ratio of the main shareholders, there is a significant difference between the two groups.
【作者單位】： 靜宜大學財務(wù)金融學系;淡江大學財務(wù)金融學系;
【分類號】：F224;F832.7

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