臺(tái)灣投信業(yè)公司特征、董監(jiān)事規(guī)模與基金績(jī)效的關(guān)聯(lián)性分析
發(fā)布時(shí)間：2019-05-18 01:55
【摘要】：檢測(cè)臺(tái)灣股票型基金績(jī)效是否存在門坎上下不對(duì)稱效果,并進(jìn)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(duì)基金績(jī)效的影響。在實(shí)證模型的選取上,采用Hansen提出的縱橫門坎回歸模型進(jìn)行檢測(cè),以2005年～2007年臺(tái)灣地區(qū)投信業(yè)所發(fā)行的股票型基金作為研究對(duì)象。在實(shí)證結(jié)果方面,基金管理費(fèi)用與基金報(bào)酬存在顯著非線性不對(duì)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(fèi)用時(shí),對(duì)基金報(bào)酬的影響則呈現(xiàn)出不同大小的負(fù)向關(guān)系;當(dāng)基金規(guī)模超過門坎值或低于門坎值時(shí),公司特征和董監(jiān)事規(guī)模對(duì)基金報(bào)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(xué)財(cái)務(wù)金融學(xué)系;淡江大學(xué)財(cái)務(wù)金融學(xué)系;
【分類號(hào)】：F224;F832.7
本文編號(hào)：2479577
[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(xué)財(cái)務(wù)金融學(xué)系;淡江大學(xué)財(cái)務(wù)金融學(xué)系;
【分類號(hào)】：F224;F832.7
【相似文獻(xiàn)】
相關(guān)期刊論文 前2條
1 張鳴;陳震;;業(yè)績(jī)指標(biāo)、公司特征與高管人員報(bào)酬——基于兩類上市公司的比較分析[J];經(jīng)濟(jì)管理;2006年02期
2 齊艷;;從理論基礎(chǔ)談分散化投資策略在我國(guó)現(xiàn)階段股票型基金中的應(yīng)用[J];科技資訊;2007年05期
相關(guān)碩士學(xué)位論文 前2條
1 吳天宇;開放式基金份額變動(dòng)研究[D];上海財(cái)經(jīng)大學(xué);2005年
2 李歡歡;中國(guó)證券投資基金羊群行為[D];對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué);2007年
，本文編號(hào)：2479577
本文鏈接：http://sikaile.net/guanlilunwen/huobilw/2479577.html
最近更新
教材專著
