台湾投信业公司特征、董监事规模与基金绩效的关联性分析
发布时间：2019-05-18 01:55
【摘要】：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。
[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.
【作者单位】： 静宜大学财务金融学系;淡江大学财务金融学系;
【分类号】：F224;F832.7
本文编号：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.
【作者单位】： 静宜大学财务金融学系;淡江大学财务金融学系;
【分类号】：F224;F832.7
【相似文献】
相关期刊论文 前2条
1 张鸣;陈震;;业绩指标、公司特征与高管人员报酬——基于两类上市公司的比较分析[J];经济管理;2006年02期
2 齐艳;;从理论基础谈分散化投资策略在我国现阶段股票型基金中的应用[J];科技资讯;2007年05期
相关硕士学位论文 前2条
1 吴天宇;开放式基金份额变动研究[D];上海财经大学;2005年
2 李欢欢;中国证券投资基金羊群行为[D];对外经济贸易大学;2007年
，本文编号：2479577
本文链接：https://www.wllwen.com/guanlilunwen/huobilw/2479577.html
