基金長短期投資人間成本轉嫁的現象

Abstract

基金為目前廣受歡迎的金融投資工具，同檔基金會有許多不同投資期限的投資人。當混和長期投資人與短期投資人在同檔基金中，對於基金管理公司及基金經理人會增加管理困難度，因為短期投資人頻繁進出開放式共同基金，會使基金規模改變，為因應投資人的資金需求，在投資人進行申購時，基金經理人須增加持股比例；在投資人進行贖回時，基金經理人須賣出資產變現，除了頻繁申購贖回產生的額外交易會產生額外成本外，為因應基金流動性，須維持較高的現金比例，減少基金報酬率，以上皆為短期投資人過多所造成的基金成本。本論文驗證基金混和長期投資人與短期投 資人，是否會因為較多短期投資人在內，使基金產生較高流動性成本，進而使基金績效下降。當短期投資人贖回後，將由繼續持有基金的長期投資人承擔因短期投資人頻繁進出所造成的成本，產生成本轉嫁的現象。

Mutual fund is a popular investment instrument. However, when there are many different types of shareholders with different investment horizons in the same mutual fund, it is more difficult for a fund manager to manage the fund. When short-term investors purchase and redeem a fund too often, they will cause the fluctuation of the assets under management.Because a fund manager usually holds a small percentage of assets in the form of cash, then fund manager will face fire sale when short-term investors as a whole redeem a lot of shares.The extra trades will increase not only the direct transaction costs but the indirect costs resulting from liquidity motivated trades. In addition, keeping a higher percentage of cash to provide liquidity will reduce the return of the portfolio. The purpose of the thesis is to examine whether a fund pooling both long-term and short-term investors incurs the liquidity cost and deteriorate the return due to too many short-term investors in the mutual fund. When short-term investors redeem their funds, long-term investors bear such liquidity cost. The thesis provides evidence that there is a significant effect of cost transfers across mutual fund shareholders with different investment horizons.