共同基金風格飄移：影響與成因

Abstract

本研究針對2003年-2018年間美國共同基金市場進行研究，對共同基金的投資風格飄移的成因及其對報酬之影響進行探討。結果顯示無論在一般景氣狀況與景氣衰退的市場下，基金的風格飄移程度與報酬均呈現正向關係。另外對於風格飄移的成因，發現基金的報酬與低從眾效應會加強基金未來的風格飄移程度，並且報酬贏家會較輸家的風格飄移程度大，基金的報酬與從眾效應都為風格飄移的重要因素。This study examines the causes of mutual fund investment style drift and its impact on returns in the U.S. mutual fund market from 2003-2018. The results show a positive relationship between fund style drift and returns in both general and recessionary market. In addition, it was found that fund returns and low herding effect would enhance the fund's future style drift, the return winners would have a greater style drift than the losers. Both fund returns and herding effect were important factors for style drift.