本文旨在觀察，當共同基金面臨大量且持續性的現金流量改變時，經理人在股票交易上是否對不同流動性等級之股票有偏好存在，並檢驗投資組合流動性偏好對後續績效之影響。本文利用Clarck, Cullen, Gasbarry(2007)所提出之研究架構檢驗台灣市場股票型基金並判斷基金流量變化，在後續績效指標的使用以投資人取得資訊成本最低為原則。研究結果顯示經理人交易時，的確有偏好存在，而在現金流入時，降低投資組合流動性會有較佳後續績效，在現金流出時則是提高投資組合流動性會有較佳後續表現。 When facing large amount and continuously cash flow change in the mutual fund may force the manager to trade stock without hesitation. This thesis investigate the preferences of manager on the liquidity of stock trade when the mutual funds that invested in Taiwan stock market experiencing large and sustained redemption (outflow) or purchasing (inflow). We examined how the liquidity preferences influence the mutual fund performance. This study used the analysis framework published by Clarck, Cullen, Gasbarry (2007) to evaluate the mutual fund liquidity preferences and to estimate the cash flow change of mutual fund. The standard for evaluating the performance index was to set the cost for the investors to get information in the lowest. The empirical results suggest that there was preference in manager trade liquidity. When mutual fund facing sustained cash inflow; the better strategy was to reduce the portfolio liquidity. The underperform fund should raise portfolio liquidity when experiencing sustained cash outflow.
