| 摘要: | 本論文針對2008 年至2018 年150 檔國內股票型基金中934 筆基金經理人為研究對象，實證分析基金經理人特質及基金特性對操作期間基金風險與績效的影響。基金經理人特質主要涵蓋學歷、性別、年資；基金特性主要關注於基金規模、費用率、週轉率、基金成立年數與風險轉換程度高低等。基金績效與風險指標主要使用年化標準差、Beta 值、Sharpe 值、Jensen 值與Treynor 值等，實證結果如下：第一，國內基金經理人的性別、年資與基金操作績效呈顯著正相關，特別是男性經理人操作績效顯著優於女性，且任職年數愈久，操盤績效愈好；第二，擁有國外學歷的基金經理人與操作績效呈現顯著負相關；第三，基金規模、成立年數與基金操作績效呈現顯著正相關，但是平均費用率與基金週轉率卻呈現負相關；第四，國內基金經理人並無過度自信的操盤情形。
Using 934 fund managers data on 150 domestic stock mutual funds from 2008 to 2018, this thesis is aimed at analyzing the impacts of fund manager characteristics and fund characteristics on fund risk and performance. Fund manager characteristics mainly focus on education, gender, and fund experiences, and fund characteristics include fund size, expense rate, turnover rate, fund establishment years and risk conversion level. The fund performance and risk indicators mainly use the annual standard deviation, Beta, Sharpe, Jensen α, and Treynor. My empirical results show as follows: First, the gender, fund experiences and performance of domestic mutual fund managers are significantly correlated positive, especially the performance of male managers is significantly better than that of females, and the longer the number of years of operation, the better the performance of the trading; second, the fund managers with foreign degree are significantly negatively correlated with fund performance; third, the size of the fund, the establishment of the fund, the number of fund years are significantly positive correlated with the fund performance, but the average fee rate is negatively correlated with the fund turnover rate. Fourth, the domestic fund managers also show no evidence about the overconfidence. |
