共同基金由於投資類型多樣化、投資門檻低且投資便利性高的原因，深受台灣國內投資人的喜愛，共同基金的總資產規模也日益上升。過去有關國內共同基金的研究多在驗證基金流量與績效之間的交互關係，抑或是基金績效的持續性。
本文以2010年至2021年間國內股票型共同基金作為樣本，首先利用T檢定觀察基金前期流量與績效是否為影響後續淨流量與風險變化的因素，由前期流量高且績效佳的基金將增加未來的風險承擔之結果，顯示國內的基金經理人可能具有過度自信。隨後進一步將基金的淨流量拆分為高、中、低三個部分，利用分段線性迴歸、Fama-Macbech迴歸實證，旨在探討基金前期的流量與績效如何影響基金未來的風險水平以及基金經理人的風險移轉決策，並且驗證其風險移轉後對於基金績效持續性的影響。
實證結果發現，基金經理人在經歷高流量與高績效後所引發的過度自信會導致基金未來的風險上升，為了拆解風險上升的來源，本文加入三個風險移轉機制來分析，發現基金週轉率以及基金貝他值的上升，會造成未來績效下降，並且對於基金的績效持續性也有負向的影響。

Mutual funds are welcomed by investors in Taiwan. The total assets under management of mutual funds are also increasing day by day, due to the diversification of investment types, low investment threshold and high convenience.
This study using a sample of domestic open-end equity fund in Taiwan from 2010 to 2021, and with the method of piecewise regression and Fama-Macbech regression. Aims to investigates how the fund’s past flow and performance affect the future fund’s risk level amd managers’ risk shifting decisions. Also the subsequent impact on the fund’s performance persistence is concerned.
The empirical results show that the overconfidence of fund managers caused by experiencing high flow and good performance will lead to an increase in the fund’s future risk. In order to disassemble the source of the rising risk, this study adds three risk shifting mechanisms. Finds that the increase of fund turnover rate and fund’s beta will lead to a decline in future performance, and also have a negative impact on the persistence of fund performance.

論文審定書 i
誌謝 ii
摘要 iii
ABSTRACT iv
圖目錄 vi
表目錄 vi
第一章、緒論 1
第一節 研究背景與動機 1
第二節 研究目的與預期效益 2
第三節 研究架構 4
第二章、文獻回顧 5
第一節 共同基金績效與流量之間的關聯性 5
第二節 基金績效持續性之研究 6
第三節 基金經理人之過度自信行為與風險移轉機制 8
第四節 研究假說 11
第三章、資料與研究方法 12
第一節 資料來源與樣本期間 12
第二節 基金流量、績效與風險衡量方式 13
第三節 風險移轉機制的衡量方式 14
第四節 敘述統計與資料分析 15
第五節 模型設計與研究方法 19
第四章、實證結果與分析 26
第一節 以T檢定觀察基金分組差異顯著性 26
第二節 基金前期流量與績效對未來風險變動關係 28
第三節 基金前期流量、績效與風險移轉機制間的關係 31
第四節 基金風險移轉後對未來績效之關係 34
第五節 基金績效持續性之檢驗 40
第五章、結論與建議 42
第一節 結論 42
第二節 後續研究建議 44
參考文獻 46

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