共同基金為台灣人仰賴的資產配置方式之一，台灣的公募基金總規模在過去的16年間已經成長了約莫2.5倍，而基金績效與申購金流一直都是熱門的研究議題，回顧過往文獻，談及基金之流動性時，「樂透型因子」為流動性異常的可能要素，意指樂透因子曝顯較大的基金，將有異常的現金流入或流出，因此本研究將以此作為研究議題。
　　樂透狂熱指的是對巨額彩票獎金的熱情或興奮，往往會導致彩票銷售的激增。如同本研究欲探討的其中一個議題，也就是台灣基金市場是否存在樂透狂熱的現象，推升了樂透型基金的申購金流流入。
　　研究結果指出，為了迎合投資人偏好以吸引現金流，規模較小、報酬率低且申購金流少的基金經理人將有誘因提升基金中的樂透型股票持有，使得樂透因子的曝險提升，並且將成功的吸引現金流入。但是與此同時，基金經理人將承受未來基金報酬下降，以及申購現金流將相較同樣樂透因子曝險的基金為少的風險。最後，本研究驗證了樂透型因子動能因子相關性波動度大，僅有在皆為高曝險情況下，相關性較高。

Mutual funds are popular among Taiwanese individuals for asset allocation. The size of public mutual funds in Taiwan has grown by about 2.5 times in the past 16 years. Previous research has focused on fund performance and subscription cash flows, particularly the “lottery factor” related to fund liquidity. This study aims to investigate the impact of the lottery factor on funds. Lottery fever refers to the excitement caused by lottery jackpots, leading to increased ticket purchases. This study examines whether lottery fever exists in the Taiwanese fund market and drives inflows into lottery funds.
The study findings reveal that smaller funds with lower returns and limited flows tend to increase their holdings of lottery stocks to attract cash flows based on investor preferences. This increases their exposure to the lottery factor and successfully attracts cash inflows. However, these funds also face the risk of future decreases in returns and lower flows compared to funds with similar lottery factor exposures. Additionally, the study confirms that the correlation coefficient between the lottery factor and momentum factor exhibits significant volatility, showing a higher correlation only under high exposure conditions.

論文審定書i
中文摘要ii
Abstractiii
List of Figuresvi
List of Tablesvii
Chapter 1Introduction1
1.1Research Motivation1
1.2Research Purpose2
Chapter 2Literature Review4
2.1Lottery characteristic4
2.2Lottery funds5
Chapter 3Data and Methodology8
3.1Data8
3.2Lottery characteristic: MAX11
3.3Other key variables: Momentum15
3.4Methodology16
Chapter 4Empirical Result22
4.1Fund characteristics associated with lottery holdings22
4.2Comparison of lottery fund characteristics with high turnover funds25
4.3What characteristics make funds more likely to become lottery funds?31
4.4Can lottery funds attract cash flows?36
4.5The performance and cash flow after becoming a lottery fund38
4.6MAX factor versus Momentum factor exposure44
Chapter 5Conclusions and Suggestions49
5.1Conclusions49
5.2Suggestions51
References53

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