| Summary: | 碩士 === 國立臺北大學 === 企業管理學系 === 88 === "Size Effect” means that the return of small size stocks is much higher than big ones. And there is a negative relationship between the company size and the stock return. This phenomenon has been proved by many scholars in America, for example, Banz (1981), Reinganum (1981), Basu (1983),…etc. This kind of the abnormal phenomenon in the stock market causes various different points of view among scholars and they try to explain the reason of “Size Effect”. Among them, Stoll & Whaley (1983) consider that “Size Effect” is caused by ignoring the difference of transaction cost between small and big size companies. Therefore, after concerning the factor of transaction cost, the “Size Effect” may disappear or may even incur a reversed “Size Effect. ”
This thesis studies the open type mutual funds in Taiwan and the research period is from January, 1998 to December, 1999. In order to examine the “Size Effect” in Taiwan’s mutual funds market, the paper used time-series/cross section pooling regression model as the empirical model. The pooling regression model can solve the heteroscedasticity in the horizontal phase and the autocorrelation in the vertical at the same time. Furthermore, two variables--expense ration and turnover are added to reflect the explicit transaction costs associated with research and trading on the information of mutual funds. The study intends to explain the “Size Effect” of mutual funds by considering the transaction costs of funds. Finally, we examine the same topic on different investment types of open funds, including stock funds, bond funds and balanced funds.
The empirical results of this thesis are summarized as follows:
1.The effect of the information cost on the return of mutual funds:
The results of all open type funds and balanced funds are the same. That is the higher the expense ratio and turnover, the higher the return of funds. On the other hand, the results of stock funds and bond funds are the same. That is higher turnover and lower expense ratio will tend to higher return of funds.
2.The effect of fund size on the return of mutual funds:
The size variables are significant no matter in all open type funds or in stock funds, bond funds, and balanced funds. Therefore, the “Size Effect” in Taiwan’s open type mutual funds indeed exists. However, the different investment types of mutual funds may cause different direction and level of “Size Effect” on return.
3.The interaction effect of the information cost and fund size on the return of mutual funds:
Although there are some kind of correlation in the size variables and information cost variables, they can not replace each other. In other words, even in the same level of fund size, expense ratio and turnover still can affect return. On the contrary, in the same level of information cost, fund size also affects return. Therefore, the conclusion is that we can not explain the “Size Effect” by the fund transaction cost.
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