| Summary: | 碩士 === 國立交通大學 === 經營管理研究所 === 100 === In this paper, we apply the data envelopment analysis (DEA) to compute the efficiency mutual funds in Taiwan. The panel data set contains a total of 342 mutual funds during 2006-2011. The truncated model is used to estimate the effects of environmental variables in Taiwan. In the first stage, we compute efficiency scores of the mutual fund. The output variable is the risk-adjusted return (RAP). In the second stage, we measure the impact of environmental variables on the performance of the fund with the truncated regression proposed by Simar& Wilson (2007). The results of this study show that expense ratio and financial holding company affiliation have significantly positive impacts on fund performance. Compared to other two types (technology and communication and growth funds), the balanced fund has better performance. Funds established longer and fund managers who operate funds longer have significantly negative impacts on the performance. A manager with an MBA degree or science background has a significantly negative impact on fund performance. Empirical results show that the fund managers have high education may not be able to guarantee that they will make the fund perform better, even it would hurt performance of funds and make it worse. Fund managers in operation of multiple funds simultaneously will significantly enhance fund performance, showing the property of scope economy.
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