本研究主要以Fama & French(1993)所架構的市場風險溢酬、公司規模及淨值市值比之三因子模型，再加入Teynor & Mazuy(1966)提出的二次式的型態以檢視共同基金之擇時能力，以及加入共同基金持股積極程度判斷之週轉率控制項，形成本研究的模型來檢視國內共同基金異常報酬之特徵。整體而言，國內股票型共同基金經理人不具備選股能力亦不具備擇時能力。而市場風險溢酬因子、公司規模因子及淨值市值比因子，可解釋國內共同基金績效之異常報酬，其中國內「中小型股票基金」較「一般股票型基金」及「科技型基金」，於高風險溢酬、小公司規模及低淨值市值比，都有較為顯著之表現，可為投資人創造較優之報酬。唯國內所有股票型共同基金，其過高的週轉率伴隨高交易成本以致可能抵消績效，因此週轉率對國內股票型共同基金報酬不具備解釋能力。This study aims to examine the market timing ability of mutual funds with the three variables- market risk premium, size premium, and BV/MV ratio premium, submitted by Fama & French (1993), and with Teynor & Mazuy Model (1966). Meanwhile, combining the variable of turnover ratio which can verify the active level of mutual fund holding with the three variables mentioned above will mould the four-variable model to validate the characteristics of domestic mutual fund abnormal return. The managers of domestic stock mutual fund basically are not equipped with the ability of stock picking and market timing. Market risk premium, size premium, and BV/MV ration premium are able to indicate the abnormal return of domestic mutual funds. Domestic small & mid cap funds have more remarkable performance than stock funds and technology funds do on the basis of high risk premium, small size premium, and low B V/MV ratio premium, so as to help investors gain more return. However, for all domestic stock mutual funds, high turnover ratio with high transaction cost may eliminate their returns; hence, turnover ratio is not meant to be a main factor to domestic stock mutual funds.
