隨著中國大陸證券市場之開放，中國相關之投資基金業也如雨後春筍般的設立，共同基金擁有著專業經理人管理、風險分散以及定期投資等等之特性，在考慮風險後之共同基金是否能有效為投資人帶來超額報酬為本研究之主題。　　
　　過去實證研究指出在股票市場中，小規模公司相較於大規模公司往往會帶來規模超額報酬，而基於此實證，本研究探討基金規模是否會影響基金績效表現。
　　本研究以Fama-French三因子模型、Carhart四因子模型及修正後之多因子模型作為探討基礎去衡量中國大陸之共同基金是否擁有超額報酬，研究期間自2003年1月至2009年12月，選取261檔開放式股票型基金作為實證研究樣本，並利用基金規模作篩選，評估期分為每季、半年與年去辨別在不同之基金規模與衡量期間下，基金規模是否會影響基金表現。
　　實證研究結果指出在多因子評價模型下，中國大陸之共同基金擁有超額報酬，此結果代表考慮風險後，投資在中國大陸之基金仍會擁有超額報酬，代表中國大陸基金經理人擁有擇股能力。而投資在不同規模之基金獲得之報酬並無顯著不同，代表在中國大陸共同基金市場並未存在顯著之規模效應。

In recent years, China has demonstrated high economic growth and in the meantime, capital market in China has grown up in rapid pace. Due to this reason, one wishes to know whether he could earn positive return in mutual funds issued in China.
　　Previous research findings revealed that the stock size of a stock can affect the stock’s return. In this research, we wish to know whether the fund size of a mutual fund can also have a similar impact on its return.
　　We used CAPM, three-factor, four-factor and modified multi-factor models to evaluate the effects of fund size, book to market ratio, momentum factor and market factor. By empirical study over the period from January 2003 to December 2009, it has been found that mutual funds in China did have abnormal (access) returns regardless of their fund sizes. It was also found that the returns between mutual funds have no significant difference no matter what their fund sizes were.

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