本文的主要目的在於釋放傳統時間存續模型中「終將失敗（eventually-fail assumption）」的假設條件，同時延續Schmidt ＆ Witte（1989）的區分母體存續時間模型（Split Population Duration Model），而提出多選項區分母體存續時間模型（Multinomial Split Population Duration Model），來估計影響共同基金發生終止及合併的顯著因子為何。本研究所提出的方法不同於Brown ＆ Goetzmann (1995)所採用的Probit模型、Lunde, et al. (1999)及Cameron & Hall (2003)的Cox比例風險模型（Cox’s proportional hazard model），主要的差異在於本文同時考慮共同基金是否發生終止、合併與存活三種狀態的機率決定因子及存續時間分析。透過比例風險檢定（test of proportional hazard assumption）與無母數Kaplan-Meier分析，本文拒絕了傳統的時間存續模型；此外，本文也依據概似比率檢定（likelihood ratio test）之結果來設定適合的區分母體時間存續模型。本研究針對美國及台灣基金資料所作的分析，其結果除了證實影響基金發生終止或合併的變數明顯不同之外，亦證實本文所發展的多選項區分母體存續時間模型確實有較佳的估計效率。

In this study, I not only criticize the in-appreciations of standard duration models (such as the Cox proportional hazard model) but also extend Schmidt and Witte’s (1989) split population model, mainly dealing with a binary outcome, to a multinomial split population duration model (MSPDM). This study also conducts survival analyses to decide which variables affect whether mutual funds are terminated or merged in the Taiwan and U.S. mutual fund markets. The methodology proposed in this study is different from Brown and Goetzmann’s (1995) Probit model and also from Lunde et al.’s (1999) and Cameron and Hall’s (2003) Cox proportional hazard model, in that it can simultaneously estimate the multiple outcomes of termination, merger, and survival according to the probabilities and hazard rate. After using a test of the proportional hazard assumption, and using nonparametric Kaplan-Meier analysis, this study rejects the standard duration model and then sets up the MSPDM model based on the results of log-likelihood ratio tests. The empirical results of this kind of analysis applied to U.S. and Taiwan mutual funds not only offered the critical factors for alternative models, but also found that the data set adopted in this study seems to favor the new model.

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