臺灣博碩士論文加值系統

論文摘要

解釋基金投資活動一直都是經濟學者們所關心及注目的課題﹐近年來基金投資之研究主要是使用連續型變數模型估計投資之資料﹐但投資之資料常屬間斷且非負整數之型態。若以連續型數量研究方法估計間斷型資料﹐模型規格設定的錯誤與資料處理上可能產生的重大遺漏﹐均可能導致最終之實證推論發生偏誤﹐因而使研究成果之可信度及參考之價值降低。

本文研究之重心在於基金之持股﹐而研究之目的則在於運用可數追蹤資料模型與重複間斷選擇模型等間斷數量研究方法﹐深入檢驗暨探討可能影響基金持股的重要個總體經濟因素。實證之樣本為台灣地區2000-2002年間﹐成立三年以上的科技型基金對上市電子類股持股之月資料。實證結果歸納如下:

(一) 模型規格之檢定:
Hausman 檢定值為36.825﹐表模式中之解釋變數與干擾項間存在顯著之關聯性﹐實證分析之模式應設定為具有固定效果的追蹤資料模型。

(二) 個體面變數之實證結果:
1.個股前期報酬率與基金持股間呈顯著正相關之結論顯示出基金經理人偏好增加前期報酬率高個股之持股數﹐隱含科技型基金經理人間普遍存在追漲操作之投資行為﹐支持Grinblatt et al.(1995)實證之結果。
2.公司規模與基金持股間呈負相關間接隱含經理人認同股票市場存在規模效果﹐支持Banz(1981)對規模效果之實證。
3.本益比對基金持股之影響為顯著負相關﹐支持Basu(1977)與Reinganum(1981)研究之發現。
4.個股標準差與基金持股二者間呈現顯著正相關之實證結論並不支持Campbell與Hentschel(1992)的波動性回饋假說。我們這或許是因為本文實證分析之樣本僅限於科技型基金所造成。科技型基金多屬積極成長型基金﹐偏好持有價格波動幅度較大之個股。
5.個股之週轉率對基金持股之影響唯有準概似估計法之估計結果呈顯著正相關﹐且估計之參數值較小﹐表示個股週轉率對本研究中基金持股之影響甚低﹐這似乎與Falkenstein(1996)研究之結論並不一致﹐然此二者間其實並無衝突與矛盾之處。因相較於Falkenstein對所有類型基金之全面性研究﹐本文只侷限於研究科技型基金。因該類基金持有科技類個股之比重甚高﹐而科技類股在台灣股市屬熱門交易之類股﹐不易產生週轉率低落之情形﹐故對基金持股之影響並不顯著。

(三) 總體面變數之實證結果:
1.基金持股顯著受貨幣供給成長率與利率等二貨幣政策指標變數之影響﹐與貨幣供給成長率間呈顯著正相關而與利率間呈顯著之負相關﹐這表示政府寬鬆貨幣政策所增加的資金可能流入基金市場進而導致經理人增加整體持股。
2.基金持股與工業生產成長率成正相關且與消費者物價上漲率呈負相關﹐但均不顯著。造成此二變數解釋能力低落之原因可能為台灣證期會對基金投資金額之限制﹐其規定基金持股至少須達至一定之比例方能收取全額之管理費用﹐否則將只能收取半數管理費。此一規定可能使經理人不理會經濟景氣與物價之變動﹐為求收取全額之管理費用而經常維持一定比例之持股﹐導致此二變數對基金持股之影響均不顯著之實證結果。
3.匯率與基金持股間成正相關隱含台灣高科技公司屬於出口傾向﹐然估計之結果不顯著可能是因為匯率對國內型基金之影響力有限所致。

目錄
摘要　1
　
1.前言　4
　
2.模型設定　10
基金持股模型　10
實證模型　13
　
3.估計方法　15
條件最大概似估計法　16
準最大概似估計法　17
一般動差估計法　18
　
4.資料說明　21
基金持股資料　21
個體面經濟因素資料　24
總體面經濟因素資料　26
　
5.實證研究　28
個體面經濟因素之實證結果　28
個體面經濟因素之實證結果　31
6.結論　32
　
7.參考文獻　33

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