臺灣博碩士論文加值系統

過去研究基金績效是否可以預測，主要是從基金經理人外在的選股能力、擇時能力與資產配置等進行探討，並未從基金經理人的內在心理角度來分析。本文選取從2001年至2013年共同基金中競爭激烈的35檔國內股票型基金，在考慮了變數的橫斷面相依與異質性的問題之後，以每5年為一區間，採用Kónya (2006)的拔靴追蹤資料因果關係模型，區分基金經理人情緒與基金績效的四種因果關係：樂觀、保守、回饋與中立，建立四種投資組合，觀察何種投資組合有較佳的未來報酬。實證結果發現，無論是1年或3年期的未來報酬，屬於回饋型因果關係的投資組合，即基金經理人情緒與基金績效互相影響的基金組合，有最佳的報酬表現；而屬於保守型因果關係的投資組合，即基金績效會影響基金經理人情緒的基金組合，有較差的報酬表現。研究結果，有助於學術界對專業投資人心理偏誤的了解，以及提供實務界人士基金挑選與基金評等單位的另一種評鑑準則。

Previous researches upon whether fund performance can be predicted mainly depends on analyzing fund managers’ external selectivity ability, timing ability and asset allocation policy, yet never were their inherent psychological aspects taken into evaluation. This study extracted 35 competitive Equity of Mutual Funds in Taiwan from year 2001 to 2013. Taking into the phenomenon of cross-sectional dependence and heterogeneity of variables, we applied Bootstrap Panel Granger Causality Test proposed by Kónya (2006) with every 5 years as a period to distinguish the four causalities of fund managers’ sentiment and fund performance - Optimism, Conservation, Feedback, and Neutrality for establishing four kinds of portfolios. To observe what the portfolio has a better future return. The empirical results show, regardless future rewards of 1 year or 3 year periods, the Feedback of causality which involves mutual effect between fund managers’ sentiment and fund performance is the best reward. On the contrary, the Conservation of causality where fund performance affects fund managers’ sentiment, is rather poor in reward. The result will contribute to the academia with a deeper understanding of professional investor’s psychological bias and will also serve as a supplementary criterion for future fund selections and ratings.

目 錄
中文摘要 i
英文摘要 ii
誌謝 iii
目錄 iv
表目錄 vi
圖目錄 viii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構與流程 3
第二章 文獻探討 5
第一節 共同基金定義與分類 5
第二節 投資人情緒 8
第三節 基金績效 16
第四節 基金經理人特質與基金績效 20
第三章 研究方法 22
第一節 研究樣本與期間 22
第二節 基金經理人情緒衡量方法 24
第三節 基金績效衡量方法 25
第四節 拔靴追蹤因果關係模型 26
第五節 重覆期間觀察法 29
第六節 研究設計 32
第四章 實證結果與分析 34
第一節 基金經理人情緒敘述統計分析 34
第二節 基金績效敘述統計分析 34
第三節 橫斷相依和同質性檢定分析 37
第四節 拔靴因果關係檢定分析 38
第五節 拔靴因果關係檢定彙總 48
第六節 四種因果關係未來報酬預測 51
第五章 結論與建議 54
第一節 結論 54
第二節 建議 56
參考文獻 57
中文部分 57
英文部分 58


表 目 錄
表1 共同基金分類表 6
表2 股票型基金分類表 7
表3 開放型中小基金與上櫃股票型基金表 22
表4 研究樣本統計表 23
表5 基金經理人情緒敘述統計表 35
表6 基金績效敘述統計表 36
表7 橫斷相依和同質性檢定表 37
表8-1 拔靴追蹤因果關係檢定2001~2005年樣本基金統計表 39
表8-2 拔靴追蹤因果關係檢定2002~2006年樣本基金統計表 41
表8-3 拔靴追蹤因果關係檢定2003~2007年樣本基金統計表 42
表8-4 拔靴追蹤因果關係檢定2004~2008年樣本基金統計表 43
表8-5 拔靴追蹤因果關係檢定2005~2009年樣本基金統計表 45
表8-6 拔靴追蹤因果關係檢定2006~2010年樣本基金統計表 46
表8-7 拔靴追蹤因果關係檢定2007~2011年樣本基金統計表 47
表9 拔靴追蹤因果關係檢定之有顯著水準彙總表 48
表10拔靴追蹤因果關係檢定2001~2011年樣本基金四種因果關係對照表 49
表11拔靴追蹤因果關係檢定四種因果關係未來一年之累計報酬表 50
表12以拔靴法分類後預測未來一年之平均報酬表 52
表13以拔靴法分類後預測未來三年之平均報酬表 53


圖 目 錄
圖1：研究架構流程 4
圖2-1：一年持有期之投資組合重疊法形成圖 29
圖2-2：三年持有期之投資組合重疊法形成圖 30

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