臺灣博碩士論文加值系統

論文摘要
此篇論文在於分析台灣股市中高週轉率共同基金的交易報酬，我們發現以下幾個結果：（1）為當月內買賣交易一次的平倉資料有負的顯著水準。（2）平均而言低於一年內的期間基金經理人買的投資組合減去賣的投資組合經由假設檢定都沒有顯著水準，不管其值為正或者是負，在扣掉手續費及交易稅時，其結果相同都為不顯著。（3）在這些交易報酬率中只有在計算為一年的時期經由假設驗證有顯著水準且其值為正。
從以上的結果發現單月的高週轉率基金是沒有較多的資訊去獲取較佳的報酬，而在擇時能力也是相對不理想的，再者對於基金的短期交易策略表現也不是很好。
在實證分析上我們將之分為兩個原因（1）基金經理人的過度自信行為（2）基金經理人的代理關係問題。
然而也可以從平倉資料數據中的到基金經理人有錯置效果行為，這表示他們可以很理性的馬上決定出售下跌而損失的股票。

Abstract
This paper analyzes the value of the high turnover rates of mutual funds in the Taiwan equity market. We find the following results: first, the round-trip intra-month returns are significantly negative. Second, on average in the evaluation period less than a year either the securities they purchase actually underperform those they sell, or the outperformance for securities bought over those sold is not significant before or after reasonable transaction costs and taxes are deducted. Third, the post-transaction returns indicate significant outperformances appear only if the measure period is one year. The conclusions from the above findings are that at least the monthly highest-turnover mutual funds are not better-informed and better-timing institutional investors, and high-turnover strategies do not work in Taiwan stock market in short term. The preliminary theoretical explanations to the empirical results are mutual fund managers in Taiwan are overconfident before and at the moment when they make their decisions to make transactions. However, they are rational enough to some degree to sell their losers quickly and free from the disposition effect.

目 錄
頁次
目錄………………………………………………………………Ⅳ
表目錄………………………………………………………………...Ⅴ
圖目錄………………………………………………………………..Ⅵ
第一章 緒論…………………………………………………………1
第一節 研究背景與動機……………………………………………………1
第二節 研究目的…………………………………………………….………2
第三節 研究流程……………………………………………………………5
第二章 文獻探討…………………………………………….……..6
第一節 共同基金的定義與交易方式……………………………….………6
第二節 效率市場假說……………………………………………….………8
第三節 基金週轉率………………………………………………….…….10
第四節 行為財務學理論………………………………………….……….12
第五節 過度自信行為………………………………………….………….14
第六節 共同基金代理問題與從眾行為……………………….………….17
第三章 資料來源與分析………………………………….……….20
第一節 資料來源……………………………………………….………….20
第二節 資料分析……………………………………………….………….22
第三節 資料分析方法………………………………………………………26
第四章 資料分析結果與討論……………….………………….…33
第一節 資料分析結果…………………………….……………………….33
第二節 問題討論 ………………………………………………………...46
第五章 結論與建議………………………………………………..48
參考文獻…………………………………………………….…………50
附錄……………………………………………………………………53

參考文獻
一、中文部份
1. 吳孟君(2000)，「共同基金從眾行為與價格發現之研究」，國立中正大學財務金融研究所未出版碩士論文。
2. 范揚洲(1999)，「共同基金擇股偏好與從眾行為之研究」，國立中央大學財務管理研究所未出版之碩士論文。
3. 徐子哲共同基金代理問題之研究國立中央大學財務管理研究所未出版碩士論文
4. 許家豪(2001)，「基金經理人特質與基金行為之關聯性」，國立中正大學財務金融研究所未出版碩士論文。
5. 陳志偉(1999)，「基金經理人裁量性投資行為之研究」，私立輔仁大學金融研究所未出版碩士論文。
6. 陳虹霖(2002)，「國內共同基金投資人過度自信行為之研究」，國立台灣大學財務金融研究所未出版論文。
7. 黃彥彰(2001)，「共同基金代理問題之探討」，私立銘傳大學國際企業管理研究所未出版碩士論文。
8. 葉銀華、陳志偉、邱顯比(2000)，「基金經理人裁量性投資行為之研究」，中山大學財務金融學刊第八卷第一期。
9. 龔怡霖(2001)，「行為財務學－文獻回顧與未來發展」，國立中央大學財務管理研究所未出版碩士論文。
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