臺灣博碩士論文加值系統

自2007年金融風暴之後，投資人因投資股票損失慘重，因此轉向青睞對於有額外配息可增加投資標的物報酬率的債券型基金，尤其是以配息較高的高收益債券基金為最甚，投資人甚至以報酬率排行榜作為買進投資標的物的基準。
因國內外有許多討論股票動能理論為研究基礎，但鮮少以高收益債券為研究樣本，故本研究著手探討高收益債券基金的動能效果。本研究採用T檢定為檢定動能效果的方法，選取23檔境外高收益債券基金，先比較形成期間月/季報酬率排行的贏家與輸家報酬是否有顯著差異，印證高收益債券型基金是否具備強者恆強的動能效果，再進一步探討波段操作或長期持有何種投資策略可以讓投資人賺取超額報酬。
實證結果顯示，8種投資組合中佐以扣除費用前後的16個表列結果贏家報酬率並未顯著大於輸家，投資策略上不管短期，中期皆可透過有效率的買賣操作方式獲取超額報酬，然而長期持有者建議選擇全球型且成立時間久的高收益債券基金為投資標的首選。

After the financial crisis since 2007, owing to the disastrous losses of share investments, therefore the investors turn to favor the Bond Type Funds which are able to increase the return rate of investment target by additional allotment of interests. And, the High-Yield Bond Type Funds with higher interest allotment is especially the most favorite type. The investors even take the ranking of return rate as the buy-in criterion of investment target.
Because the High-Yield Bonds were rarely taken as the study sample in plenty of domestic and overseas discussions that taken the kinetic theory of shares as the study basis, therefore this study undertook the investigation on the kinetic effect of the High-Yield Bond Type Funds. This study adopted the t-Test as the methodology for the test of kinetic effect. There are 23 cases of overseas High-Yield Bond Type Funds adopted. Firstly, it compared the returns of winners and losers that were ranked by the monthly or seasonally return rates in the formation periods to observe whether there has any significant difference; and to verify whether the High-Yield Bond Type Funds possess the kinetic effect of “The stronger is always the winner”. Secondly, it conducted the further investigation on the capability of allowing the investors to earn their excess returns by wave-band operation or long-term holding on what kinds of investment strategies.
The empirical results has shown that the return rates of winners have not larger than those of losers by the 16 listed results in the 8 kinds of investment combinations which were assisted with the before/after
-deducted expenses. On the investment strategies, it always can be through the effective ways of transaction operations to obtain the excess returns; and it is regardless of short-turn or middle-term in the periods. However, the long-term holders recommend to choose the global-type and long-time established High-Yield Bond Funds as the best selective investment targets.

目錄
第一章緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 研究架構 6
第二章 文獻回顧 7
第一節 高收益債券基金介紹 7
第二節 國內外文獻探討 13
第三章 研究設計 18
第一節 資料說明 18
第二節 研究方法 21
第四章 實證結果 23
第一節 短期動能效果檢定-以每個月為一期 23
第二節 中期動能效果檢定-以每三個月為一期 27
第三節 買進月/季績效排行榜高收益債並採波段操作績效評估 31
第四節 買進且長期持有的績效評估 33
第五節 小結 34
第五章 結論與建議 36
參考文獻 37

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