臺灣博碩士論文加值系統

　　一般衡量共同基金的系統風險時，多數人使用資本資產定價模式( Capital Asset Pricing Model；CAPM ) 裡的Beta係數。在CAPM的假設中，Beta係數是固定的，不變的。然而，實際上並不是這樣。Fabozzi與Francis(1977)認為不論景氣繁榮或蕭條，系統風險的差異可以由變動性風險模式計算出來，並提出了雙 資本資產模式，代替以往單一的不變風險模式。本文將與Francis (1977)基礎上做進一步的討論，假設Beta係數服從常態分配，利用貝氏方法找出更合理的估計方法。另外，有關共同基金的研究上，往往受到樣本資料期間過短的限制。在本研究中，我們利用統計模擬上的自助法 ( bootstrap method ) 法來處理這個問題。

We usually use Beta coefficient to estimate the systematic risk of mutual funds, and suppose that Beta coefficient is fixed in the CAPM. Fabozzi and Francis (1977) claim that Beta coefficient is different when mutual funds are over bull and bear market. For example, suppose that a fund manager correctly adjusts the fund’s Beta coefficient in the anticipation of a bull market. Hence, the Beta coefficient for the bull market would be greater than the Beta coefficient estimated from using both bull and bear market period. In order to solve this problem, they build a double Beta coefficient model to replace the original model. In this article, we suppose that Beta coefficient is random and normally distributed. Interval estimation method is used to explain the variability of Beta risk based on the Baysion method and bootstrap method.

第一章 緒論…………………………………………………… 1
　第一節　研究背景與動機…………………………………… 1
　第二節　研究目的…………………………………………… 4
　第三節　研究範圍…………………………………………… 5
第二章理論基礎與文獻探討…………………………… 8
　第一節　理論基礎…………………………………………… 8
　第二節　文獻探討………………………………………… 10
第三章研究方法………………………………………… 17
　第一節　變數定義及估算…………………………………… 17
　第二節　資本資產定價模式………………………………… 18
　第三節　自助法估算法……………………………………… 20
　第四節　貝氏估算法………………………………………… 22
第五節　績效評估方法……………………………………… 25
第四章實例探討……………………………………………. 28
　第一節　Beta的估計…………… …………………………… 28
　第二節　績效評比…………………………………………… 41
第五章結論與建議……………… ………………………… 49
　第一節　結論………………………………………………… 49
　第二節　建議………………………………………………… 50
參考文獻………………………… …………………………… 52

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