臺灣博碩士論文加值系統

摘 要
投資人常購買各式各樣受積極管理且投資於特定類型資產的基金以規避風險，而O’Neal(1997)的研究發現，多重基金之投資組合所含的風險遠低於持有單一基金之投資組合；此外，Sharpe(1992)亦指出，適當的基金風格分類將有助於投資人有效的風險分散。因此，為達此目的，投資人必須能對於共同基金報酬間的相互關聯作精確預測。投資人在事前正確估計相關性的能力將會決定其投資組合中最佳組成份子的選擇。
本研究以三種不同類型的模型－歷史模型、均數模型及指數模型，估計共同基金未來的相關性，並比較各模型之預測績效。希望能找出最適應用於我國共同基金之相關性預測模型，以期能對投資人於管理共同基金投資組合時有所助益。由於許多實證結果均顯示具有某些共同特徵因子的股票在歷經不同的經濟情況及景氣循環後，仍有相似的報酬；再者，投資風格亦是影響基金報酬的重要因素。故本研究在指數模型中模型之選取方面，除了常見的市場模式以外，亦包含風格指數模型、多重風格指數模型、Fama-French三因子模型及Ferson and Warther(1996)提出之動態模型；此外，本研究另依Buetow, Johnson and Runkle(2000)之觀點，設計符合我國股市交易特性的產業多重風格指數模型，並將其納入前述預測模型中予以一併探討。
本研究實證結果顯示，以電子/非電子及規模或成長/價值及規模差異作為解釋變數之多重風格指數模型及Fama-French三因子模型，不只是最佳預測模型，而且在相同及不同風格類型之基金子樣本均一致，表示其預測績效並不受共同基金風格類別型態影響，具有良好的穩定性；而動態模型亦有不錯的預測績效穩定性，但其在事後有良好產生歷史相關矩陣能力的均數模型在測試期之預測績效卻不佳；此外，在事後績效表現較差的單一指數模型在測試期之預測能力亦不佳。整體而言，多數模型之預測能力較歷史模型為佳。

Abstract
For diversification considerations, investors often buy various mutual funds that are actively managed with a focus on specific market segments. Recent research by O’Neal(1997) shows that a multi-fund portfolio is far less risky than its single-fund counterpart. Moreover, Sharpe(1962) shows that appropriate style classification will enable investors to diversify effectively. To successfully implement a strategy of diversification investors must obtain accurate estimates of correlation among mutual fund returns. An investor’s ability to produce accurate ex-ante estimates of correlations will determine the optimal choice of securities in their portfolio.
This paper forecasts mutual fund correlations using three major model categories — historical, mean, and index models. We evaluate the performance of each model in forecasting correlations among equity mutual funds in Taiwan to provide useful information for investors to manage a portfolio of mutual funds. Many studies have shown that stocks with some common characteristics tend to perform similarly over several economic and market cycles. Furthermore, the investment style is also an important factor that may affect fund returns. Therefore, the index models using by this paper, including the market model, style index model, multi-style index model, Fama-French 3-factor model and dynamic model used by Ferson and Warther(1996). Moreover, based on the findings of Buetow, Johnson and Runkle(2000), we use a industry-based style index model to capture the characteristics of trading behavior in Taiwan’s stock market.
Results show that the estimates of future correlations from the industry-based style index model, multi-style index model and Fama-French 3-factor model have the lowest prediction errors. Meanwhile the performance of these models is very consistent in sub-samples stratified by style. The dynamic model also performs well in forecasting future correlations among mutual funds. Furthermore, the single index model does not exhibit fair performance in the either ex ant or ex post. In short, most of the models examined by this paper perform better than the historical model.

目 錄
中文摘要i
英文摘要ii
目 錄iii
圖目錄iv
表目錄v
第一章 緒論1
第一節 研究動機1
第二節 研究目的3
第三節 研究架構與流程4
第二章 文獻回顧5
第一節 投資組合理論相關文獻5
第二節 基金風格分類及績效探討相關文獻8
第三章 研究方法15
第一節 基金風格指數計算與基金風格分類15
第二節 相關性預測模型介紹18
第三節 相關性預測模型之績效測度27
第四節 相關變數定義31
第四章 實證結果32
第一節 樣本選取標準與資料來源32
第二節 風格分類與共同基金之樣本特性35
第三節 各預測模型之績效測度結果39
第四節 相同風格內與不同風格間之相關性預測績效45
第五章 結論與建議47
第一節 研究結論47
第二節 研究建議49
第三節 研究限制49
參考文獻50

圖目錄
圖1.1 研究流程4
圖3.1 一般風格指數成份股分類示意圖16
圖3.2 產業風格指數成份股分類示意圖17
圖4.1　台灣發行量加權股價指數走勢33

表目錄
表1.1 證券投資信託基金發行概況表2
表4.1 樣本基金基本資料34
表4.2 樣本基金分類結果36
表4.3 樣本基金分類結果摘要統計量37
表4.4 產業風格分類基金摘要統計量38
表4.5 各模型相關性預測績效比較40
表4.6 各模型相關性預測績效差異檢定結果43
表4.7 各模型相對於歷史模型之相關性預測績效比較44
表4.8 各相關性預測模型在風格內與風格間之相關性預測績效比較46

參考文獻中文汪彥銘，2001，台灣地區股票型共同基金之特色研究，國立中山大學財務管理研究所碩士論文。林宗賢，1997，我國開放型共同基金之價值型與成長型投資風格之研究－以P/B與公司規模分類，國立政治大學統計研究所碩士論文。洪隆宇，1999，開放型共同基金風格分類及其穩定性之研究，國立政治大學企業管理研究所碩士論文。胡崇銘，2000，以主成分分析評估基金績效與風險，國立台灣大學商學研究所碩士論文。貢培萱，1996，台灣地區共同基金型態之事後分類與績效評估，國立台灣大學財務金融研究所碩士論文。孫志雄，1998，基金經理人更換與基金績效、風險、投資策略之實證研究，國立中正大學財務金融研究所碩士論文。許時淦，2000，公司貝它與權益成本估計之研究，私立東海大學管理研究所碩士論文。陳建宏，1987，論行業因素與股票報酬之關係－台灣地區股票上公司之實證研究，國立台灣大學商學研究所碩士論文。張舜，1999，Fama-French三因子模型下共同基金績效持續性研究，國立中山大學企業管理研究所碩士論文。張家源，1999，集團企業交叉持股之探討－股價相關性暨市場風險之實證分析，國立成功大學會計學研究所碩士論文。曾少芳，1997，國內股票型基金風格與績效持續性之研究，國立台灣大學財務金融研究所碩士論文。黃世錄，1978，證券價格行為中市場與行業共移性之研究，私立淡江大學管理科學研究所碩士論文。黃軍儒，2001，台灣股票型共同基金分類型態與風格分析，國立台灣大學財務金融研究所碩士論文。塗勝傑，1997，股票報酬率相關係數預測模之研究－台灣股市實證分析，私立東海大學管理研究所碩士論文。蔡承家，2000，基金經理人替換與風格移轉之研究，國立政治大學企業管理研究所碩士論文。謝佩，1991，投資組合互動模式應用於台灣股票市場之實證研究，國立成功大學企業管理研究所研士論文。薛仲男，2000，成長型與價值型股票選時策略之研研，國立政治大學財務管理研究所碩士論文。英文Ahmed, P. and L. Lockwood, 1998, “Changes in factor betas and risk premiums over varying market conditions,” Financial Review, 33, 149-168.Ahmed, P., 2001, “Forecasting correlation among equity mutual funds,” Journal of Banking and Finance, 25, 1187-1208.Banz, R.W., and W. Breen, 1986, “Sample-dependent results using accounting and market data: Some evidence,” Journal of Finance, 41, 779-793.Banz, R. W., 1981, “The relationship between returns and market values of stocks,” Journal of Financial Economics, 9, 3-18.Basu, S., 1977, “Investment performance of common stocks in relation to their price-earnings ratio: A test of the efficient market hypothesis,” Journal of Finance, 32, 663-682.Basu, S., 1983, “The relationship between earnings yield, market value, and return for NYSE common stocks,” Journal of Financial Economics, 12, 129-156.Brown, S. J. and W. N. Goetzman, 1997, “Mutual fund styles,” Journal of Financial Economics, 43, 373-399.Buetow, G. W. Jr., R. R. Johnson and D. E. Runkle, 2000, “The inconsistency of return-based style analysis,” Journal of Portfolio Management, 26, 61-77.Chan, L. K., Y. Hamao and J. Lakonishok, 1983, “Fundamentals and stock returns in Japan,” Journal of Finance, 46, 1739-1789.Cohen, K. J. and J. A. Pogue, 1967, “An Empirical Evaluation of Alternative Portfolio-Selection Models,” Journal of Business, 40, 166-193.Christopherson, J.A., 1995, “Equity style classifications,” Journal of Portfolio Management, 21, 32-43.diBartolomeo, D., and E. Witkowski, 1997, “Mutual fund misclassification: Evidence based on style analysis,” Financial Analyst Journal, 53, 32-43.Elton, E., M. Gruber and T. Urich, 1978, “Are betas best?” Journal of Finance, 39, 1375-1384. Elton, E., and M. Gruber, 1973, “Estimating the dependence structure of share prices-implications for portfolio selection,” Journal of Finance, 28, 1203-1232.Elton, E., and M. Gruber, 1995, “Modern Portfolio Theory and Investment Analysis, fifth ed., Wiley, New York.Eun, C. S., and B. G. Resnick, 1984, “Forecasting the correlation structure of international share prices,” Journal of Finance, 39, 1311-1324.Eun, C. S., and B. G. Resnick, 1992, “Forecasting the correlation structure of share prices: A test of new models,” Journal of Banking and Finance, 16, 643-656.Fama, E. F. and K. R. French, 1992, “The cross-section of expected stock returns,” Journal of Finance, 47, 427-465.Fama, E. F. and K. R. French, 1993, “Common stock risk factors in returns on stocks and bonds,” Journal of Financial Economics, 33, 3-56.Ferson, W. E. and V. A. Warther, 1996, “Evaluating fund performance in a dynamic market,” Financial Analysts Journal, 52, 20-28.Fertuck, L., 1975, “A test of industry indices based on SIC codes,” Journal of Financial and Quantitative Analysis, 10, 837-848. Farrell, J., 1974, “Analyzing covariation of returns to determine homogeneous stock groupings,” Journal of Business, 47, 186-207. Gallo, J. G. and L. Lockwood, 1997, “Benefits of proper style classification of equity portfolio managers,” Journal of Portfolio Management, 23, 47-55.Gallo, J. G. and L. Lockwood, 1999, “Fund management changes and equity style shifts,” Financial Analysts Journal, 55, 44-52.King, B. F., 1966, “Market and industry factors in stock price behavior,” Journal of Business, 39, 139-190.Kothari, S. P. and J. B. Warner, 2001, “Evaluating mutual fund performance,” Journal of Finance, 56, 1985-2010.Markowitz, H., 1952, “Portfolio selection,” Journal of Finance, 7, 77-91.Neter, J., W. Wasserman and M. H. Kutner, 1989, Applied linear regression models, second ed., Irwin.O’Neal, E. S., 1997, “How many mutual funds constitute a diversified mutual fund portfolio?” Financial Analysts Journal, 53, 37-46.Reinganum, M., 1981, “Misspecification of capital asset pricing: Empirical anomalies based on earnings yields and market values,” Journal of Financial Economics, 28, 127-148.Reinganum, M., 1990, “Market microstructure and asset pricing: Empirical investigation of NYSE and NASDAQ securities,” Journal of Financial Economics, 28, 127-148.Sharpe, W. F., 1963, “A simplified model for portfolio analysis,” Management Science, 9, 277-293. Sharpe, W. F., 1992, “Asset allocation: Management style and performance measurement,” Journal of Portfolio Management, 11, 9-17.Theil, H., 1971, Applied Economic Forecasting, North-Holland, Amsterdam.Tierney, D. E. and K. Winston, 1991, “Using generic benchmarks to present manager styles,” Journal of Portfolio Management, 17, 33-36.Trzcinka, C. A., 1995, “Equity style classifications: A comment,” Journal of Portfolio Management, 21, 44-46.