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研究生:林佩瑩
研究生(外文):Pei-Ying Lin
論文名稱:以基金特性與經理人特質評估共同基金績效
論文名稱(外文):Mutual Funds Performance Evaluation by Fund''s Behavior and Manager''s Characteristics
指導教授:曾憲郎曾憲郎引用關係
指導教授(外文):Shan-Non Chin
學位類別:碩士
校院名稱:國立中山大學
系所名稱:中山學術研究所
學門:社會及行為科學學門
學類:政治學類
論文種類:學術論文
論文出版年:2001
畢業學年度:90
語文別:中文
論文頁數:99
中文關鍵詞:基金類型基金風險基金規模經理人特性週轉率過去績效共同基金
外文關鍵詞:mutual scalemutual riskreturn ratiomutual fundcross-sectional regressionmanager''s characteristics
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共同基金具備許多優點,近來已漸漸成為國人喜愛的投資工具,然而究竟如何才能挑選到值得投資的基金,常令投資人感到迷惑。本研究嘗試從共同基金本身特性與經理人特質角度切入,探討基金類型、過去績效、基金規模、週轉率、基金風險和經理人的年齡、性別、學歷與經歷對基金績效之影響程度。期盼透過不同的思考構面,幫助投資人選擇共同基金之考量方向。
本研究以1997年1月至2002年1月為研究期間,在排除殘存偏誤後,將五年內存續之基金進行資料篩選,共得到五十九個開放型為本研究之樣本基金,採Jensen績效指標模型與四因子模型為基金之績效衡量標準,藉由Pearson Correlation Coefficients與Durbin-Watson之檢定,利用最小平方法(OLS)估計Jensen績效指標模型與四因子模型,所得超額報酬特徵值再以多元迴歸模型做一橫剖面分析,以探討共同基金特性和經理人特質與此特徵值之關係。在進行橫剖面分析之前,為找尋最佳估計方法,以殘差圖與Breusch-Pagan Test為異質變異之檢測,由於並未存在異質變異,仍以最小平方法估計,探討基金共同基金本身的特性與經理人特質對基金績效的影響。
實證結果發現,不同的績效評估模型有不同的結果,但可發現四因子模型較具有解釋能力。超額報酬中,共有11支基金在五年的檢驗下仍具超額報酬。績效指標面向中,在Jensen指標得出基金的類型具有正向且顯著的差異,此研究結果與Dahlquist, Engstrom, and Soderlind(2000)、洪嘉苓(2000)一致。而在四因子模型下,全球型基金與區域型基金呈現顯著負相關,但科技型基金與一般型基金之研究結果卻不具解釋能力。另外,探討基金過去報酬和基金規模影響,則顯示兩個模型在短期與長期績效存有顯著正向關係,規模具負面的顯著關係的一致結論。再者,基金風險無法解釋基金績效的差異,而基金週轉率並不直接影響基金績效,和Ippolito(1989)之實證一致。最後,本研究結果顯示基金經理人個人屬性在不同模型有不同結果,但大部分並無法解釋基金績效之差異,僅發現在Jensen績效指標下,國外取得商管碩士之經理人與基金績效具有顯著的正相關。
Abstract
Mutual fund, which has become a popular domestic investment tool possess a lot of advantages. However, how on earth investors could choose the fund that worth investing is often confusing. This research begins from the qualities of mutual fund itself and it’s manager. I’ll discuss the influence that the type of fund, achievement in the past, scale of fund, turnover rate, risks and investors’ age, sex, schooling record and experiences would have on its achievement. Hoping through these different sides of thinking would provide a direction for investors when choosing Mutual fund.
This research was done in the period from January, 1997 to January, 2002, after excluding some of the survivorship bias, we sift through the whole information in the five years, and we acquire 59 open type that would be used as sample fund in this research. We adopt Jensen-performance-estimated model and 4-factor model as achievement measure standard. By setting tests of Pearson Correlation Coefficients and Durbin-Watson, plus OLS, we estate mate Jensen-performance-estimated model and 4-factor model, and the result of its alpha would be cross-analyzed with the multiple linear regression model, thus we’ll clearly see the relation of quality between mutual fund and their managers. Before going on the cross-analysis, in order to seek for the best estimating method, we test heteroscedasticity by residual pattern and Breusch-Pagan Test. Since it comes out there is no heteroscedasticity, we still conduct the process by OLS to observe how the relation between the qualities of mutual fund itself and that of managers will affect on fund achievement.
We found 4-factor model is more convincing among all other achievement evaluation model though the results vary from types of model. In the achievement index, a positive and remarkable difference type of fund is from Jensen index,, which coincided with Dahlquist, Engstrom, and Soderlind(2000)、Jia-ling Hong(2000). Under 4-factor model, global fund and region ones appear obvious negative related, but high-tech types and general are not convincing at all. Besides, the influence of reward in the past and the scale of it shows the conclusion that two model are related positively in achievement side of short and long term, but negative in scale. Moreover, the risks can’t explain the achievement difference, and turnover-rate doesn’t affect achievement directly, the outcome coincided with the prove of Ippolito(1989) . Finally, which this research shows that the types results vary from managers personal qualities, but most of them can’t explain the achievement differences. We only catch that under Jensen index, managers who get their MBA degree abroad tends to have positive relation in achievement of fund.
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………………………………………………………………4
第三節 研究方法與限制………………………………………………………6
第四節 研究架構………………………………………………………………7
第二章 文獻探討………………………………………………………9
第一節 共同基金整體績效之評估方法……………………………………10
第二節 基金選股、擇時能力之相關研究…………………………………13
第三節 基金績效持續性之相關研究………………………………………19
第四節 基金特性影響績效之相關研究……………………………………23
第五節 基金經理人個人屬性之相關研究…………………………………28
第三章 研究方法及實證模型之建立………………………………42
第一節 績效評估模型………………………………………………………44
第二節 樣本選取與資料來源………………………………………………49
第三節 研究變數之操作型定義…………………………………………….52
第四節 統計分析方法………………………………………………………58
第四章 實證結果分析………………………………………………63
第一節 共同基金績效之超額報酬檢定……………………………………64
第二節 基金特性對共同基金績效之影響…………………………………71
第三節 經理人特質對共同基金績效之影響………………………………77
第五章 結論與建議…………………………………………………83
第一節 基金特性之研究結論………………………………………………83
第二節 經理人特質之研究結論……………………………………………84
第三節 後續研究的建議……………………………….……………………85
參考文獻……………………………………………………………………………86
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