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研究生:陳佳男
論文名稱:臺灣股票基金與外資法人之績效:DEA方法之應用
指導教授:郭嘉祥郭嘉祥引用關係
學位類別:碩士
校院名稱:東吳大學
系所名稱:商用數學系
學門:數學及統計學門
學類:數學學類
論文種類:學術論文
論文出版年:2003
畢業學年度:91
語文別:中文
論文頁數:61
中文關鍵詞:資料包絡分析特徵基礎基準法基金外資法人
外文關鍵詞:DEACharacteristic-Based Benchmark MethodFundQFII
相關次數:
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在近來的財務文獻上指出公司規模(Size)、淨值市價比(Book-to-Market Ratio)與慣性(Momentum)是最能解釋股票報酬橫斷面變異的因子。本文將這些因子當作投入項,應用DEA方法來評估臺灣法人投資(包括臺灣股票基金與外資法人)的績效。然而,本研究應用DEA方法不同於以交易成本、基金規模、週轉率或風險因子作為投入項的其它文獻,本研究的觀念在於投入項和產出項之間的解釋性關係而非生產性關係。
本研究亦採用Daniel et al.(1997)以此三因子當成股票特徵屬性發展而成的特徵基礎基準法,並將此法的結果與DEA方法做一比較。
一般來說,因為外資法人的專業知識與長時間的經驗,所以外資法人被認為應該會比國內基金擁有較好的績效。本文亦試著去檢驗外資法人是否可以達到較好的績效。
本文資料包括了至少存續3年半的股票基金120支,並將全部外資法人的持股當作是一個投資組合。研究期間乃從1996年的4月一直到2002年的9月(總共6年半)。
本文主要有四個發現:
(一) 國內基金與外資法人的平均持股特徵皆顯現高公司規模與高慣性,淨值市價比則皆偏低。
(二) 在特徵基礎基準法研究方面,實證結果顯示大多數國內基金並無選股能力
(120支當中,21支基金顯著擁有選股能力);DEA方法之分析則顯示所
有的法人投資績效界於57%∼73%。
(三)外資法人與國內基金之投資績效差異並不顯著。
(四)DEA方法與特徵基礎基準法所衡量出的基金效率值呈現中度相關。
關鍵詞:資料包絡分析、特徵基礎基準法、基金、外資法人
The recent studies in finance show that size, book-to-market ratio, and momentum are the factors which can explain most of cross-sectional variations in stock returns. This paper incorporates these factors into the DEA method as the “inputs” and then attempt to evaluate the performances of Taiwan institutional investors (including Taiwan stock funds and QFIIs). However, this application of the DEA method is different from those in the literatures which use transaction costs, fund sizes, turnover ratios, or risk factors as the inputs. The concept in the thesis is an explanatory-type relation between the inputs and the output, rather than a production-type relation.
This study also adopts the characteristic-based benchmark method developed by Daniel et al.(1997) which takes the three factors as stocks'' characteristics. We intend to compare the results derived from this method to those from the DEA method.
Generally speaking, because of professional knowledge and long time experiences of QFIIs, it is thought that QFIIs may have better performances than domestic stock funds. This study also tries to examine whether QFIIs achieve better performances.
The data include 120 Taiwan stock funds which exist at least for 3 and half years and the share holdings of all QFIIs as a portfolio. The estimation period is from April 1996 to September 2002 (six and half years totally).
There are four primary findings in this paper :
(1) The average share-holding characteristics of both domestic funds and QFIIs indicate above-median size and momentum but under-median book-to-market ratio.
(2) The empirical results of the characteristic-based benchmark method show that most domestic funds have no selection abilities (Among 120 funds, there are 21 funds having statistically significant excess returns); the analysis of DEA method show that the efficiency measures for all institutional investors in the sample range from 0.57 to 0.73.
(3) The difference between the performances of QFIIs and domestic funds is not statistically significant.
(4) The efficiency values obtained from the DEA method and the excess returns derived from the characteristic-based benchmark method present moderate correlation.
Key words: DEA、Characteristic-Based Benchmark Method、Fund、QFII
目錄
中文摘要………………………………………………………………1
第一章 緒論
第一節 研究背景與動機…………………………………………3
第二節 研究目的…………………………………………………8
第三節 研究限制…………………………………………………8
第四節 研究架構…………………………………………………8
第二章 文獻探討
第一節 特徵因子之研究…………………………………………10
第二節 特徵基礎基準法…………………………………………13
第三節 DEA方法…………………………………………………15
第四節 相關基金績效研究………………………………………23
第五節 文獻小結…………………………………………………27
第三章 研究方法
第一節 特徵基礎基準法…………………………………………28
第二節 DEA方法…………………………………………………30
第三節 資料說明…………………………………………………32
第四章 實證結果
第一節 持股平均特徵屬性………………………………………35
第二節 以DEA技術效率值檢視個股表現………………………37
第三節 以GR、CS及TE值檢視基金績效…………………………41
第四節 國內基金與外資法人之比較……………………………48
第五節 特徵基礎法與DEA方法之探討…………………………48
第五章 結論………………………………………………………50
附錄…………………………………………………………………52
參考文獻……………………………………………………………54
Abstract……………………………………………………………60
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