(3.230.143.40) 您好!臺灣時間:2021/04/23 16:20
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:范文政
研究生(外文):Vin-Jen Van
論文名稱:台灣共同基金經理人有擇時能力嗎?
論文名稱(外文):Do Managers of Mutual Funds in Taiwan Have Market Timing Ability?
指導教授:李政峰李政峰引用關係
指導教授(外文):Cheng-Feng Lee
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:金融資訊研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:中文
論文頁數:48
中文關鍵詞:擇時能力門檻迴歸模型門檻效果檢定自體抽樣
外文關鍵詞:Market Timing AbilityThreshold Regression ModelThreshold Effect TestBootstrap
相關次數:
  • 被引用被引用:10
  • 點閱點閱:759
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:339
  • 收藏至我的研究室書目清單書目收藏:4
摘 要

本文目的為檢定台灣開放式股票型的基金經理人是否具有擇時能力。以台灣加權股價指數的變化,檢定基金經理人是否可以積極的調整投資組合所持有的成分,來降低基金的風險並增加基金的報酬。本文延伸Treynor & Mazuy (1966)、Henriksson & Merton (1981)、Chang & Lewellen (1984)及Huang (2000)等人的擇時能力模型,讓CAPM模型考量「制度轉換」的現象。本文經由門檻效果來檢定基金經理人的擇時能力,之後進一步分析基金經理人的操作略策,與基金所定義的投資形態(積極成長型、成長型及成長收益型)是否相符。相較於過去的文獻,本文使用門檻迴歸模型來估計門檻值,有別於過去研究以零作為判斷多空趨勢的主觀方法。本文對選取的157檔,開放式股票型基金進行實證。實證結果顯示,CAPM門檻模型(一)的檢定結果,有57.32%的基金經理人具有擇時能力;另外,使用Treynor & Mazuy及Henriksson & Merton模型與本文CAPM門檻模型(二)及(三)檢定的結果,幾乎都拒絶基金經理人具有擇時能力。本文使用Hansen (2000) 逆求概似比率統計量的作法,來估計門檻值的信賴區間,發現有51.11%拒絶門檻值等於零的虛無假設,與過去的研究以零作為判斷多空趨勢的主觀方法有所差異。本文CAPM門檻模型的檢定結果,發現多數具有擇時能力的基金經理人,擇時能力來自於異常報酬的改變,只有少數的基金經理人會抱持「高風險、高報酬」的投資心態。
ABSTRACT

The purpose of this paper is to examine if the managers of open-end equity funds have market timing ability in Taiwan, and examine whether the managers can positively adjust the components of possessed portfolio to decrease the risk to increase rewards with the shifts of Taiwan Stock Weighted Index. The models of market timing ability such as Treynor & Mazuy (1966), Henriksson & Merton (1981), Chang & Lewellen (1984), and Huang (2000) are extended in this paper to take regimes switching into consideration. The market timing ability is examined by the threshold effect, and with the acquired result to analyze if the operation strategies of managers fit in with the aggressive growth funds, growth funds, and growth and income funds. In comparison with past literature, the threshold regression model is used to estimate threshold value, which is different from the studies using zero to judge up and down. Researcher proceeds with the practical analysis of open-end equity funds. The result shows that there are 57.32 percent of managers having market timing ability in the model 1 of CAPM threshold model. The results of whether the managers with market timing ability are rejected in all the models of Treynor & Mazuy, Henriksson & Merton, and the model 2 and 3 of CAPM threshold model. With the use of Hansen (2000) inverse of likelihood ratio statistics to estimate the confidence interval of threshold value, researcher found that the null hypothesis is rejected by 51.11 percent, which is different from the studies using zero to judge up and down. In this paper, the result of estimation of the CAPM threshold model shows that the market timing ability of the managers with which comes from the shifts of abnormal return and only few managers take the high risk, high return attitude.
目 錄
中文摘要………………………………………………………………………….. vi
英文摘要 vii
誌謝 viii
目錄……………………………………………………………………………….. ix
表目錄…………………………………………………………………………….. x
圖目錄……………………………………………………………………………... xi
一、 緒論……………………………………………………………………….. 1
二、 文獻探討………………………………………………………………….. 3
2.1 共同基金績效評估的線性模型……………………………………… 3
2.2 共同基金績效評估的非線性模型…………………………………… 3
三、 研究方法………………………………………………………………….. 8
3.1 擇時能力理論模型…………………………………………………… 8
3.2 實證模型……………………………………………………………… 9
3.3 計量方法……………………………………………………………… 11
3.3.1 門檻效果檢定…………………………………………………… 12
3.3.2 門檻迴歸參數的估計及檢定…………………………………… 14
四、 實證分析………………………………………………………………….. 16
4.1 樣本資料、門檻變數及無風險利率的選擇………………………… 16
4.2 國內開放式股票型共同基金的基本概況分析……………………… 16
4.3 門檻效果檢定實證結果……………………………………………… 17
4.4 衡量基金的投資形態與基金經理人的操作策略是否有差異……… 18
4.5 本文CAPM門檻模型與TM及HM模型的比較…………………... 20
五、 結論……………………………………………………………………….. 22
附錄 …………………………………………………………………………….. 23
附錄A、 擇時能力理論模型的證明……………………………………….. 23
附錄B、 CAPM門檻模型(二)及(三)的門檻效果檢定……………………. 25
附錄C、 Bootstrap模擬的程序及方法…………………………………….. 26
參考文獻 ………………………………………………………………………… 27



表 目 錄
表1 共同基金投資形態分類表……………………………………………… 30
表2 國內開放式股票型共同基金概況表…………………………………… 31
表3 國內證券市場效率性檢定表…………………………………………… 31
表4 TM模型擇時能力檢定表………………………………………………. 32
表5 HM模型擇時能力檢定表……………………………………………… 32
表6 非線性模型擇時與選股能力檢定比較表……………………………… 33
表7 擇時能力有無 V.S. 擇時績效~門檻模型(一)檢定表………………… 34
表8 擇時能力有無 V.S. 擇時績效~門檻模型(二)檢定表………………… 40
表9 擇時能力有無 V.S. 擇時績效~門檻模型(三)檢定表………………… 41
表10 基金擇時績效分析表…………………………………………………… 42
表11 實證模型配適程度的比較表(含門檻模型的門檻值( )檢定彙整表)... 44



圖 目 錄
圖1 非線性與線性特徵線比較圖(Beta改變)……………………………… 45
圖2 非線性與線性特徵線比較圖(Alpha改變)…………………………….. 46
圖3 本文基金樣本風險溢酬分佈圖………………………………………… 47
圖4 實證模型配適的特徴線比較圖………………………………………… 48
圖5 實證模型配適的趨勢線比較圖………………………………………… 48
參考文獻
李政峰 (2001),「非定性與非線性追蹤資料模型之推論」,國立政治大學國際貿易學系未出版博士論文。
徐之強、周賓凰及李偉誠 (2002),「門檻模型與共同基金績效評估」。第三屆全國實證經濟學論文研討會,國立暨南國際大學。
謝劍平 (2003),現代投資學—分析與管理III,台北:智勝文化事業有限公司。
Admati, A., S. Bhattacharya, P. Pfleiderer, and S. Ross (1986), “On Timing and Selectivity”, Journal of Finance, Vol.41, pp.715-30.
Backus, D. and A. W. Gregory (1993), “Theoretical Relations Between Risk Premiums and Conditional Variances”, Journal of Business & Economic Statistics, Vol.11, pp.177-185.
Black, F (1986), “Noise”, The Journal of Finance, Vol.41, pp.529-543.
Bollen, N. P. B. and J. A. Busse (2001), “On the Timing Ability of Mutual Fund Managers”, The Journal of Finance, Vol.56, pp.1075-1094.
Breen, W., Glosten, L. R. and R. Jagannathan (1989), “Economic Significance of Predictable Variations in Stock Index Returns”, Journal of Finance, Vol.44, pp.1177-1189.
Busse, J. A (1999), “Volatility Timing in Mutual Funds: Evidence from Daily Returns”, Review of Financial Studies, Vol.12, pp.1009-1041.
Carhart, M (1997), “On Persistence in Mutual Fund Performance”, Journal of Finance, Vol.52, pp.57-82.
Chan, K. S (1993), “Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model”, The Annals of Statistics, Vol.21, pp.520-533.
Chang, E. C. and W. G. Lewellen (1984), “Market Timing and Mutual Fund Investment Performance”, Journal of Business, Vol.57, pp.57-72.
Chen, Y. and B. Liang (2005), “Do Market Timing Hedge Funds Time the Market ?”, working paper, Boston College.
Christopherson, J. A., Ferson, W. E. and D. A. Glassman (1998), “Conditioning Manager Alphas on Economic Information: Another Look at Persistence in Performance”, Review of Financial Studies, Vol.11, pp.111-142.
Christopherson, J. A., Ferson, W. E. and A. L. Turner (1999),“Performance Evaluation Using Conditional Alphas and Betas”, Journal of Portfolio Management, Vol.26, pp.59-72.
Cornell, B (1979),“Asymmetric Information and Portfolio Performance Measurement”, Journal of Financial Economics, Vol.7, pp.381-390.
Daniel, K., M. Grinblatt, S. Titman, and R. Wermers (1997), “Measuring Mutual Fund Performance with Characteristic-based Benchmarks”, Journal of Finance Vol.52, pp.1035-1058.
Davies, R. B (1977), “Hypothesis Testing when a Nuisance Parameter is Present Only under the Alternative”, Biometrika, Vol.64, pp.247-254.
Davies, R. B (1987), “Hypothesis Testing when a Nuisance Parameter is Present Only under the Alternative”, Biometrika, Vol.74, pp.33-43.
Dellva, W. L., and G. T. Olson (1998), “The Relationship Between Mutual Fund Fees and Expenses and Their Effects on Performance”, The Financial Review, Vol.33, pp.85-104.
Dickey, D. A. and W. A. Fuller (1979), “Distribution of the Estimator for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, Vol.74, pp.427-431.
Dickey, D. A. and W. A. Fuller (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, Vol.49, pp.1057-1072.
Elton, E. J., M. J. Gruber, S. Das, and M. Hlavka (1993), “Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios”, Review of Financial Studies, Vol.6, pp.1-22.
Fama, E. F (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, Vol.25, pp.383-417.
Fama, E. F (1972), “Components of Investment Performance”, Journal of Finance, Vol.27, pp.551–567.
Fama, E. F. and K. R. French (1993), “Common Risk Factors in the Returns on Stocks and Bonds”, Journal of Financial Economics, Vol.33, pp.3-56.
Ferson, W. E. and R. W. Schadt (1996), “Measuring Fund Strategy and Performance in Changing Economic Conditions”, Journal of Finance, Vol.51, pp.425-461.
Grinblatt, M. and S. Titman (1993), “Performance Measurement Without Benchmarks: An Examination of Mutual Fund Returns”, Journal of Business Vol.66, pp.47-68.
Hansen, B. E (1996), “Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis”, Econometrica, Vol.64, pp.413-430.
Hansen, B. E., and B. College (1999), “Threshold Effects in Non-Dynamic Panels: Estimation, Testing, and Inference”, Journal of Econometrics, Vol.93, pp.345-368.
Hansen, B. E (2000), “Sample Splitting and Threshold Estimation”, Econometrica, Vol.68, pp.575-603.
Hall, P (1992),“The Bootstrap and Edgeworth Expansion”, New York: Springer-Verlag.
Hall, P., and J. L. Horowitz (1996),“Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators”, Econometrica, Vol.64, pp.891-916.
Henriksson, R. D. and R. C. Merton (1981), “On Market Timing and Investment Performance II: Statistical Procedures for Evaluating Forecasting Skills”, Journal of Business, Vol.54, pp.513-533.
Henriksson, R. D (1984), “Market Timing and Mutual Fund Performance: an Empirical Investigation”, The Journal of Business, Vol.57, pp.73-96.
Huang, R. H.C (2000), “Tests of Regime-Switching CAPM”, Applied Finance Economics, Vol.10, pp.573-578.
Huang, R. H. C (2003), “Tests of Regime-Switching CAPM Under Price Limits”, International Review of Economics Finance, Vol.12, pp.305-326.
Ippolito, R. A (1989), “Efficiency with Costly Information : A Study of Mutual Fund Performance”, Quarterly Journal of Economics, Vol.104, pp.1-23.
Jeff, F. and J. Barbara (2003), “The Economic Value of Volatility Timing Using ‘Realized’ Volatility”, Journal of Finance Economics, Vol.67, pp.473-509.
Jensen, M. C (1968), “The Performance of Mutual Fund in the Period 1945-1964”, Journal of Finance, Vol.23, pp.389-416.
Jensen, M. C (1969), “Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios”, Journal of Business, Vol.42, pp.167-247.
Jensen, M. C (1972), “Optimal Utilization of Market Forecasts and the Evaluation of Investment Performance”, Mathematical Methods in Finance, North-Holland.
Kon, S. J (1983), “The Market-Timing Performance of Mutual Fund Managers”, The Journal of Business, Vol.56, pp.323-347.
Kothari, S. P. and J. B. Warner (2001), “Evaluating Mutual Fund Performance”, The Journal of Finance, Vol. 56, pp.1985-2010.
Lintner, J (1965), “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolio and Capital Budgets”, Review of Economics and Statistics, Vol.47, pp.13–37.
Laplante, M (2003), “Conditional Market Timing with Heteroskedasticity”, Unpublished Ph. D. dissertation, University of Washington.
Markowitz, H (1952),“Portfolio Selection”, The Journal of Finance, Vol.7, pp.77-91.
Mossin, J (1966), “Equilibrium in a Capital Asset Market”, Econometrica, Vol.34, pp.768-783.
Pollard, D (1984), “Convergence of Stochastic Processes”, Springer-Verlag, New York.
Sharpe, W. F (1964), “Capital asset prices ?A Theory of Market Equilibrium under Conditions of Risk”, Journal of Finance, Vol.19, pp.425-442.
Stein, C (1973), “Estimating of the Mean of a Multivariate Normal Distribution”, The Annals of Statistics, Vol.9, pp.1135-1151.
Tong, H (1983), “Threshold Models in Non-linear Time Series Analysis”, Lecture Notes in Statistics, 21. Berlin: Springer.
Treynor, J. L (1965),“How to Rate Management of Investment Funds”, Harvard Business Review, Vol.43, pp.63-75.
Treynor, J. L., and K. Mazuy (1966),“Can Mutual Funds Outguess the Market?”, Harvard Business Review, Vol.44, pp.131-136.
Tsay, R (1989), “Testing and Modeling Threshold Autoregressive. Processes”, Journal of the American Statistical Association, Vol. 84, pp. 231-240.
Whitelaw, R. F (2000), “Stock Market Risk and Return: An Equilibrium Approach”, The Review of Financial Studies, Vol.13, pp.521-547
Zheng, L (1999), “Is Money Smart? A Study of Mutual Fund Investors’ Fund Selection Ability”, The Journal of Finance, Vol.54, pp.901-933.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊
 
系統版面圖檔 系統版面圖檔