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

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