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研究生:李愷莉
研究生(外文):Li, Kai-Li
論文名稱:台灣共同基金績效持續性與基金流量之研究
指導教授:郭維裕郭維裕引用關係
指導教授(外文):Kuo, Wei-yu
學位類別:博士
校院名稱:國立政治大學
系所名稱:國際貿易研究所
學門:商業及管理學門
學類:貿易學類
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:147
中文關鍵詞:基金績效績效持續性基金流量停駐者-漂移者模型夏普指標
外文關鍵詞:Mutual Fund PerformancePerformance PersistenceFund FlowMover-Stayer ModelSharpe Ratio
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  • 被引用被引用:20
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  • 收藏至我的研究室書目清單書目收藏:5
近年基金投資已然成為一般民眾重要的理財工具之一,而投資人最關注的顯然是基金績效的好壞,以及前績效好的基金在未來能否持續先前好的績效表現。因此本論文主要探討台灣的開放式股票型基金之績效、基金績效的持續性,以及投資人買賣基金的行為與基金績效之間的相互影響。論文第一部份是從隨機變數的觀點評估台灣的開放式股票型基金其夏普指標績效值,第二部份則以一般化的馬可夫模型-「漂移者—停駐者」模型評估基金績效持續性的動態行為,第三部份討論投資人的現金流量和基金績效之間的關聯性。
在第一部份的實證結果中,我們認為過去對夏普指標高的基金其績效較佳之想法必須修正,因為從隨機變數的觀點衡量基金的夏普指標值時,所有基金的績效均不顯著異於0。若與市場指數的夏普指標相比,並非所有基金經理人都能打敗市場,雖然以五年評估期間衡量基金績效時,有半數以上的基金其績效顯著優於市場指數,但在二年評估期間下只有極少數基金的績效顯著優於市場。第三,以拔靴法模擬基金的小樣本夏普指標分配時,仍然無法找到基金績效顯著大於零的證據。整體而言,本部份的研究認為從隨機變數的觀點衡量基金的夏普指標績效時,台灣的開放式股票型基金其績效超越市場的證據並不強。
第二部份以「漂移者—停駐者」模型衡量基金績效的動態持續性之實證結果,我們發現整體基金市場具有某種程度的績效持續性,但績效持續性的強弱程度隨著績效組別的不同而有差異,表現最佳與最差兩組基金的績效持續性高於績效中等基金,但整體基金的績效持續性並不很明顯。另外,績效最差組別的停駐基金比率為各組中最高,代表該組別基金的績效持續性較強。第二,基金績效持續性因績效指標的不同而有差異,主要差異反映在各績效組別裡停駐基金比率的估計。第三,「存活偏誤」的確對基金績效持續性的結果有影響,但主要影響反應在停駐基金比率的估計,而非績效漂移基金的轉換機率。第四,以概度比檢定驗證單純馬可夫鏈模型與「漂移者—停駐者」模型對資料的配適程度時,發現「漂移者—停駐者」模型較適合分析台灣開放式股票型基金的績效持續性。
就第三部份基金績效與投資人現金流量的討論,第一,實證結果支持台灣的開放式股票型基金其績效具有持續性,但整體市場的績效持續性並不顯著,其中季資料下基金績效的持續性證據最強,此部份與論文第二部份的結論一致。第二,前一季績效佳的基金在下一季能吸引投資人較多的現金流量,但是放入市場報酬率作為解釋因子後,我們發現投資人的現金流入隨著市場報酬率的上升而提高、隨著基金報酬率的增加而減少,因此投資人買賣基金的主要考量似乎是以市場整體走勢為主,而非基金前期績效。第三,投資人買賣基金的活動對基金後續績效並無影響,這可能是基金經理人的持股比率高於法令規定,或是投資人買入贖回基金的活動對績效的影響通常在數日內即已反應完畢。最後,討論經理人的流動性交易及訊息交易對基金後續績效的影響之前,我們發現基金前期績效的持續大約維持兩個月,但是加入流動性交易及訊息交易作為解釋變數後,基金績效的持續性減弱。
Mutual funds have been a popular investment vehicle in recent years regardless of the growth of fund assets or numbers of beneficiaries. What investors mind are that whether mutual funds can provide higher return than others, star managers can persist previous dominant performance. For the reasons, we try to examine the performance of Taiwan mutual funds by Sharpe ratio index from new insights, and study mutual fund within best performance group can maintain antecedently superior performance. Finally, we attempt to investigate the relationship between fund performance and fund flows of open-ended stock fund in Taiwan.

1. We analysis the statistical distribution of the Sharpe ratio in Taiwan Mutual Funds developed by Lo(2002) and explore fund performance. First, we construct the confidence intervals of Sharpe ratio of Taiwan stock funds under different assumption for the return-generating process is independently and identically distributed returns (IID) and Non-IID but stationary, then, annualize Monthly Sharpe ratios by Time Aggregation technique. To avoid small sampling errors, we utilize bootstrap sampling conception to simulate the small sample distribution of Sharpe ratio of stock funds. We find that (1) there are not significant evidences that mutual funds in Taiwan have superior performance than riskless rate or market returns in several conditions. (2)By Bootstrapping sampling technique, we still cannot find stock funds have comparatively better performance than market indexes from empirical result. Accordingly, we believe that the usual methods about Sharpe ratios must be modified. That is, a mutual fund with higher Sharpe ratio is not necessarily a good performance, absolutely. Cause, Sharpe ratio index is not a constant, but a random variable, and we must build up its interval estimation and then test if there are significant differences between funds performance. Consequently, we argue it is relatively important to construct the performance-ranking system of mutual funds similar the bond credit-rating.

2. We employ the mover-stayer model to study the dynamics of performance persistence of mutual funds in Taiwan. This model provides us more detailed information about and help us further understand the nature of mutual fund performance persistence. We find (1) that there exists certain degree of persistence in mutual fund performance. Such persistence is, however, not very significant. It is because most funds are mover funds with unstable performance rather than stayer funds with consistence performance. More interestingly, funds within the best and the worst performance groups have more persistent performance than those within the middle performance group. It implies that in view of the previous mediocre performance, fund managers within the middle group have strong intention to improve their future performance. In addition, the fact that the worst performance group has the highest proportion of stayer funds implies that losers are more persistent than winners in Taiwan mutual fund industry. Overall, mutual funds in Taiwan have only weak performance persistence. (2) that consistent with the literature, the degree of persistence in performance is dependent on the performance evaluation criteria. It seems that this difference of degree of persistence is reflected in the estimation of stayer fund proportion, not in the estimation of the transition probability matrix of mover funds. (3) that there exists survivorship bias in our study. It mainly influences the estimation of stayer funds proportion, not that of the transition probability matrix of mover funds. Having said that , we believe that this bias will not alter the important conclusions of this article.

3. This part studies three important issues including the performance persistence of mutual funds, the relationship between mutual fund performance and investor fund flows, and the influence of investor fund flows on the performance of mutual funds. Our analyses are based on the data of mutual funds in Taiwan with three different frequencies that include monthly, quarterly, and yearly data. The methods we utilize to perform the analyses are those from Gruber (1996) and Edelen (1999). There are three main findings in this article: (1)During the sample period from 1996 to 2004, the evidence on the performance persistence of mutual funds in Taiwan is at best weak regardless of various risk-adjusted models and data frequencies. In sum, mutual funds in Taiwan do not perform persistently no matter how their performance is measured. (2)We are not able to discover a significant relationship between mutual fund performance and investor fund flows based on monthly data. This result is not consistent with that of Gruber (1996). However, this relationship becomes stronger if we look at quarterly data. In addition, the most interesting thing is that it seems that it is the quarterly stock market return that derives most of investor fund flows rather than the quarterly mutual fund performance itself. This result implies that the key factor for investors to decide whether to invest more capital into mutual funds is the overall market performance. In other words, the market sentiment may be the most importance factor that induces investors to purchase or sell mutual funds. (3) In contrast to the results of Edelen (1999), the liquidity-trading of fund managers induced by investor fund flows does not have a significant adverse effect on fund performance. Interestingly, the contemporaneous information-trading of fund managers has significant negative impact on fund performance while that in the previous month actually improves fund performance. Furthermore, the performance persistence normally lasts for two months but it diminishes when we incorporate both the liquidity-trading and information-trading of fund managers into the regressions.
第一章 導論
第二章 台灣共同基金在夏普指標之績效表現
2.1 前言
2.2 研究方法
2.2.1 報酬率為IID時對夏普指標的估計
2.2.2 報酬率非IID時對夏普指標的估計
2.2.3 夏普指標在不同頻率之間進行轉換
2.2.4 基金與市場指數的績效差異性檢定.
2.2.5 以拔靴法估計基金在小樣本下的夏普指標分配
2.3 實證結果與分析
2.3.1 以五年樣本期間評估基金的夏普指標分配
2.3.2 以二年樣本期間評估基金的夏普指標分配
2.4 結論

第三章 台灣共同基金短期績效持續性的研究—以「漂移者-停駐者」模型
為例
3.1 前言
3.2 研究方法
3.3 實證結果與分析
3.4 結論

第四章 台灣開放型基金的績效持續性與基金流量之關係
4.1 前言
4.2 研究方法
4.2.1 基金績效持續性的檢定
4.2.2 Gruber對現金流量的預測
4.2.3 基金績效和現金流量的關係
4.3 實證結果與分析
4.3.1 基金的敍述統計
4.3.2 基金績效持續性的檢定
4.3.3 基金績效對投資人現金流量的影響
4.3.4 投資人現金流量對後續績效的影響
4.4 結論
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附錄一
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