臺灣博碩士論文加值系統

本研究收集民國96年1月至12月間，國內278支股票型基金與平衡型基金之月資料，選取單月買進週轉率、直接交易成本率、銷售費率及月化標準差為投入項；Treynor指標、Sharpe指標、Jensen指標及月報酬率為產出項，首度採用資料包絡分析法中之System-BCC模型來評估基金之績效，並將System-BCC模型下之結果，與BCC模型之結果，就效率值及參考集合兩方面來比較兩模型下之異同。實證研究結果發現：
1、System-BCC模型下，不管是從單獨月份或是整體資料來看，平衡型基金之平均效率值均大於股票型基金之平均效率値，表示平衡型基金之績效優於股票型基金。
2、BCC模型與System-BCC模型下之基金效率值有顯著地不同，對於分屬兩相異系統下之受評單位，必須採用System-BCC模型來評估其績效。
3、兩模型就效率値上來看，System-BCC模型下之效率基金數皆大於BCC模型下之效率基金數。由此可知，採用System-BCC模型後，使部份基金由原為BCC模型下之無效率，轉而為有效率之基金；然各月份樣本基金中並無採用System-BCC模型後，效率值由BCC模型下之有效率轉為無效率者。
4、就參考集合上來看，兩模型下基金參考集合相同之基金數，不管在研究期間的哪一個月份皆不超過研究樣本基金數的一半，且BCC模型下主要參考集合被參考的次數皆大於System-BCC模型下的。
5、採用BCC模型與System-BCC模型所得之結果，存有顯著地差異，因此若沒有考慮到在不同的營運方式與組織管理文化之下，股票型基金與平衡型基金乃分屬不同的兩相異系統，勢必會造成績效評估上的錯誤。

This study is based on the sample of 278 stock funds and balanced funds in Taiwan, starting from January 2007 to December 2007. The study uses monthly purchasing turnover rate, expense ratio, loads ratio and monthly standard deviation as inputs. As for the outputs, Treynor index, Sharpe index, Jensen index and monthly return rate are selected. It is the pioneer to employ System-BCC model to assess the performance of different characteristic mutual funds. This study also compares the differences and similarities by reviewing the results in efficiency and reference sets between the model of BCC and System-BCC. The empirical results are summarized as follows: (i) Under the System-BCC model, the average score of balanced funds is greater than the average score of stock funds, whether the data presents in monthly or in overall view. This implies that balanced funds are more efficient than stock funds. (ii) There is significant difference of efficiency score between BCC model and System-BCC model, and by adopting the System-BCC model to assess the performance of funds in different systems will be more properly. (iii) By comparing the efficiency in these two models, the number of efficient funds under System-BCC model exceeds the number of efficient funds under BCC model. Hence, a portion of inefficient funds under BCC model will turn to be efficient funds under System-BCC model. Moreover, in the monthly sample, the efficient funds under BCC model do not turn to be inefficient funds under System-BCC model. (iv) As for the reference sets in any month of the study sample, the number of funds that with same reference sets under both models do not exceed half of the study sample. Also, the dominated reference sets under BCC model have more referring times than the reference sets under System-BCC model. (v) There are significant difference between BCC model and System-BCC model. If we neglect the distinctions between stock funds and balanced funds, then there will be errors on performance assessment.

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 ...........................................................................................3
第三節 研究架構 ...........................................................................................4
第二章 產業概況..............................................................................................6
第一節 共同基金之源起.................................................................................6
第二節 我國投資信託公司概況......................................................................7
第三節 共同基金簡介....................................................................................10
第三章 文獻回顧............................................................................................14
第一節 傳統績效評估指標探討.....................................................................14
第二節 進年國內外文獻探討.........................................................................17
第四章 研究方法............................................................................................32
第一節 Farrell效率..........................................................................................32
第二節 資料包絡分析法.................................................................................35
第三節 兩相異系統下的效率評估..............................................................43
第五章 實證結果與分析.....................................................................................47
第一節 資料來源與變數說明..........................................................................47
第二節 敘述統計 ............................................................................................52
第三節 實證結果分析.....................................................................................57
第六章 結論與建議 ........................................................................................79
第一節 結論....................................................................................................79
第二節 後續研究方向與建議..........................................................................80
附錄...................................................................................................................81
附錄A：BCC效率值與排名...............................................................................81
附錄B：System-BCC效率值與排名..................................................................105
參考文獻.............................................................................................................129



圖目錄
圖1-1 研究架構.....................................................................................................5
圖4-1 技術效率與配置效率.................................................................................33
圖4-2 投入與產出導向之技術效率值..................................................................34
圖4-3 CCR模型與BCC模型之效率前緣................................................................40
圖4-4 技術效率與規模效率.................................................................................42
圖4-5 兩相異系統效率前緣.................................................................................43
圖4-6 無效率DMU在效率前緣上的投影點..........................................................45



表目錄
表1-1 歷年台灣共同基金規模...............................................................................3
表2-1 我國投信公司現況.......................................................................................8
表3-1 傳統績效評估指標整理..............................................................................16
表3-2 近年國外文獻整理......................................................................................21
表3-3 近年國內文獻整理......................................................................................28
表5-1 變數資料來源表..........................................................................................52
表5-2 整體樣本基金資料之敘述統計....................................................................56
表5-3 檢定股票型基金與平衡型基金兩組系統是否有相異之Frontier...................58
表5-4 股票型基金與平衡型基金各月份之平均效率値..........................................59
表5-5 股票型基金與平衡型基金整體資料之平均效率値......................................60
表5-6 各月份股票型基金與平衡型基金間之效率值檢定......................................60
表5-7 整體股票型基金與平衡型基金間之效率值檢定..........................................61
表5-8 96年1-3月份由BCC模型到System-BCC模型下效率基金的變化....................66
表5-9 96年4-6月份由BCC模型到System-BCC模型下效率基金的變化....................67
表5-10 96年7-9月份由BCC模型到System-BCC模型下效率基金的變化...................69
表5-11 96年10-12月份由BCC模型到System-BCC模型下效率基金的變化................71
表5-12 BCC模型與System-BCC模型間之效率值檢定...............................................73
表5-13 96年1-6月份於兩模型下主要之參考集合表.................................................75
表5-14 96年7-12月份於兩模型下主要之參考集合表...............................................77
表A-1 96年1月份~4月份BCC模型下樣本基金之績效評估......................................81
表A-2 96年5月份~8月份BCC模型下樣本基金之績效評估......................................89
表A-3 96年9月份~12月份BCC模型下樣本基金之績效評估....................................97
表B-1 96年1月份~4月份System-BCC模型下樣本基金之績效評估.........................105
表B-2 96年5月份~8月份System-BCC模型下樣本基金之績效評估.........................113
表B-3 96年9月份~12月份System-BCC模型下樣本基金之績效評估.......................121

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