跳到主要內容

臺灣博碩士論文加值系統

(44.210.149.205) 您好!臺灣時間:2024/04/12 22:53
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:林秋香
研究生(外文):Lin, Chiu-Siang
論文名稱:單筆投資與定期定額之基金投資績效-以台灣投信公司發行之開放型共同基金為例
論文名稱(外文):Performance of Mutual Fund by Lump-sum investing and Dol-lar-averaging: Taiwan Evidence
指導教授:王淑芬王淑芬引用關係
指導教授(外文):Wang, Sue-Fung
學位類別:碩士
校院名稱:國立交通大學
系所名稱:財務金融研究所
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:2009
畢業學年度:97
語文別:中文
論文頁數:36
中文關鍵詞:國內基金基金績效投資方式
外文關鍵詞:Domestic fundthe performance of the fundinvestment way
相關次數:
  • 被引用被引用:15
  • 點閱點閱:407
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本文旨在探討台灣投信公司所發行的開放型共同基金中,投資者應該如何針對不同的基金屬性、經濟環境、投資期間採取不同的投資策略。為了使研究樣本期間包含完整景氣循環週期,本研究所採用的樣本期間為2000年1月至2007年12月,共156檔開放型共同基金。相對於過去文獻,本研究具有下列特點:第一、為了增加研究的可參考性,本研究採用基金的歷史真實淨值取代利用蒙地卡羅模擬法模擬基金淨值。第二、專注研究台灣投信公司發行之開放性共同基金。第三、台灣投資者在基金投資上以長期投資居多,過去實證研究多數強調基金的短期投資績效,研究期間以一年居多,考慮台灣投資者的投資習性,本研究嘗試將基金投資期間拉長,分為長、短期兩種。第四、過去文獻在基金績效衡量上以報酬率為主要衡量指標,然而本研究在績效衡量上以期末終值為衡量指標,期末終值考慮了投資期間與投資報酬率,故可以真實反映投資者的報酬。第五、本文以風險值衡量投資風險,風險值在計算上考慮基金報酬率的標準差、基金投資期間與原始投入金額,故相較於標準差,風險值較能衡量投資者須承擔的風險。
實證結果發現,在相同風險值的前提下,以定期定額方式投資基金之期末終值大於單筆投資;在相同的期末終值下,單筆投資需承擔的風險值高於定期定額,由此可知定期定額的績效優於單筆投資。另外,在拉長投資期間與經濟處於繁榮時期的情況下,單筆投資績效優於定期定額的機率將提升。
This text aims to analyze how to choose investment strategy within different kinds of Taiwan mutual funds. In order to make the samples of study include an eco-nomic cycle, 156 Taiwan mutual funds from 2000 to 2007 are adopted.
Compare past studies, this research has the following characteristics: First, this research adopts the true historical net value of mutual funds to replace simulating net value. Second, focus on Taiwan mutual funds. Third, Taiwan investors toward to hold mutual funds in long-term investment, but past studies almost concentrated in short-term investment, accordingly, the research includes long-term and short-term investment. Fourth, the research adopts terminal value and variance as performance indicators.
Evidence shows under the same terminal value, the variance of lump-sum in-vestment is larger than dollar-average cost investment; on the other hand, under the same variance, the terminal value of dollar-average cost investment is larger than lump-sum investment. In addition, the probability that the investment performance of lump-sum investment is superior to the dollar-average cost investment will be im-proved when the economy is prosperous and long-term investment.
目 錄
壹、 前言 1
貳、 文獻回顧 7
參、 研究假說與變數 10
一、研究假說 10
二、研究變數 10
肆、 研究方法 12
一、 研究期間與樣本 12
二、 實證模式設計 13
三、 評估模式 14
伍、實證結果與分析 17
一、報酬率之常態分配檢定 17
二. 風險值分析之比較 17
三. 期末終值分析之比較 21
四、 迴歸分析 26
陸、結論 28
附錄一、 …………………………………………………………………………30
附錄二、 …………………………………………………………………………32
參考文獻 34
張雅惠 (2000), “ 應用風險值評估共同基金績效,” 《國立政治大學金融研究所碩士論文》
Ajay Khoranaa, Henri Servaesb,c, Lei Wedged (2007), “Portfolio manager ownership and fund performance,” Journal of Financial Economics 85 (2007) 179–204
Antonio Apap and John M Griffith (1998), “The impact of expenses on equity mutual fund performance,” Journal of Financial Planning; Feb 1998; 11, 1; ABI/INFORM Global pg. 76
Arnold L. Redman and Nell S. Gullett (2006), “Impact of fund, management and market characteristics on bond mutual fund performance,” Journal of Asset Management Vol. 7, 6, 429–442
Edward M Miller; Larry J Prather; M Lmitiaz Mazumer(2003), “Day of the week Effects Among Mutual Fund ”Quarterly Journal of Business and Economics Summer 2003; 42,3/4; ABI/INFORM Global pg.113
George Comer, Norris Larrymore, Javier Rodriguez (2007), “Controlling for Fixed-Income Exposure in Portfolio Evaluation: Evidence from Hybrid Mutual Funds,” The Review of Financial Studies 2007
Harry Mamaysky, Matthew Spiegel, Hong Zhang (2008), “Estimating the Dynamics of Mutual Fund Alphas and Betas,” The Review of Financial Studies / v 21 n1 2008
Karyl B Leggio and Donald Lien (2003), “An empirical examination of the effective-ness of dollar-cost averaging using downside risk performance measure,” Journal of Economics and Finance; Summer 2003; 27, 2; ABI/INFORM Global pg. 211
Laurens Swinkels and Liam Tjong-A-Tjoe (2007), “Can mutual funds time investment styles?” Journal of Asset Management Vol. 8, 2, 123–132
Massimo Massa and Rajdeep Patgiri (2008), “Incentives and Mutual Fund Perfor-mance:Higher Performance or Just Higher Risk Taking?” The Review of Financial Studies ; March 29, 2008
Michael S, Rozeff (1994), “Lump-sum investing versus dollar-averaging,” Journal of Portfolio Management; Winter 1994; 20, 2; ABI/INFORM Global pg. 45
Robert Dubil (2005), “Lifetime Dollar-Cost Averaging: Forget Cost Savings, Think Risk Reduction,” Journal of Financial Planning; Oct 2005; 18, 10; ABI/INFORM Global pg. 86
Sarath P Abeysekera and E S Rosenbloom (2000), “A simulation model for deciding between lump-sum and dollar-cost averaging,” Journal of Financial Planning; Jun 2000; 13, 6; ABI/INFORM Global pg. 86
Stanley J Kon (1986), “The Market-timing Performance of Mutual Fund Managers,” The Journal of Business (pre-1986); Jul 1983; 56, 3; ABI/INFORM Archive Complete pg. 323
Meir Statman (1995), “A behavioral framework for dollar-cost averaging” Journal of Portfolio Management; fall 1995; 22, 1; ABI/INFORM Global pg. 70
Chordia Tarun (1996), “The structure of mutual fund charges,” Journal of Financial Economics 41 (1996) 3-39
William Fung; David A Hsieh(1997), “Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Fungs?” The Review of Financial Stu-dies(1986~1998) ;Summer 1997;10,2; ABI/INFORM Global Pg.275
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊