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研究生:吳佳馨
研究生(外文):Chia-Hsin Wu
論文名稱:台灣國內股票型基金績效與投資策略
論文名稱(外文):Performance of Domestic Equity Fund Listed in Taiwan and Trading Strategies
指導教授:許江河許江河引用關係
學位類別:碩士
校院名稱:國立虎尾科技大學
系所名稱:經營管理研究所
學門:商業及管理學門
學類:其他商業及管理學類
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:76
中文關鍵詞:選股能力擇時能力動能策略反向策略拔靴法
外文關鍵詞:SelectivityMarket timingMomentum StrategiesContrarian StrategiesBootstrap
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投資人投資基金,無非是想藉由基金經理人的專業操作能力達到特定的獲利目標,但實證結果卻發現,股票型共同基金的報酬率一般都比代表大盤的股價指數報酬率差。因此,本研究希望透過實證以比較不同策略的績效,為缺乏操作能力之基金尋求一個較佳的投資策略。本研究利用154檔國內股票型基金為樣本資料,並以台灣50指數與台灣中型100指數成分股建構投資組合,研究期間為2001年9月至2008年12月。本研究分別利用Treynor and Mazuy模型、Henriksson and Merton模型以及拔靴法修正模型方式進行檢定,並使用隨機模擬之投資組合進行模型合適性檢定,透過合適模型找出缺乏操作能力之基金,接著利用基金前一季持股明細,進行投資策略之建構,以分析各種策略於不同市場狀態下的績效。本研究發現如下:
(一) 使用Treynor and Mazuy模型和Henriksson and Merton模型時,只有少數基金經理人具有操作能力,但用拔靴法模擬時,卻顯示基金經理人都不具備操作能力。
(二) 透過模型合適性檢定,顯示傳統的Treynor and Mazuy模型及Henriksson and Merton模型並不適合作為基金操作能力衡量的模型。若以拔靴法修正這兩個模型,則可用來衡量台灣股票型基金經理人的選股與擇時能力。
(三) 在不考慮市場為多頭或空頭的情況下,缺乏操作能力的基金若採用買進前期贏家並淘汰前期輸家的動能策略,可獲得最佳的績效。在考慮市場狀態下,在多頭與盤整時若基金缺乏操作能力則採用動能策略,而空頭時採用追蹤大盤指數的投資策略,則績效都相對地表現較佳。
The purpose of most mutual fund investors is to pursue the profit made by fund manager’s professional skill. However, according to some empirical studies, the performance of equity funds seems to underperform the stock market. Thus, this study tries to find out whether the mutual fund managers in Taiwan have the capability of selectivity and timing, which correlates closely with the performance of the mutual fund. Thereafter, this study also compares the performance of different investment strategies and tries to identify a better investment strategy that could improve the performance of mutual funds, if the mutual fund managers lack for the capability of selectivity and timing. The data used in this study consists of the monthly returns from the 154 open-end equity funds listed in Taiwan, and spans from September 2001 to December 2008. The stocks used to construct portfolios are selected from the TSEC Taiwan 50 Index and TSEC Taiwan Mid-Cap 100 Index. In order to examine the mutual fund managers’ capability of selectivity and timing, the Treynor and Mazuy Model, Henriksson and Merton Model, and the Bootstrap technique are used. In addition, simulated portfolio is tested against its model adaptability. Funds with poor performance are identified by using this adapted model. Afterward, fund’s holding lists in previous quarter are facilitated to construct investment strategy recommendations, and each strategy’s performances under different market conditions are analyzed.
The major findings of this study are:
1. When Treynor and Mazuy model, Henriksson and Merton model are adopted, only few fund managers possess the capability of selectivity and timing, and all of the fund managers lack such capabilities when the Bootstrap approach is used.
2. By testing model adaptability, it shows that Treynor and Mazuy model, Henriksson and Merton model, are not appropriate models for evaluating the capability of selectivity and timing of fund managers. If two models are adjusted according to bootstrapping approach, they are good indexes for evaluating selectivity and timing of equity fund managers in Taiwan.
3. Regardless it’s a bull or a bear market, underperformed funds can achieve the best performance if they adopt the momentum strategy which buys winners’ portfolio and eliminates losers’ of previous period. When considering the bull and round-bound market conditions, funds that lack selectivity and timing should adopt momentum strategy. Moreover, funds lack such capabilities during bear market should adopt the investment strategy which tracks stock market index, and then its performance will be relatively better.
摘要 i
ABSTRACT ii
誌謝 iii
目錄 iv
表目錄 vi
圖目錄 vii
附錄 viii
一、緒論 1
1.1 研究背景與動機 1
1.2 研究目的 3
1.3 研究流程 3
二、文獻探討 6
2.1 傳統績效衡量指標 6
2.2 選股與擇時能力相關文獻 8
2.3 投資策略相關文獻 11
2.4 共同基金投資策略 14
三、研究設計與方法 16
3.1 樣本資料與研究期間 16
3.2 變數定義 17
3.3 研究假設 18
3.5 實證模型 19
3.5.1 傳統選股與擇時能力模型 19
3.5.2 導入拔靴法修正之選股與擇時能力模型 21
3.5.3 模型合適性檢驗 22
3.6 投資組合建構與投資策略 24
3.6.1 動能策略 24
3.6.2 反向策略 26
3.6.3 買進並持有策略 27
3.7 市場狀態區分與檢定 27
3.7.1 市場狀態區分 27
3.7.2 操作能力與策略檢定 30
四、實證分析 32
4.1 共同基金操作能力之衡量 32
4.1.1 TM模型績效衡量 32
4.1.2 HM模型績效衡量 37
4.1.3 模型合適性檢定 41
4.2 投資策略之實證 46
4.2.1 投資策略間之比較 47
4.2.2 投資策略相對於基金與大盤績效之適用性 49
伍、結論與建議 53
5.1 研究結論 53
5.2 後續研究建議 54
參考文獻 55
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1. 徐清俊、陳欣怡(2004),基金經理人選股能力與擇時能力-評估國內股票型基金績效,大葉學報,13卷2期,49-59頁。
2. 徐清俊、陳欣怡(2004),基金經理人選股能力與擇時能力-評估國內股票型基金績效,大葉學報,13卷2期,49-59頁。
3. 高蘭芬、陳安琳、湯惠雯、曹美蘭(2005),共同基金績效之衡量-模擬分析法之應用,中山管理評論,13卷3期,667-694頁。
4. 高蘭芬、陳安琳、湯惠雯、曹美蘭(2005),共同基金績效之衡量-模擬分析法之應用,中山管理評論,13卷3期,667-694頁。
5. 高蘭芬、陳安琳、余育欣、盧正壽(2007),運氣好或操作策略好?-拔靴下共同基金之績效衡量,管理與系統,14期3卷,341-358頁。
6. 高蘭芬、陳安琳、余育欣、盧正壽(2007),運氣好或操作策略好?-拔靴下共同基金之績效衡量,管理與系統,14期3卷,341-358頁。
7. 陳振遠、高蘭芬、劉永仁(2005),基金經理人群集行為與股價關聯性之探討,管理科學與統計決策,2卷1期,51-66頁。
8. 陳振遠、高蘭芬、劉永仁(2005),基金經理人群集行為與股價關聯性之探討,管理科學與統計決策,2卷1期,51-66頁。
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