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研究生:李翊萱
研究生(外文):Yi-Hsuan Lee
論文名稱:國內共同基金淨值與未來績效和績效持續性關係之研究
論文名稱(外文):The Relationships Between Unit Net Asset Value and both Future Performance and Persistence for Taiwan's Mutual Funds
指導教授:劉永欽劉永欽引用關係
指導教授(外文):Yong-Chin Liu
學位類別:碩士
校院名稱:亞洲大學
系所名稱:財務金融學系碩士班
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:55
中文關鍵詞:基金淨值Jensen's 績效指標追蹤資料績效持續性四因子模式
外文關鍵詞:Net Asset ValueJensen's Alpha IndexPanel DataPerformance PersistenceFour-Factor Pricing Model
相關次數:
  • 被引用被引用:2
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  • 下載下載:240
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本研究目的在解答實務界之爭議:「投資共同基金應買淨值高或低的基金?」,為此,本研究檢視1995-2008國內股票型基金淨值與未來長、短期績效及其持續性之關係,方法包括將淨值分組並觀察多種績效指標之組間差異,及使用追蹤資料 (Panel Data) 做複迴歸分析,結果發現即使控制過去績效及其他影響績效之因素,淨值對未來績效仍有解釋力,即淨值與未來績效為負相關,不論短期或長期皆然;未來一與三年績效會反轉過去同期間長度的績效,至五年期間的報酬,反轉現象才消失,但仍無正向持續性;淨值高低不會影響短期 (一年) 與長期 (五年) 未來績效與過去績效間的關係,但會影響三年績效的負相關程度。
有鑑於淨值是投資人很容易取得的資訊,本研究認為應依據擬投資期間同時參考過去三年績效和當下淨值做投資決策:投資期間一年者,宜選淨值極低和過去績效較差的基金;投資三年者,選擇績效較差和高價位 (淨值24.66以上) 的基金較能享受最大的績效轉佳幅度,若選績效較佳者,則應配合選擇淨值中等者 (6.09 ~18.64),以減輕績效轉差程度。最後,投資期間為五年時,宜選擇淨值極低者,不必太考慮過去績效。此結果解答了實務界疑問,也填補了學術界對基金績效持續性研究的缺口。
The objective of this study is to solve the debate from practitioners that which of mutual funds with high or low net asset value per share (NAV) should be selected by investors. This study examines the relationships between NAVs and both the further long- and short-term performance and the performance persistence for Taiwan’s equity mutual funds from 1995 to 2008. The study methods include the equality tests of various performance indexes on sub-groups sorted by NAVs and the multivariate regression analyses with panel data. The findings are as follows: after controlling past performance and other factors affecting returns, there is a strong explanatory power for NAVs to future performance, that is, regardless of short- or long-run returns, there is a negative relation between NAVs and future performance. The further annual and three-year returns will reverse from the past returns over the same long periods, and the reversal behaviors dissipate for five-year returns, without positive persistence. NAVs do not affect the relationship between past and future performance for annual and five-year, respectively, but there is an effect on the degree of negative relation for three-year performance.
Since the NAV is the data relatively available to investors, this study suggests that investors should make investment decisions according to the investment horizon length, three-year returns and NAVs. If the horizon is one year, the funds with relatively low NAVs and lower past performance should be selected. For a three-year investment, investors selecting the funds with the lower past performance and higher NAVs (not lower than $24.66) will yield the larger degree of performance progression; if selecting funds with higher past performance, then the funds with moderate NAV level (6.09-18.64) can be invested to mitigate the extent of performance reduction. Finally, for a five-year investment horizon, the finds with relatively low NAVs should be invested and do not consider their past performance. This result answers the question of practitioners and fills the research gap about funds’ performance persistence.
中文摘要 I
英文摘要 II
目 錄 III
表 目 錄 IV
圖 目 錄 IV
第一章 緒論 1
第一節 研究背景 1
第二節 研究動機與目的 3
第三節 研究架構 6
第二章 文獻探討 7
第一節 基金淨資產價值之計算 7
第二節 基金績效衡量與績效持續性 9
第三章 實證方法與結果 18
第一節 樣本說明 18
第二節 實證方法與結果 19
第四章 結論 42
參考文獻 44
附 錄 48
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1. 1. 池祥萱、林煜恩、周賓凰,2007,基金績效持續與聰明錢效果:台灣實證,「管理學報」,第二十四卷第三期,頁307-330。
2. 1. 池祥萱、林煜恩、周賓凰,2007,基金績效持續與聰明錢效果:台灣實證,「管理學報」,第二十四卷第三期,頁307-330。
3. 2. 邱顯比、林清珮,1999,共同基金分類與基金績效持續性之研究,「中國財務學刊」,第七卷第二期,頁63-88。
4. 2. 邱顯比、林清珮,1999,共同基金分類與基金績效持續性之研究,「中國財務學刊」,第七卷第二期,頁63-88。
5. 3. 林修葳、王佳真,2003,台灣共同基金績效持續性之研究,「管理學報」,第二十卷第四期,頁655-688。
6. 3. 林修葳、王佳真,2003,台灣共同基金績效持續性之研究,「管理學報」,第二十卷第四期,頁655-688。
7. 5. 陳安琳、洪嘉苓、李文智,2001,共同基金經理團隊屬性與基金績效之研究,「證券市場發展季刊」,第十三卷第三期,頁1-27。
8. 5. 陳安琳、洪嘉苓、李文智,2001,共同基金經理團隊屬性與基金績效之研究,「證券市場發展季刊」,第十三卷第三期,頁1-27。
9. 6. 郭維裕、李愷莉,2006,臺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,「經濟論文」,第三十四卷第四期,頁469-504。
10. 6. 郭維裕、李愷莉,2006,臺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,「經濟論文」,第三十四卷第四期,頁469-504。