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研究生:葉芊廷
研究生(外文):Chien-Ting Yeh
論文名稱:探討拔靴檢定於不同因子模型對避險基金異常報酬的影響
論文名稱(外文):A Study of the Effect of Different Factor Models on the Results of the Bootstrap Reality Check on Hedge Funds'' Performance.
指導教授:許英麟許英麟引用關係
學位類別:碩士
校院名稱:國立中興大學
系所名稱:統計學研究所
學門:數學及統計學門
學類:統計學類
論文種類:學術論文
論文出版年:2010
畢業學年度:98
語文別:中文
論文頁數:80
中文關鍵詞:避險基金多因子模型橫截面拔靴法避險基金異常報酬
外文關鍵詞:Abnormal return of hedge fundCross-sectional alpha bootstrap techniqueHedge fundMulti-Factor model
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本研究將針對避險基金研究機構 (Hedge Fund Research, HFR)當中所提供的基金月報酬資料進行基金績效異常報酬之檢定,而我們一共採用7199支基金,研究期間為2000年2月至2007年12月,並且藉由Kosowski et al. (2006)所提出的橫截面拔靴法進行探討,其中拔靴方法我們將分為兩種形式,一種為風險因子與殘差值共同拔靴,另一種為殘差值獨立拔靴,並且藉由Eling (2009)文獻當中所提到的因子模型歸納出九種不同的因子模型當作檢定基金績效的基準模型。因此我們可以觀察出在不同因子模型下所檢定出異常報酬的情況會有不同情形,而在有些策略下會有因子模型呈現出一致的情況。

In this article, we examine the performances of the monthly returns of the Hedge Fund Research. The number of the hedge funds is 7199 and the sample period is from Feb. 2000 to Dec. 2007. We use the cross-sectional alpha bootstrap technique (Kosowski et al. 2006), and use the two methods of bootstrap, one of the method is to bootstrap the risk factor and residuals simultaneously, the other is only to bootstrap the residuals. We follow Eling (2009) to collect the nine different factor models as the benchmark models and test the abnormal returns of the hedge funds. Therefore, we find the different results in the different factor models. In some strategies, we find that some factor models display the same result.

目錄
中文摘要 i
英文摘要 ii
第一章 緒論 1
第二章 文獻探討 4
第一節 拔靴法(Bootstrap Method) 5
第二節 橫截面拔靴法 6
第三節 因子模型 7
第三章 資料 10
第一節 五大策略 10
第二節 資料修正 11
第三節 資料整理 12
第四章 研究方法 14
第一節 因子模型 14
第二節橫截面拔靴法 18
第五章 實驗結果與分析 21
第一節 橫截面拔靴法之檢驗結果 21
第二節 穩健檢定-拔靴方法不同之檢驗結果 26
第三節 穩健檢定-資料型態不同之檢驗結果 28
第六章 結論與建議 29
第一節結論 29
第二節未來研究建議 29
參考文獻 78




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