臺灣博碩士論文加值系統

本文以台灣三大共同基金家族，共90檔共同基金在2014的資料進行實證分析。有別於傳統的資料包絡分析（DEA）模型，本文採用網絡資料包絡分析法（Network Data Envelopment Analysis）進行實證，並採無導向(non-oriented)的差額模型 (SBM)，在變動規模報酬且為固定連結條件下，建立理論模型。我們除計算各共同基金家族的整體效率，亦算出個別共同基金的整體效率。本文並進一步將每檔共同基金分成兩個階段，並對該二階段的效率進行評估。在第1階段，我們將評估各共同基金的操作管理效率；在第2階段我們將評估各共同基金的投資組合管理效率。根據本文實證結果，我們將我國共同基金的績效作一排序，並揭露了績效最佳的前20名與績效最差的20名共同基金。本研究係提供一個新型的績效評估模式，嘗試對各檔共同基金及各家族共同基金的績效做出更正確的評估，期能對基金經理與共同基金家族的管理公司有所助益。

In this paper, the three major mutual fund family in Taiwan, a total of 90 files of mutual funds in 2014 data for empirical analysis. Different from the traditional data envelopment analysis (DEA) model, this paper uses the network data envelopment analysis (Network Data Envelopment Analysis) to carry on the demonstration, and adopts the non-oriented difference model (SBM), in the variable scale compensation For the fixed connection conditions, the establishment of theoretical models. In addition to calculating the overall efficiency of the mutual fund families, we also calculate the overall efficiency of individual mutual funds. This paper further divides each tranche into two phases and evaluates the efficiency of the two phases. In Phase 1, we will evaluate the operational management efficiencies of the mutual funds; in Phase 2 we will evaluate the efficiency of the portfolio management of the mutual funds. Based on the empirical results of this paper, we sort the performance of our mutual funds and expose the top 20 performers with the worst performance of the 20 mutual funds. This study provides a new model of performance evaluation that attempts to provide a more accurate assessment of the performance of the mutual funds and the family mutual funds in a way that will benefit fund managers and mutual fund family management companies .

目次
中文摘要 i
英文摘要 ii
誌謝 iii
表 目 次 v
圖 目 次 vi
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 6
第二章 文獻回顧 6
第一節 國內共同基金之介紹 7
第二節 績效評估介紹 9
第三節 資料包絡分析法之相關研究 10
第四節 共同基金應用DEA之相關文獻 11
第五節 網絡資料包絡分析法(Network DEA)有關文獻 12
第三章 研究方法 14
第一節 建立模型架構 14
第二節 網絡DEA模式 16
第三節 研究樣本及資料來源 18
第四章 實證分析 21
第一節 敘述性統計 21
第二節 實證結果與分析 22
第三節 Wilcoxon符號等級檢定與Kruskal-Wallis檢定 33
第五章 結論與建議 34
第一節 研究結論 34
第二節 研究限制及建議 35
參考文獻 36

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