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研究生:羅仕軒
研究生(外文):Luo Shih-Hsuan
論文名稱:運用多因子模型評估台灣共同基金績效
論文名稱(外文):On the Use of Multi-Factor Models to Evaluate Mutual Fund Performance in Taiwan
指導教授:馬珂馬珂引用關係
指導教授(外文):Ma Ke
口試委員:馬珂黃明官陳蔓樺
口試日期:2017-06-07
學位類別:碩士
校院名稱:實踐大學
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:2017
畢業學年度:105
語文別:英文
論文頁數:53
中文關鍵詞:縱橫平滑移轉模型股價淨值比三因子模型四因子模型五因子模型
外文關鍵詞:Panel Smooth Transition Regression Model (PSTR)P/BFama-French Three-Factor ModelCarhart Four-Factor modelFama-French Five-Factor Model
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本文旨在運用多因子模型探討台灣股票型基金是否存在價值型策略和成長型策略間的轉換行為。本研究選取2005年3月至2016年6月間116家台灣股票型基金為樣本,並採用縱橫平滑移轉迴歸模型(Panel Smooth Transition Regression Model, PSTR)探討股票型基金的超額報酬和多因子模型間的非線性關係。實證結果顯示,不同的多因子模型在不同的門檻值與轉換區間下對基金報酬有顯著影響,股價淨值比與基金報酬確實存在非線性關係。
This paper examines the transitional behavior value and growth strategy of 116 equity funds in Taiwan from March 2005 to June 2016. We use the Panel Smooth Transition Regression Model (PSTR) to examine the nonlinear relationship between the excess return on equity funds and Fama-French three factors model, Carhart four factors model, Jordan-Riley five factors model (i.e., adding momentum and volatility new factors to the Fama-French three factors), and then Fama-French five factors model (i.e., including profitability and investment new factors to Fama-French three factors) by the threshold parameter of P/B ratio, respectively. Empirical results show that different multi-factor asset pricing models under the threshold parameter of the P/B ratio and different regimes have significant impacts on fund returns.
Contents
Abstract I
摘 要 II
Contents III
Chart IV
Tables V
1. Introduction 1
2. Review of Empirical Literature 6
2.1 Fama-French Three-Factor Model 6
2.2 Carhart Four-Factor Model 6
2.3 Fama-French Five-Factor Model 7
2.4 Jordan-Riley Five-Factor Model 7
2.5 Anomaly Effect 8
3. Research Methodology 12
3.1 Panel Unit Root Model 12
3.2 Panel Threshold Regression Model 16
4. Empirical Results 19
4.1 sample set 19
4.2 Empirical Model Specifications 19
4.3 Results 21
5. Conclusion 47
References 49
Appendix 53


References
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