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研究生:簡妘如
研究生(外文):CHIEN, YUN-JU
論文名稱:投資集中度、擇股能力與擇時能力:臺灣權益型共同基金之實證分析
論文名稱(外文):The Investment Concentration, Stock Picking, and Market Timing Abilities: Evidence from Equity Mutual Funds in Taiwan
指導教授:洪碧霞洪碧霞引用關係
指導教授(外文):HUNG, PI-HSIA
口試委員:劉祥熹陳瑞璽洪碧霞
口試委員(外文):LIU, HSIANG-HSICHEN, RUEY-SHIIHUNG, PI-HSIA
口試日期:2018-11-26
學位類別:碩士
校院名稱:國立暨南國際大學
系所名稱:財務金融學系
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:2019
畢業學年度:107
語文別:英文
論文頁數:63
中文關鍵詞:集中權益型共同基金基金績效績效持續性擇股能力擇時能力
外文關鍵詞:Concentrated equity fundFund performancePerformance persistencePpicking abilitiesTiming abilities
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  • 下載下載:3
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本研究使用綜合性集中度指標作為基金的投資集中程度的衡量方式,檢測集中投資型基金的股票選擇和市場擇時能力。然後進一步調查集中投資型基金的擇股能力與擇時能力是否會影響基金績效,並且研究這些基金是否存在績效持續性。主要實證結果如下。規模愈小、費用愈高、流量愈低、周轉率愈低,以及基金本身愈年輕或是其所屬經理公司愈年輕的共同基金,其投資組合的標的選擇亦會愈集中。基金經理人擇股能力與擇時能力愈佳,其基金績效表現愈好。與分散投資型基金相比,集中投資型基金只有在當月有優異的擇股能力,並且該能力對基金績效表現更有正向的影響;而集中投資型基金不論是在前一個月或當月擁有優異的市場擇時能力,並且該能力對基金績效表現更有正向的影響。此外,當投資人情緒為樂觀時期,基金經理人擇股能力較佳;然而,當投資人情緒為悲觀或經濟景氣衰退時,基金經理人擇時能力較佳。最後,集中投資型基金有較多的正向基金績效持續性存在。
This study uses comprehensive index as a measure of the concentration of equity funds, and examines stock picking and market timing abilities for concentrated equity funds. Furthermore, we investigate whether picking and timing abilities of concentrated equity funds affect fund performance and whether these funds have performance persistence. The main results are as follows. Funds with smaller size, higher expense rate, lower flow, lower turnover rate, younger fund age or younger fund companies’ age, their portfolios are more concentrated. Managers that have picking and timing abilities, have greater fund performance. Compared with diversified equity funds, concentrated equity funds have superior timing abilities, and these abilities has more positive influence on fund performance. Concentrated funds have superior picking abilities only in current month, and these abilities has positive influence on fund performance. In addition, people have superior picking abilities when they are optimistic, but fund managers have superior market timing abilities when they are pessimistic or in recessions. Concentrated equity funds have more positive performance persistence.
Table of Contents
致謝辭 i
摘要 ii
Abstract iii
Table of Contents iv
List of Tables vi
1. Introduction 1
2. Literature Review 3
2.1. Concentration of Fund Invested Targets 4
2.2. Stock Picking and Market Timing Abilities 5
2.3. Fund Performance with Characteristics of Funds and Fund Families 7
2.4. Persistence of Performance 9
3. Hypotheses, Data Source and Methodology 11
3.1. Hypotheses 11
3.1.1. Concentration Index 11
3.1.2. Picking abilities and Fund Performance 12
3.1.3. Timing Abilities and Fund Performance 12
3.1.4. Performance Persistence of Funds 13
3.2. Data Source 13
3.3. Related Variables 14
3.3.1. The Measurement of Investment Concentration 14
3.3.2. Picking Abilities 18
3.3.3. Timing Abilities 19
3.3.4. Individual Fund and Fund Family Characteristics 19
3.3.5. Models Describing Fund Performance 20
3.3.6. Other Variables 21
3.4. Methodology 22
3.4.1. Concentration Index and Characteristics of Funds 22
3.4.2. Regression Models for Picking abilities or Timing Abilities 23
3.4.3. Fund Performance, Concentration Index and Fund Characteristics 25
3.4.4. Performance Persistence of Funds 26
4. Empirical Results 28
4.1. Analysis of the Average Fund Performance 35
4.2. Correlation Results 38
4.3. Regression Results for Concentration 41
4.4. Concentration, Stock Picking abilities and Market Timing Abilities 45
4.5. Fund Performance 48
4.6. Performance Persistence of Funds 53
5. Conclusions 56
References 59

List of Tables
Table 1 Descriptive Statistics 31
Table 2 Discrepancy test for the concentration index and fund characteristics of concentrated and diversified portfolios 33
Table 3 Analysis of the Average Fund Performance 36
Table 4 Correlation for dependent and independent variables 39
Table 5 Regression Result for Concentration 42
Table 6 Regression Result for Stock Picking or Market Timing Abilities 46
Table 7 Regression Result for Fund Performance 50
Table 8 Performance Persistence for Funds 54
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