臺灣博碩士論文加值系統

儘管大量文獻已經確定了基金流量對基金績效的敏感性，但是卻較少人考慮到基金風格是否會在時間的推移之下，產生風格飄移的現象，進而造成基金績效或是基金風險的改變。
本研究除了探討基金是否會產生風格飄移之現象，也將進一步討論風格飄移現象與基金績效之間的關係，使投資人能達到更高的投資效率。本研究以 Sharpe(1992)提出的以報酬為基礎的風格分析
(Return-Based style Analysis;簡稱 RBSA)方法結合 Carhart(1997)提出的四因子模型對國內股票型基金進行基金風格分析，並使用Idzorek＆Bretsh(2004)的風格飄移分數(SDS)，探討在時間的推移之下，基金風格是否會產生飄移的現象，並以 OLS 迴歸分析風格飄移現象與基金績效、基金風險之關係，最後以 CART 演算法，建構出最有效率的二元分類之決策樹模型。
本研究以台灣 211 檔股票型基金檢驗基金風格飄移的現象，研究結果發現，基金風格飄移現象普遍存在於各種基金當中。其風格飄移程度會影響當期基金績效，兩者呈現反向關係；與當期基金風險則較無明確關係；本研究也發現風格飄移程度會影響後一期的基金績效及後一期的基金風險，兩者之間的關係於本研究中使用的兩個方法中呈現不一樣的結果，另外，本文也發現不同屬性的基金也會產生不同程度的風格飄移現象。

Although a large amount of literature has determined the sensitivity of fund flow to fund performance, few people consider whether the style of the fund will drift over time, resulting in changes in fund performance or fund risk.
In addition to discussing whether the fund will generate style drift, this study will further discuss the relationship between style drift and fund performance, so that investors can achieve higher investment efficiency. This study uses the return-based style analysis (RBSA) method proposed by Sharpe (1992) and the four-factor model proposed by Carhart (1997) to analyze the fund style of domestic stock funds and use Idzorek & Bretsh's (2004) Style Drift Score (SDS) discusses whether the style of the fund will drift under time. Using OLS regression to analyze the relationship between style drift phenomenon, fund performance and fund risk, and finally using CART algorithm to
construct the most efficient binary classification decision tree model.
This study uses Taiwan’s 211 mutual funds to examine the phenomenon of fund style drift. The results of the study found that the phenomenon of fund style drift is common among various funds. The degree of style drift will affect the performance of the fund in the current period, and the two show an inverse relationship; and there is less clear relationship with the fund risk in the current period. This study also found that the degree of style drift will affect the performance of the fund in the latter period and the risk of the fund in the latter period. The relationship between the two shows different results in the two methods used in this study. In addition, this article also found funds with different attributes will also cause different degrees of style drift.

中文摘要 .............................................. III
Abstract ................................................ IV
表目錄 ............................................... VIII
圖目錄 ................................................ IIX
第壹章 緒論 ............................................. 1
第一節 研究背景與動機 ................................ 1
第二節 研究目的 ...................................... 1
第三節 研究架構與流程 ................................ 2
第貳章 文獻探討 ......................................... 4
第一節 風格投資(style investment) ........................ 4
(一) 投資組合特徵值(Portfolio characteristic) ....................... 4
(二) 歷史報酬(Return-based) ................................................. 5
第二節 多因子模型 .................................... 7
(一) 規模效應 .......................................................................... 9
(二) 淨值市價比效應 ............................................................ 11
(三) 動能效應 ........................................................................ 12
第三節 風格飄移(style drift) ............................ 14
第四節 CART 演算法 ................................. 15
第三章 研究方法 ........................................ 18
第一節 樣本與資料來源 ............................... 18
第二節 變數定義 ..................................... 18
第三節 實證模型 ..................................... 20
一、 基金風格計算 ................................ 20
二、 風格飄移分數(SDS)計算 ...................... 21
三、 基金績效與風格飄移(SDS)..................... 21
四、 基金風險(標準差)與風格飄移分數(SDS) ......... 22
第四節 實證流程 ..................................... 23
第四章 實證結果與分析 ................................... 24
第一節 敘述性統計分析 ............................... 24
第二節 普通最小平方法(OLS)迴歸模型結果 ............. 26
第三節 Cart 演算法分析 ............................... 30
第五章 結論 ............................................ 24
附錄一 ................................................. 41
參考文獻 ............................................... 48
一、 中文部分 ....................................... 48
二、 英文部分 ....................................... 48

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