跳到主要內容

臺灣博碩士論文加值系統

(44.213.60.33) 您好!臺灣時間:2024/07/17 05:23
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

我願授權國圖
: 
twitterline
研究生:洪芳宜
研究生(外文):Hung, Fang-Yi
論文名稱:共同基金的反向情緒交易策略
論文名稱(外文):The Contrarian Sentiment-Based Strategy of Mutual Funds
指導教授:李漢星李漢星引用關係黃星華黃星華引用關係
指導教授(外文):Lee, Han-HsingHuang, Hsing-Hua
口試委員:林瑞嘉張焯然林軒竹
口試委員(外文):Lin, Jui-ChiaChang, Jow-RanLin, Hsuan-Chu
學位類別:碩士
校院名稱:國立陽明交通大學
系所名稱:財務金融研究所
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:2021
畢業學年度:109
語文別:英文
論文頁數:33
中文關鍵詞:共同基金投資人情緒投資人情緒變動基金績效
外文關鍵詞:Mutual FundInvestor SentimentInvestor Sentiment ChangesFund Performance
相關次數:
  • 被引用被引用:0
  • 點閱點閱:151
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
基於共同基金經理人的獲利能力可歸因為擇股與擇時能力這個概念,我們採用Massa and Yadav (2015)的方法建構了衡量基金對股票市場情緒的風險係數之代理變數,以及基金對股票市場情緒變動的風險係數之代理變數,檢視其是否能預測基金未來績效。我們的實證結果大抵與Massa and Yadav (2015)以及Zheng et al. (2020)的結論一致。然而,我們的結果顯著性較不足,即使在各種不同的穩健性分析中。我們推估基金情緒效果與基金情緒擇時效果在近期已減弱,基金經理人藉此效果所創造的績效不如過往。
Based on the concept that mutual fund performance can be attributed to stock selectivity and market timing ability of fund managers, following Massa and Yadav (2015) this research builds the proxies for the degree of a fund’s sentiment beta and sentiment changes beta to investigate whether they can predict future fund performance. Our empirical results are overall consistent with the conclusions of Massa and Yadav (2015) and Zheng et al. (2020); nevertheless, the lack of significance is our main concern, even in various robustness analyses. We conjecture that fund sentiment effect and fund sentiment timing effect both are attenuated in a more recent period, suggesting that fund managers who are able to profit from such effects cannot realize as much performance as before.
中文摘要 i
Abstract ii
Table of Contents iii
List of Tables iv
1 Introduction 1
2 Literature Review 4
2.1 Fund Sentiment Beta and Fund Performance 4
2.2 Fund Sentiment Timing and Fund Performance 5
3 Data and Methodology 6
3.1 Fund Sentiment Beta 7
3.2 Fund Sentiment Changes Beta 8
4 Empirical Results 10
4.1 FSB-performance Relationship 10
4.2 FST-performance Relationship 12
5 Robustness Check 14
5.1 Sampling Method of the Literature 14
5.2 Subperiod Analysis 15
6 Conclusions 16
7 References 18
Bu,Qiang,&Stalebrink,Odd(2020).Canfundsentimentbetapredictfutureperformance?
JournalofAssetManagement,21(6),524-534.
Carhart,Mark(1997).Onpersistenceinmutualfundperformance.
JournalofFinance,52(1),57-82.
Chen,Yong,Han,Bing,&Pan,Jing(2021).Sentimenttradingandhedgefundreturns.
JournalofFinance,76(4),2001-2033.
Cullen,Grant,Gasbarro,Dominic,Le,Kim-Song,&Monroe,Gary(2010).Selectivity,style,
sentimentandskillinmutualfundtrades.
23rdAustralasianFinanceandBankingConference2010.
Elton,Edwin,Gruber,M.J.,&Blake,C.R.(2001).AfirstlookattheaccuracyoftheCRSP
MutualFundDatabaseandacomparisonoftheCRSPandMorningstarMutualFund
Databases.
JournalofFinance,56(6),2415-2430.
Fama,EugeneF.,&French,KennethR.(1992).Thecross-sectionofexpectedstockreturns.
JournalofFinance,47(2),427-465.
Fama,EugeneF.,French,KennethR.,&MacBeth,JamesD.(1973).Risk,return,and
equilibrium:empiricaltests. JournalofPoliticalEconomy,81(3),607-636.
Henriksson,Rita,&Merton,Robert(1981).Onmarkettimingandinvestmentperformance.
II.Statisticalproceduresforevaluatingforecastingskills.
JournalofBusiness,54(4),513-533.
Jensen,Michael(1967).Theperformanceofmutualfundsintheperiod1945-1964.
JournalofFinance,23(2),389-416.
Lee,Cheng,&Rahman,Shafiqur(1990).Markettiming,selectivity,andmutualfundperfor-
mance:Anempiricalinvestigation.
JournalofBusiness,63(2),261-278.
Massa,Massimo,&Yadav,Vijay(2015).Investorsentimentandmutualfundstrategies.
JournalofFinancialandQuantitativeAnalysis,50(4),699-727.
Newey,WhitneyK.,&West,KennethD.(1987).Asimple,positivesemi-definite,heteroske-
dasticityandautocorrelationconsistentcovariancematrix.
Econometrica,55(3),703–708.
Treynor,Jack,&Mazuy,Kay(1966).Canmutualfundsoutguessthemarket?
HarvardBusinessReview,44(1),131-136.
Wurgler,Jeffrey,&Baker,Malcolm(2006).Investorsentimentandthecross-sectionofstock
returns.
JournalofFinance,61(4),1645-1680.
Wurgler,Jeffrey,&Baker,Malcolm(2007).Investorsentimentinthestockmarket.
JournalofEconomicPerspectives,21(2),129-152.
Zheng,Yao,Osmer,Eric,&Zheng,Liancun(2020).Canmutualfundstimeinvestorsenti-
ment?
ReviewofQuantitativeFinanceandAccounting,54(3),1449–1486.
連結至畢業學校之論文網頁點我開啟連結
註: 此連結為研究生畢業學校所提供,不一定有電子全文可供下載,若連結有誤,請點選上方之〝勘誤回報〞功能,我們會盡快修正,謝謝!
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊