淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


下載電子全文限經由淡江IP使用) 
系統識別號 U0002-0807201110351300
中文論文名稱 選取債券型基金或基金組合之探討與分析
英文論文名稱 Select bond funds or fund portfolio Discussion and Analysis
校院名稱 淡江大學
系所名稱(中) 管理科學研究所企業經營碩士在職專班
系所名稱(英) Executive Master's Program of Business Administration in Management Sciences
學年度 99
學期 2
出版年 100
研究生中文姓名 林智宏
研究生英文姓名 Chih-Hung Lin
電子信箱 winson1015@gmail.com
學號 798620398
學位類別 碩士
語文別 中文
口試日期 2011-06-18
論文頁數 37頁
口試委員 指導教授-倪衍森
共同指導教授-吳曼華
委員-曹銳勤
委員-陳明麗
中文關鍵字 債券基金  投資組合  基金績效持續性 
英文關鍵字 bond funds  portfolio  fund performance persistence 
學科別分類 學科別社會科學管理學
中文摘要 2008年以來的一波金融海嘯把自2002年以來的多頭時期,一次的打回原形,回想這幾年亞洲、新興市場、原物料皆漲了數倍之多,投資人在當時買什麼賺什麼的環境下,也慢慢了吹起了這次的大泡沫,現在危機過去了,但是美國聯邦利率還是維持在歷史低點,也代表黎明尚未到來,景氣尚在渾沌不明之狀態,此時更是投資人該審慎投資的時刻,避開隱含高度風險的金融商品,而債券型基金因風險相對於股票較為保守,所以更適合投資大眾作選擇,也因此債券型基金的選擇及投資組合也是一項極為重要的課題。
  一般投資人較耳熟能響的債券主要分為公債、政府債、可轉換債券、複合債、高收益債券、新興市場債券等,而其中新興市場債券、複合式債券、高收益債券的銷售數量就佔了全部種類的六成以上,故本研究將重心放在此三類債券型基金方面上,傳統投資人在未對債券型基金作深入了解的情況下,很容易以過去績效最佳的基金作選擇,如此雖無所謂對錯問題,但若是剛好在市場要反轉時,往往漲的愈多的基金,下跌的力道也相對的愈深。
  而經由本研究之分析結果後,有以下之重要發現:本文發現當投資者以過去表現最優的債券為投資標的,則三年來之隔年的平均績效為0.055437,但若是選最差的六檔,則三年來之隔年的平均績效為0.086413,反倒是過去表現較為遜色的基金在未來三年表現較為優異,印證說過去績效似乎是不代表未來的績效,是以若投資人在篩選基金時,僅看基金過去的表現,反而有失之偏頗之虞。
英文摘要 Abstract:
Since 2008, a wave of financial tsunami since 2002 of the long period of time show their colors, recall the past few years in Asia, emerging markets, raw materials are up several times, investors earn nothing at the time what to buy environment, and slowly the blown this big bubble, and now the crisis has passed, but the U.S. federal funds rate was maintained at historic lows, also represents the dawn is yet to come, the economy is still in chaos status unknown at this time is investors to invest in the prudent time to avoid the hidden high-risk financial products, while bond funds because of the risk relative to stocks is more conservative, so more suitable for the investing public to make choices, and therefore the choice of bond funds and the portfolio is also a items is extremely important issue.

The average investor than the familiar sound of the bonds can be divided into government bonds, government bonds, convertible bonds, complex debt, high yield bonds, emerging market bonds, emerging market bonds which, hybrid bonds, high-yield bond sales on the accounted for over 60% of all species, this study will focus on three types of bond funds in the traditional investors in the absence of bond funds for in-depth understanding of the situation, it is easy to fund past performance the best to choose, so although it does not matter right or wrong, but if it is just in the market to reverse, often up to the more funds down the force is also relatively deeper.

The analysis by the results of this study, have the following key findings: This article found that the best investors to past performance bond for the investment targets, the three years of the following year, the average performance of 0.055437, but if it is the worst six-speed selection , then three years of the following year, the average performance of 0.086413, but rather in the past were not satisfactory performance of the fund is more excellent in the next three years, seems to prove that past performance does not represent future performance, is that if the investment fund in screening, just look at the Fund's past performance, but beneath the risk of bias.
論文目次 目錄
中文摘要 I
英文摘要 II
目 錄 IV
表目錄 VI
圖目錄 VII
第一章、緒論 1
第一節、研究背景與動機 1
第二節、研究目的 2
第三節、研究流程 5
第四節、研究架構 6
第二章、文獻探討 7
第一節、債券型基金的介紹 7
第二節、基金績效評估方面之文獻 8
第三節、基金績效持續性之文獻 9
第三章、研究假設與方法 12
第一節、資料來源與研究樣本選取 12
第二節、研究假說的建立 12
第三節、研究方法與模型介紹 14
第四章、實證研究結果 15
第一節、敘述性統計量 15
第二節、實證結果與分析 16
第五章、結論與建議 24
第一節、研究結論 24
第二節、投資與管理意涵 25
第三節、研究限制與建議 25
參考文獻 26
附錄一: 風險收益等級的界定 31
附錄二: FundDJ基金評等 32
附錄三:本研究各類基金之研究樣本 35


表目錄

表4-1 各變數敘述統計量(過去表現優異的基金與基金組合) 15
表4-2 各變數敘述統計量 (過去表現遜色的基金與基金組合)15
表4-3 各解釋變數之共線性 17
表4-4 基金績效與自變數之迴歸分析一 18
表4-5 基金績效與自變數之迴歸分析二 19
表4-6 影響基金績效因素之分析表 20
表4-7 最為遜色之基金績效與自變數之迴歸分析一 21
表4-8 最為遜色之基金績效與自變數之迴歸分析二 22
表4-9 影響基金績效因素之分析表 23

圖目錄
圖1-1研究流程圖 5

參考文獻 參考文獻

一、中文文獻
1.王南喻、王南憲(2006),開放式股票型基金績效與流量關係之研究–台灣地區境內基金市
場實證,企業管理學報,第69期,頁73-96。
2.王正己、阮俊嘉(2000),台灣地區共同基金型態之績效評估研究,朝陽學報,第5期,頁283-317。
3.王渟瑜(2006),規模經濟或經理人特徵-基金績效,世新大學財務金融學系研究所未出版的碩士論文。
4.池祥萱、林煜恩、周賓凰 (2007),基金績效持續與聰明錢效果:台灣實證,管理學報,
第24卷,第3期,頁307-330。
5.邱顯比、林清珮 (1999),共同基金分類與基金績效持續性之研究,財務金融學刊,第7卷,第2期,頁63-88。
6.洪幸資(2004),控制風險組合下的最適投資組合,國立政治大學金融研究所未出版的碩士論文。
7.高蘭芬、陳安琳、湯惠雯、曹美蘭(2005),共同基金績效之衡量-模擬分析法之應用,中
山管理評論,第13卷,第2期,頁667-694。
8.陳鴻崑(2000),動量週期與成交量之研究,淡江大學財務金融研究所未出版的碩士論文。
9.陳信憲、黃美賢、潘麗卿(2004),影響共同基金績效因素之效果探討,企業管理學報,第66卷,頁99-126。
10.游智賢、姚瑜忠(2000),台灣共同基金操作策略之研究,中國財務學刊,第8卷,第2期,頁49-76。
11.黃聖棠、溫英幹、鄢欽瑞 (2006),共同基金之績效評比-台灣地區之實證研究(1995-2002) ,
華岡經濟論叢,第5卷,第2期,頁31-67。
12.劉倩玲(2003),投信績效對基金績效之影響,國立中正大學財務金融研究所未出版的碩士論文。
13.鄭臻鴻(2002),「風險值架構下最適投資組合選擇」,國立雲林科技大學財務金融研究所未出版的碩士論文。
14.蔡曉慧(1998),「共同基金持股偏好與績效」,國立中正大學財務金融所未出版的碩士論文。
15.戴錦周、林孟樺(2007),投信與基金績效之研究,台灣金融財務季刊,第8輯,第3期,頁58-73。


二、英文文獻
1. Arnott, Robert D.(1980). Cluster analysis and stock price comovement, Financial Analysts
Journal 36, pp.56-63.

2. Brinson, Gary P., Randolph. L Hood, and Gilbert. L. Beebower (1995). Determinants of portfolio
performance, Financial Analysts Journal 51, pp.133-138.

3. Brown, S.J. and W.N. Goetzmann (1995). Performance persistence, Journal of Finance 50,
pp.679-698.

4. Bollen, N.P.B. and J.A. Busse (2005). Short-term persistence in mutual fund performance,
Review of Financial Studies 18, pp.569-597.

5. Brown, Stephen J., William Goetzmann, R. G. Ibbotson, and S. A. Ross (1992). Survivorship
bias in performance studies, Review of Financial Studies 5, pp.553-580.

6. Bae, Kee-Hong and Junesuh Yi (2008). The impact of the short-short rule repeal on the timing
ability of mutual funds, Journal of Business Finance & Accounting 35, pp.969-997

7. Brown, Stephen J. and William N. Goetzmann (1995). Performance persistence, Journal of
Finance 50, pp.679-698.

8. Brown, Stephen J. and William N. Goetzmann (1997). Mutual fund styles, Journal of Financial
Economics 43, pp.373-399.

9. Connor, Gregory and Robert. A. Korajczyk (1986). Performance Measurement with the
arbitrage pricing theory, Journal of Financial Economics 15, pp.373-394.

10. Carhart, Mark M. (1997). On persistence in mutual fund performance, Journal of Finance 52,
pp.57-82.

11. Christopherson, Jon A. (1995). Equity style classifications, Journal of Portfolio Management
21, pp.32-43.

12. Carlson, R. S. (1970). Aggregate performance of mutual funds, Journal of Financial and
Quantitative Analysis 5, pp.1-31.

13. Chan, Louis K.C., Narasimhan Jegadeesh, and Josef Lakonishok (1996). Momentum
strategies, Journal of Finance 51, pp.1681-1713.

14.Comer, G. (1991). Hybrid mutual funds and market timing performance, Journal of Business,
79, pp.771-797.

15.Copeland, T.E. and D. Mayers (1982). The value line enigma (1965-1978), A case study of
performance evaluation issues, Journal of Financial Economics 10, pp.289-321.

16. Droms, W.G. and D.A. Walker (1994). Investment performance of international mutual funds,
Journal of Financial Research 17, pp.1-14.

17. Elton, Edwin J., Martin J. Gruber, and Christopher R. Blake (1996). The persistence of
risk-adjusted mutual fund performance, Journal of Business 69, pp.133-157.

18. Edwin, J.E. and M.J. Gurber (1991). Differential information and timing ability, Journal of
Banking & Finance 15, pp.117-131.

19. Francis, J.C. (1986). Portfolio Analysis, New Jersey: Prentice-Hill Inc.

20. Grinblatt, M. and S. Titman (1992). The persistence of mutual fund performance, Journal of
Finance 47, pp.1977-1984.

21. Grinblatt, Mark, Sheridan Titman, and Russ Wermers (1995). Momentum investment
strategies, portfolio performance, and herding: A study of mutual fund behavior, American
Economic Review 85, pp.1088-1105

22. Gallo, John G., and Larry J. Lockwood (1997). Benefits of proper style classification of equity
portfolio managers, Journal of Portfolio Management 23, pp.47-55.

23. Goetzmann, William and R. G. Ibbotson (1994). Do winners repeat, Journal of Portfolio
Management 20, pp.9-18.

24. Grinblatt Mark, Sheridan Titman (1992). The persistence of mutual fund performance, Journal
of Finance 47, pp.1977-1984.

25. Hagigi, Moshe and Brian Kluger (1987). Safety first: An alternative performance measure, The
Journal of Portfolio Management 13, pp.34-40.

26. Hendricks, Darryll, Jayendu Patel, and Richard Zeckhauser (1993). Hot hands in mutual funds:
Short-run persistence of relative performance, Journal of Finance 48, pp.1974-1988.

27. Hendricks, D., J. Patel and R. Zeckhauser (1993). Hot hands in mutual funds: Short-run
persistence of relative performance 1974-1988, Journal of Finance 48, pp.93-130.

28. Horneff, W. J., Maurer, R. H., Mitchell, O. S. and Dus, I. (2008). Following the rules:
Integrating asset allocation and annuitization in retirement portfolios, Insurance: Mathematics
& Economics 42, pp.396-408.

29. Huij, J. and M. Verbeek (2007). Cross-sectional learning and short-run persistence in mutual
fund performance, Journal of Banking & Finance 31, pp.973-997.

30. Jensen, M.C. (1968). The performance of mutual funds in the period (1945-1964), Journal of
Finance 23, pp.389-416.

31. Jegadeesh, Narasimhan (1990). Evidence of predictable behavior of Security returns, Journal
of Finance 45, pp.881-898.

32. Jensen, Michael (1968). The performance of mutual funds in the period 1945-1964, Journal of
Finance 23, pp.389-416.

33. Jegadeesh, Narasimhan, and Sheridan Titman (1993). Returns to buying winners and selling
losers: Implications for stock market efficiency, Journal of Finance 48, pp.65-91.

34. Kahn, Ronald N., and Andrew Rudd (1995). Does historical performance predict future
performance, Financial Analysis Journal 51, pp.43-52.

35. Lakonishok, Josef, Andrei Shleifer, and Robert W. Bishny (1992). The impact of institutional
trading on stock price, Journal of Financial Economics 32, pp.23-43.

36. Levy, Robert (1967). Relative strength as a criterion for investment selection, Journal of
Finance 22, pp.595-610.

37. Malkiel, B. G.(1995). Returns from investing in equity mutual funds 1971 to 1991, Journal of
Finance 50, pp.549-572.

38. Radcliffe, Robert C. (1988). Equity manager styles, Working Paper, University of Florida.

39. Richard A. Johnson and Dean W. Wichern (1992). Applied Multivariate Statistical Analysis,
New Jeresey: Prentice-Hill Inc.

40. Sharpe, William F. (1966). Mutual fund performance, Journal of Business, pp.119-138.

41. Sharpe, William F. (1992). Asset allocation: Management style and performance
measurement, Journal of Portfolio Management 18, pp.7-19.

42. Smith, K. V., and D. A. Tito (1969). Risk-return measures of ex-post portfolio performance,
Journal of Financial and Quantitative Analysis 4, pp.449-471.

43. Tierney, David E. and Kenneth Winston (1991). Using generic benchmarks to present manager
styles, Journal of Portfolio Management 17, pp.33-36.

44.Treynor, J.L. and K.K. Mazuy (1966). Can mutual funds outguess the market, Harvard
Business Review 44, pp.131-136

45. Williamson, J. P. (1972). Measurement and forecasting of mutual fund performance: Choosing
an investment strategy, Financial Analysis Journal 28, pp.78-84.
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2012-08-11公開。
  • 同意授權瀏覽/列印電子全文服務,於2012-08-11起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信