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系統識別號 U0002-1607200716303500
中文論文名稱 台灣平衡型基金績效衡量指標及特徵因子之研究
英文論文名稱 Balanced Fund Performance and Characteristics in Taiwan
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 95
學期 2
出版年 96
研究生中文姓名 周靜芬
研究生英文姓名 Ching-fen,Chou
學號 794490440
學位類別 碩士
語文別 中文
口試日期 2007-06-20
論文頁數 64頁
口試委員 指導教授-顧廣平
委員-葉立仁
委員-楊馥如
委員-謝文良
委員-顧廣平
中文關鍵字 平衡型基金  基金特徵 
英文關鍵字 balance fund  fund characteristics 
學科別分類
中文摘要 隨著共同基金成為投資人重要投資工具之一,探討共同基金相關課題之學術研究也隨之大幅增加。本研究利用Black, Jensen and Scholes(1972)的市場單因子模式、Fama and French(1993)之市場、規模、淨值市價比三因子模式、Carhart(1997)之市場、規模、淨值市價比、動能四因子模式等三種國內外最常引用之因子模式,以及增加利率因子之市場、利率二因子模式;市場、規模、淨值市價比、利率四因子模式;市場、規模、淨值市價比、動能、利率五因子模式等三種增加利率因子之模式。判斷各因子對平衡型基金超額報酬變異是否具有解釋能力,以瞭解各基金特徵對基金績效之預測能力。另外,由基金特徵來探討對平衡型基金績效之預測能力,國內平衡型基金經理人藉由對市場的看法,藉由股、債間靈活調整,達到「進可攻、退可守」的資產配置能力。而本研究亦發現國內平衡型基金規模與基金績效間呈正向變動,故投資人在投資國內平衡型基金時,除了考量經理費及保管費外,應將平衡型基金資產規模納入考量,才能使投資更具有效率。
英文摘要 Since the mutual funds is influential to investors’ capital management, it becomes an important topical subject of research. The popular indices of personal performance evaluation, Goetzmann and Ibbotson (1994)、Brown, Goetzmann and Ross (1995)、Elton, Gruber, and Blake (1996), have a number of reported in the literature. This study tries to use a Black, Jensen and Scholes(1972)’s one factor model,Fama and French(1993)’s three factor model(market factor, size-related factor, book-to-market related factor) and Carhart(1997)’s four factor model (Fama-French three- factor model and momentum factor to assemble into four-factor model) and proposes the five-factor model that includes the fifth factor, bond index to evaluate the characteristics of the mutual funds in Taiwan and further to examine the influential factors on efficiency. The research period of this study is three years from 2002 to 2006 and this study consists of 1570 samples .The research results reveal that the Carhart(1997)’s four factor model and five-factor model is due to more efficiently and then both the academician and the practitioner benefit from this research.Then we compare the domestic stocks and bond market to see how they management the. mutual fund Finally, we provide the investors with some ideas how to choose a better fund by considering some factors: asset size, total fees ratio, and custodian fee.
論文目次 目 錄 Ⅰ
圖 表 目 次 Ⅲ
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 研究架構 6
第二章 文獻探討 8
第一節 平衡型基金簡介 8
第二節 共同基金傳統整體績效評估模式 10
第三節 傳統模型所面臨之問題與影響 15
第四節 共同基金傳統報酬擇時能力評估模式 17
第三章 研究方法 22
第一節 研究對象及資料處理 22
第二節 衡量基金績效的因子模式 25
第三節 基金特徵與經理人屬性 29
第四節 分析基金績效與各特徵變數關係的模式 32
第四章 研究結果與分析 34
第一節 因子溢酬 34
第二節 因子模式 36
第三節 衡量平衡型基金之最適因子模式 45
第四節 基金績效與基金特徵之敘述統計 49
第五節 基金績效與基金特徵間的橫斷面關係 52
第五章 結論與建議 57
第一節 結論 57
第二節 建議 60
參考文獻 62

圖、表目次
表2.1:國內平衡型基金募集成立概況…………………………………9
表3.1:本研究選取樣本之分月與分類型統計表……………………23
表4.1:因子攸關溢酬(%)之敍述統計…………………………………35
表4.2:平衡型基金超額報酬之統計結果……………………………37
表4.3:市場單因子模式之估計與檢定結果…………………………38
表4.4:市場、利率二因子模式之估計與檢定結果…………………39
表4.5:市場、規模、淨值市價比三因子模式之估計與檢定結果..41
表4.6:市場、規模、淨值市價比及利率四因子模式之估計與檢定結果………………………………………………………………………42
表4.7:市場、規模、淨值市價比及動能四因子模式之估計與檢定結果………………………………………………………………………43
表4.8:市場、規模、淨值市價比、動能及利率五因子模式之估計與檢定結果………………………………………………………………45
表4.9 :各因子模式判定係數與推論結果彙整表…………………46
表4.10 :因子模式迴歸係數估計值敘述統計………………………48
表4.11 :平衡型基金績效估計值與特徵變數之敘述統計…………51
表4.12:12個基金特徵與基金績效間之橫斷面關係………………55
圖1.1:研究架構與流程圖………………………………………………7
圖3.1:平衡型基金與市場投資組合報酬指數化後的趨勢比較圖…25


參考文獻 參考文獻
【中文參考文獻】
林修葳和王佳真(2002),「臺灣共同基金績效持續性之研究」,《管理學報》,第20卷第4期,655-688。
許培基、陳軒基、杜明哲(2003),「共同基金持股之績效解構與資訊內容」,《證券市場發展季刊》,第15卷第3期,1-26。
陳安琳、洪嘉苓、李文智(2001),「共同基金經理團隊屬性與基金績效之研究」,《證券市場發展季刊》,第13卷第3期,1-27。
顧廣平(2002),「台灣上市(櫃)公司股票期望報酬橫斷面差異解釋因子之探討」,《亞太社會科技學報》,第2卷第1期,139-164。
顧廣平(2003),「台灣新上市股票短期與長期績效之再探討」,《證券市場發展季刊》,第15卷第1期,1-40。
顧廣平(2005),「單因子、三因子或四因子模式」,《證券市場發展季刊》,第17卷第2期,101-145。

【英文參考文獻】
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