系統識別號 | U0002-2202200616484200 |
---|---|
DOI | 10.6846/TKU.2006.01141 |
論文名稱(中文) | 臺灣共同基金評選之實證研究 |
論文名稱(英文) | A Study of Taiwan Mutual fund Performance, Security Selection and Market Timing |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 管理科學研究所企業經營碩士在職專班 |
系所名稱(英文) | Executive Master's Program of Business Administration in Management Sciences |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 94 |
學期 | 1 |
出版年 | 95 |
研究生(中文) | 熊純姿 |
研究生(英文) | Chwen-Tzy Shyong |
學號 | 792590068 |
學位類別 | 碩士 |
語言別 | 英文 |
第二語言別 | |
口試日期 | 2006-01-05 |
論文頁數 | 79頁 |
口試委員 |
指導教授
-
倪衍森
委員 - 張文武 委員 - 趙慕芬 |
關鍵字(中) |
共同基金績效 選股能力 擇時能力 |
關鍵字(英) |
Mutual Fund Performance Security Selection Market Timing |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
台灣共同基金市場在過去十年間快速成長,共同基金已成為時下重要的投資理財工具。本文研究目的是探討影響基金績效的主要因素、選股能力、擇時能力,以做為投資人日後投資共同基金之參考。本研究採用國內股票型基金、平衡型基金、債券型基金2002年至2004年各年度之資料為樣本,探討影響共同基金績效的主要因素。此外,本研究利用 Treynor and Mazuy 以及Henriksson and Merton 模型探討共同基金之選股能力及擇時能力。本研究之重要實證結果如下:一、 以夏普指標及淨值為基金績效指標時,實證結果大致相同,而影響基金績效的主要因素因著基金類型之不同而有差異。基金規模、手續費比率、成立年份是影響股票型基金績效之主要因素。影響平衡型基金績效之因素皆不顯著。而基金規模是影響債券型基金績效之主要因素。二、 共同基金並無擇時能力,驗證結果與其他研究相似,顯示基金經理人無法預測市場波動,以致無法為投資人獲得超額的報酬。三、 只有少數的股票型基金樣本具有顯著性的選股能力,而幾乎沒有任何一支平衡型基樣本具有顯著性的選股能力。四、 大部分的債券型基金樣本都具有選股能力,主要是因為本研究採用MSCI全球債券指標作為評量指標,其在研究期間之利率高於台灣之利率,致使造成此現象。五、 績效良好的基金其績效並沒有持續保持到下一年度,這顯示基金績效不具有持續性。並且,沒有任何一支樣本基金具有持續性之選股及擇時能力。 |
英文摘要 |
There has been a tremendous growth in Taiwan’s mutual fund industry in the past decade. Many Taiwanese people depend on mutual funds as a part of their investment. The purpose of this study is to examine of specific factors related to fund performance, security selection and market timing so as to provide investors guidance for future mutual fund selection. The study use yearly data (2002-2004) of domestic stock funds, balanced funds and bond funds to examine the operating characteristics and performance relationship. Additionally, the model of Treynor and Mazuy (1966) and Henriksson and Merton (1981) are employed to test the fund manager’s security selection and market timing abilities on selected mutual funds. The important findings are as follows: 1. The Sharpe ratio and net asset value provide essentially the same performance consequence for stock funds, balanced funds and bond funds over the period from 2002 to 2004. The analysis indicates that the factors significantly related to the fund performance are diverse across different investment objectives. Fund size, expense ratio and fund age are the major factors having significant impacts on stock fund returns. As for balanced funds, there is no independent variable significantly related to the fund performance. Moreover, the size of bond funds is the key factor related to bond fund performance. 2. In the area of market timing, the findings are consistent with prior research that mutual fund managers, by and large, cannot successfully time the market. No mutual fund demonstrates both security selection and market timing abilities at the same time. This presents that fund managers cannot forecast the market movement to obtain excess returns. 3. For the security selection performance, few stock funds demonstrate significantly positive performance over the studied period by both the model of Treynor and Mazuy (1966) and Henriksson and Merton (1981). Nearly no balanced fund exhibits security selection ability. 4. Most of the bond fund samples studied exhibit security selection abilities. As the Taiwan bond index is not available, MSCI global bond index is used in the study. During the studied period, Taiwan’s interest rate remains at a low level compared to the world interest rate. Thus, most of the samples of bond funds demonstrate security selection ability. 5. Those funds performed well previously do not continue the same performance in the subsequent period. No mutual fund continues showing either security selection or market timing skills in a consecutive year. This indicates that the mutual fund performance does not persist. |
第三語言摘要 | |
論文目次 |
ACKNOWLEDGEMENTS……………………………………………………….… I ABSTRACT……………………………………………………….....……………… II TABLE OF CONTENTS………………………………………………………….… Ⅳ LIST OF TABLES…..………………………………………………………….....… V LIST OF FIGURES……………………………………………………….....……… Ⅶ CHAPTER 1 INTRODUCTION……………………………………………… 1 1.1 Motivation and Background…………………………………….….…….. 1 1.2 Objective………………………………………………...………...……… 2 1.3 Organization……………………………………………………..…..……. 3 CHAPTER 2 LITERATURE REVIEW.……...…………………...…………. 5 2.1 Performance……………………..………………………………………... 5 2.2 Security Selection and Market Timing….………………………………... 8 2.3 Persistence……………………………………………………………..…. 14 CHAPTER 3 RESEARCH METHOD………………………….………….… 21 3.1 Data……………………………………………………………….………. 21 3.2 Research Hypotheses………..……………………………………………. 22 3.3 Research Variables………..………………………………………………. 25 3.4 Research Design and Process…….………………………………………. 29 CHAPTER 4 EMPIRICAL RESULTS……..…………………...………….... 33 4.1 Operating Characteristics and performance Relationship…...…………… 33 4.2 Security Selection and Market Timing…………………………………… 46 CHAPTER 5 CONSLUSION…………………………………………..……... 74 5.1 Conclusion…………………………………………………...…………… 74 5.2 Further Research……………………..…………………………………… 76 REFERENCES………………………………………………………………..….. 77 LIST OF TABLES Table 2-1 Summary of Literature Review...…………………………………………. 17 Table 3-1 Sample of Mutual Funds……...…………………………………………... 21 Table 3-2 Name and Definition of the Dependent Variables………………………... 28 Table 3-3 Name and Definition of the Independent Variables.……………………... 28 Table 4-1 Regression Result of Sharpe Ratio and Stock Funds.….………………… 34 Table 4-2 Summary of Regression Result for Sharpe Ratio and Stock Funds..…….. 34 Table 4-3 Regression Result of Sharpe Ratio and Balanced Funds.…………..……. 35 Table 4-4 Summary of Regression Result for Sharpe Ratio and Balanced Funds...... 35 Table 4-5 Regression Result of Sharpe Ratio and Bond Funds....………….…..…… 36 Table 4-6 Summary of Regression Result for Sharpe Ratio and Bond Funds...…..... 36 Table 4-7 Regression Result of Sharpe Ratio and Stock, Balanced and Bond Funds 37 Table 4-8 Summary of Regression Result for Sharpe Ratio and Stock, Balanced and Bond Funds……………………………………………………………… 37 Table 4-9 Regression Result of NAV and Stock Funds……..………………………. 39 Table 4-10 Summary of Regression Result for NAV and Stock Funds.…….….…… 39 Table 4-11 Regression Result of NAV and Balanced Funds……………..…………. 41 Table 4-12 Summary of Regression Result for NAV and Balanced Funds…………. 41 Table 4-13 Regression Result of NAV and Bond Funds..…………………………... 42 Table 4-14 Summary of Regression Result for NAV and Bond Funds..……….….... 42 Table 4-15 Regression Result of NAV and Stock, Balanced and Bond Funds.…..…. 44 Table 4-16 Summary of Regression Result for NAV and Stock, Balanced and Bond Funds……………………………………………………………………. 44 Table 4-17 TM Model Result for 2002 Stock Funds…………………………....…... 47 Table 4-18 TM Model Result for 2003 Stock Funds..……………………………..... 48 Table 4-19 TM Model Result for 2004 Stock Funds..……………………………..... 50 Table 4-20 TM Model Result for Stock Funds from 2002 to 2004…………………. 52 Table 4-21 TM Model Result for 2002 Balanced and Bond Funds………………..... 54 Table 4-22 TM Model Result for 2003 Balanced and Bond Funds……………..…... 55 Table 4-23 TM Model Result for 2004 Balanced and Bond Funds……………..…... 56 Table 4-24 TM Model Result for Balanced and Bond Funds from 2002 to 2004…... 58 Table 4-25 HM Model Result for 2002 Stock Funds……………………………….. 61 Table 4-26 HM Model Result for 2003 Stock Funds…………………………...…... 62 Table 4-27 HM Model Result for 2004 Stock Funds…………………………...…... 64 Table 4-28 HM Model Result for Stock Funds from 2002 to 2004……………….... 66 Table 4-29 HM Model Result for 2002 Balanced and Bond Funds……………….... 68 Table 4-30 HM Model Result for 2003 Balanced and Bond Funds……………….... 69 Table 4-31 HM Model Result for 2004 Balanced and Bond Funds……………….... 70 Table 4-32 HM Model Result for Balanced and Bond Funds from 2002 to 2004...... 72 LIST OF FIGURES Figure 1-1 Structure of the Thesis.…………………………..……………………. 4 |
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