淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


  查詢圖書館館藏目錄
系統識別號 U0002-2202200616484200
中文論文名稱 臺灣共同基金評選之實證研究
英文論文名稱 A Study of Taiwan Mutual fund Performance, Security Selection and Market Timing
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 94
學期 1
出版年 95
研究生中文姓名 熊純姿
研究生英文姓名 Chwen-Tzy Shyong
學號 792590068
學位類別 碩士
語文別 英文
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
中文關鍵字 共同基金績效  選股能力  擇時能力 
英文關鍵字 Mutual Fund Performance  Security Selection  Market Timing 
學科別分類 學科別社會科學管理學
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.
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
參考文獻 Adkisson, J. A. and Fraser, D. R., 2003. “Reading the Stars: Age Bias in Morningstar Ratings,” Financial Analysis Journal, vol. 59, iss. 5: 24-27.
Bauman, W. S. and Miller, R. E., 1995. “Portfolio Performance Rankings in Stock Market Cycles,” Financial Analysis Journal, vol. 51, iss. 2: 79-87.
Bauman, W. S. and Miller, R. E., 2005. “Managing Portfolio Turnover: An Empirical Study,” Quarterly Journal of Business and Economics, vol. 44, iss. 4: 15-31.
Brown, S. J. and Goetzmann, W. N., 1995. “Performance Persistence,” Journal of Finance, vol. 50, iss. 2: 679-698.
Bello, Z. Y. and Janjigian, V., 1997. “A Reexamination of the Market-Timing and Security-Selection Performance of Mutual Funds,” Financial Analysis Journal, vol. 53, iss. 5: 24-30.
Bollen, N. P. B. and Busse, J., 2005. “Short-Term Persistence in Mutual Fund Performance,” Review of Financial Studies, vol. 18, iss. 2: 569-597.
Carhart, M., 1997. “On Persistence in Mutual Fund Performance,” Journal of Finance, vol. 52, iss. 1: 57-82.
Carlson, R. S., 1970. “Aggregate Performance of Mutual Funds, 1948-1967,” Journal of Financial and Quantitative Analysis, vol. 5, iss. 1: 1-32.
Chan, L., Chen, H. and Lakonishok, J., 2002. “On Mutual Fund Investment Styles,” Review of Financial Studies, vol. 15, iss. 5: 1407-1437.
Chang, E. C. and Lewellen, W. J., 1984. “Market Timing and Mutual Fund Investment Performance,” Journal of Business, vol. 57, iss. 1: 57-72.
Chiauo, Ching-Shen, 2004. “A Review on the Performance Evaluation Methodology of Mutual Fund,” Far East Journal, iss. 21: 543-554.
Davis, J. L., 2001. “Mutual Fund Performance and Manager Style,” Financial Analysis Journal, vol. 57, iss. 1: 19-27.
Droms, W. G. and Walker, D. A., 2001. “Persistence of mutual fund operating characteristics: returns, turnover rates, and expense ratios,” Applied Financial Economics, vol. 11, 457-466.
Elton, E. J. and Gruber, M. J., 1993. “The Performance of Bond Mutual Funds,” Journal of Business, vol. 66, iss. 3: 371-403.
Galo, J. G. and Lockwood, L. J., 1999. “Fund Management Changes and Equity Style Shifts,” Financial Analysts Journal, vol. 55, iss. 5: 44-52.
Goetzmann, W. N. and Ibbotson, R. G., 1994. “Do Winners Repeat? Patterns in Mutual Find Return Behavior,” Journal of Portfolio Management, vol. 20, iss. 2: 9-18.
Grinblatt, M. and Titman, S., 1993. “Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns,” Journal of Business, vol. 66, iss. 1: 47-68.
Hsu, C. J. and Chen, S. Y., 2004. “A Mutual Fund Manager’s Timing and Selectivity Abilities-Evaluating the Performance of Domestic Equity Funds,” Journal of Da-yeh University, vol. 13, no. 2: 49-59.
Hendricks, D., Patel, J. and Zeckhauser, R., 1998. “Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988,” Journal of Finance, vol. 48, iss. 1: 93-130.
Henriksson, R. D. and Merton, R. C., 1981. “On Marketing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills,” Journal of Business, vol. 54, iss. 4: 513-533.
Indro, D. C., Jiang, C. X., Yu, M. Y. and Lee, W. Y., 1999. “Mutual Fund Performance: Does Fund Size Matter?” Financial Analysis Journal, vol. 55, iss. 3: 74-87.
Ippolito, R. A., 1989. “Efficiency with Costly Information: A Study of Mutual Fund Performance,” Quarterly Journal of Economics, vol. 104, iss. 1: 1-23.
Jangannathan, R. and Korajczyk, R. A., 1986. “Assessing the Market Timing Performance of Managed Portfolios,” Journal of Business, vol. 59, iss. 2: 217-235.
Jensen, M. C., 1968. “The Performance of Mutual Funds in the Period 1945-1964,” Journal of Finance, vol. 23, iss. 2: 389-416.
Jiang, W., 2003. “A Nonparametric Test of Market Timing,” Journal of Empirical Finance, vol. 10, 399-425.
Kahn, R. N. and Rudd, A., 1995. “Does Historical Performance Predict Future Performance?” Financial Analysis Journal, vol. 51, iss. 6: 43-52.
Liljeblom, E. and Loflund, A., 2000. “Evaluating mutual funds on a small market: is benchmark selection crucial?” Scandinvalan Journal of Management, vol. 16, 67-84.
Lynch, A. W. and Musto, D. K., 2003. “How Investors Interpret Past Fund Returns,” Journal of Finance, vol. 58, iss. 5: 2033-2058.
Prather, L., Bertin, W. J. and Henker, T., 2004. “Mutual Fund Characteristics, Managerial Attributes, and Fund Performance,” Review of Financial Economics, vol. 13, 305-326.
Ross, S. A., 1985. “Measuring Investment Performance in a Rational Expectations Equilibrium Model,” Journal of Business, vol. 58, iss. 1: 1-26.
Sharpe, W. F., 1966. “Mutual Fund Performance,” Journal of Business, vol. 39, iss. 1: 119-138.
Treynor, J. L., 1965. “How to Rate Management of Investment Funds,” Harvard Business Review, 43 (January/February), 63-75.
Treynor, J. L. and Mazuy, K. K., 1966. “Can Mutual Funds Outguess the Market?” Harvard Business Review, 44 (July/August), 131-136.
Umanaheswar, R., 2000. “Market Timing and Mutual Fund Performance,” American Business Review, vol. 18, iss. 2: 75-78.
Volkman, D. A., 1999. “Market Volatility and Perverse Timing Performance of Mutual Fund Managers,” Journal of Financial Research, vol. 22, iss. 4: 449-470.
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2006-02-27公開。
  • 不同意授權瀏覽/列印電子全文服務。


  • 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