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系統識別號 U0002-2606201321581700
中文論文名稱 影響境外高收益債券基金績效之探討
英文論文名稱 Investigating the Performance of Offshore High Yield Bond Funds
校院名稱 淡江大學
系所名稱(中) 管理科學學系企業經營碩士在職專班
系所名稱(英) Executive Master’s Program of Business Administration(EMBA) in Management Sciences
學年度 101
學期 2
出版年 102
研究生中文姓名 方英哲
研究生英文姓名 Ying-Che Fang
學號 700620031
學位類別 碩士
語文別 中文
口試日期 2013-06-24
論文頁數 51頁
口試委員 指導教授-倪衍森
委員-曹銳勤
委員-蕭文姃
中文關鍵字 財富管理  高收益債券基金  資產配置  基金績效 
英文關鍵字 Wealth Management  High-Yield Bond Funds  Asset Allocation  Mutual Fund Performance 
學科別分類
中文摘要 基金投資是國內目前最普遍且經常被使用的投資工具,但基金商品類別繁多且複雜,且各自面臨著不同的投資報酬與風險,因此投資人進行投資時必須審慎評估與考量,以求立於不敗之地,然由於國內金融機構為突破存、放款利差縮小所造成經營上的瓶頸,紛紛將財富管理業務列為重要發展業務項目之一,惟國內金融機構過度競爭(Overbanking)現象依舊存在,爰金融機構為提高經營績效,經由其通路銷售基金已為競逐的兵家必爭之地。準此,金融機構通路所提供的投資建議是否為最適投資選擇與資產配置,仍尚存諸多討論空間,因此投資人若要規避潛在投資風險並獲取較高投資報酬,在基金標的選擇,必須多下工夫,以做出適合其本身投資屬性與預期報酬率之投資決策。
本研究係以境外高收益債券基金為研究主體,經實證分析,本研究發現境外高收益債券基金似乎較適合短期投資,亦即基金短期績效優於長期績效,此外,標準差較大的基金,因標準差存有非系統風險,而此風險並非投資人可以掌握,故當境外高收益債券基金波動性大增時,反而不是可以介入的投資標的,此與貝他係數較高的基金有較高的報酬有所差異。再則,晨星評級越高、基金成立時間愈久、基金經理費收取越高的境外高收益債券基金會有不錯的績效表現,投資人未來申購是類基金時,可納入這些指標作為投資考量。
英文摘要 Mutual fund investment is one of the most common financial instruments for investors; however, there are various mutual fund categories accompanied with expected returns and risks sold in the markets. Therefore, investors should assesse with care in order to make profits even avoid losses while investing mutual funds. Nowadays, the financial institutions face the bottleneck resulting from the overbanking, which lowers down the spread between the deposits and loans. Thus, the sales of mutual funds are more and more paid attention by these institutions. However, whether the funds suggested by these institutions would be beneficial for asset allocations seem not to reach the consistent conclusion. Therefore, investors had better endeavor to find the funds with the higher rewards and lower risks according to investors’ preference.
In this study, we selects the high-yield bond funds as our samples, The results reveal that investors had better select bond funds as short-term investments instead of long-term investments. In addition, the funds with higher standard deviation might not perform well resulting from unsystematic risks occurred in these bond funds. However, the bond funds with higher betas have the better performance, since these funds with the higher systematic risks might enhance the expected returns of these fund funds. Furthermore, investors might take the funds with higher Morningstar rating and the time lasted in the markets into accounts, since these funds exhibit the superior performance. Thus, market participants might take the evidences revealed in this study into accounts while investing high-yield bond funds.
論文目次 謝辭 I
中文摘要 II
英文摘要 III
目 錄 IV
圖 目 錄 VI
表 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 7
第三節 研究流程 13
第四節 研究架構 14
第二章 文獻探討 15
第一節 債券基金收益與風險的關聯性 15
第二節 高收益債券基金收益與風險的關聯性 17
第三節 高收益債券基金績效表現的影響因素 20
第三章 研究假說與方法 24
第一節 研究資料與變數 24
第二節 研究假說 27
第三節 研究方法與模型 31
第四章 實證結果與分析 32
第一節 敘述統計量 32
第二節 實證結果與分析 34
第三節 含虛擬變數迴歸模型的實證結果與分析 40
第五章 研究結論與建議 44
第一節 研究結論 44
第二節 投資與管理意涵 46
第三節 研究限制與建議 47
參考文獻 49
圖目錄
圖1-1 研究流程圖 13
表目錄
表1-1 境外基金機構、基金總代理人、銷售檔數及基金規模 3
表1-2 境內外基金檔數、投資規模及境內外基金投資比重統計表 7
表1-3 境外股票型、債券型及其他基金投資規模及比率統計表 8
表1-4 各類境外債券型基金投資比重統計表 8
表1-5 風險收益等級說明 11
表4-1 各變數敘述統計量 32
表4-2 短期績效與長期平均績效比較的實證結果 34
表4-3 一年績效自變數之共線性 35
表4-4 應變數為短期績效的迴歸分析 36
表4-5 三年績效(中期績效)與自變數間之迴歸分析 37
表4-6 五年績效(長期績效)與自變數間之迴歸分析 38
表4-7 夏普值(考量風險下之績效)與自變數間之迴歸分析 39
表4-8 一年績效與自變數間之迴歸分析 40
表4-9 三年績效與自變數間之迴歸分析 41
表4-10 五年績效與自變數間之迴歸分析 42
表4-11 夏普值與自變數間之迴歸分析 43
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