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中文論文名稱 共同基金評比與績效之探討
英文論文名稱 The study on Ratings and Mutual Fund Performance
校院名稱 淡江大學
系所名稱(中) 保險學系保險經營碩士班
系所名稱(英) Department of Insurance
學年度 94
學期 2
出版年 95
研究生中文姓名 顏錚瑜
研究生英文姓名 Cheng-Yu Yen
學號 693500125
學位類別 碩士
語文別 中文
口試日期 2006-06-02
論文頁數 70頁
口試委員 指導教授-繆震宇
委員-詹場
委員-池祥麟
中文關鍵字 基金評比  TEJ基金評等系統  夏普指標  績效持續性 
英文關鍵字 Ratings  TEJ Ratings  Sharpe Index  Persistence 
學科別分類 學科別社會科學商學
中文摘要 論文提要內容:
共同基金已成為投資大眾不可或缺之理財工具,而投資人應如何挑選出適合自身所能承受之風險且報酬率高之共同基金,儼然成為一項重要之議題。面對此難題,絕大多數之投資人是以基金過去之績效表現與專業評比機構之評比等級作為辨識及選擇基金之準則,而該準則意涵基金績效具有持續性之觀點,但基金績效持續性之存在與否至今仍無定論。故本研究以民國92年12月繆震宇(2005)基金評等系統及TEJ基金評等系統所評比之國內股票型基金為研究對象,探討基金之評比與基金短期、中期及長期績效表現之關聯性,以及基金型態與成立期間之長短對此關聯性之影響程度,接著再探討Sharpe Index評估期間之長短對基金短期、中期及長期績效持續性之影響程度,以及基金型態與成立期間之長短對基金績效持續性之影響程度。

主要的結論為:(一) 繆震宇(2005)基金評等系統及TEJ基金評等系統與基金未來之績效表現無顯著之關聯性。(二) 基金之型態不影響繆震宇(2005)基金評等系統與基金未來績效表現之關聯性,但基金成立期間之長短卻會影響兩者間之關聯性。(三)基金之型態及成立期間之長短皆會影響TEJ基金評等系統與基金未來績效表現之關聯性。(四)以評估期間為半年之Sharpe Index為績效指標時,基金具有顯著之績效持續性。(五)基金之型態及成立期間之長短會影響基金績效之持續性。
英文摘要 Mutual fund has become the indispensable tool for investors. It has become an important issue how investors select mutual fund which owns risk that they can take and has high return. Facing the difficulty, most investors use the past performance and ratings of mutual fund as their guide to recognize and select funds. The guide means that mutual fund has persistence of performance, but there is no conclusion if the persistence is exits. In this study, we adopt Maio, Chen-Yu’s (2005) ratings and TEJ ratings of domestic-stock mutual funds in Dec. 2003 as samples discussing the relationship among ratings and the performance during different periods; how the types and the age of mutual fund affect the relationship. Finally, it describes the relationship among Sharpe Index that adopts different evaluation periods and the performance during different periods.; how the types and the age of mutual fund affect the relationship.
The main conclusions are: (1) No significant relationship between Maio, Chen-Yu’s (2005) ratings and mutual fund future performance. (2) The types of mutual fund will not affect the relationship between Maio, Chen-Yu’s (2005) ratings and mutual fund future performance, but ages of mutual fund will affect the relationship. (3) The types and ages of mutual fund will affect the relationship between TEJ ratings and mutual fund future performance. (4) There is a significant persistence in mutual fund performance with Sharpe Index that is evaluated with half a year. (5) The types and ages of mutual fund will affect the persistence of mutual fund performance.
論文目次 目 錄

第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究限制 2
第四節 研究架構 3

第二章 文獻探討 4
第一節 共同基金之績效評估 4
第二節 共同基金之評鑑機構 15
第三節 共同基金之績效持續性 20

第三章 研究方法 23
第一節 樣本及評估期間 23
第二節 共同基金之評比 24
第三節 共同基金之績效評估 25
第四節 實證方法 26

第四章 實證分析 28
第一節 基金評比與基金未來績效表現之關聯性─整體基金 28
第二節 基金評比與基金未來績效表現之關聯性─分型態 34
第三節 基金評比與基金未來績效表現之關聯性─分年齡 45
第四節 共同基金績效之持續性 56

第五章 結論與建議 63
第一節 結論 63
第二節 建議 65

參考文獻 66

表 目 次

表2-1 績效指標之比較 8
表2-2 標準普爾之基金等級區分方式 15
表2-3 晨星之基金等級區分方式 16
表2-4 各期間星號評等結果權重之分配情形 16
表2-5 Lipper Leader之基金等級區分方式 17
表2-6 Value Line之基金等級區分方式 18
表2-7 TEJ 基金評等系統之基金等級區分方式 19
表3-1 繆震宇(2005)基金評等系統之基金等級區分方式 24
表4-1 繆震宇(2005)基金評等系統之虛擬變數迴歸分析 29
表4-2 繆震宇(2005)基金評等系統與各績效指標之關聯性 30
表4-3 繆震宇(2005)基金評等系統與各評估期間之關聯性 30
表4-4 TEJ 基金評等系統之虛擬變數迴歸分析 32
表4-5 TEJ 基金評等系統與各績效指標之關聯性 33
表4-6 TEJ 基金評等系統與各評估期間之關聯性 33
表4-7 繆震宇(2005)基金評等系統與各類型基金未來績效表現之關聯性 36
表4-8 繆震宇(2005)基金評等系統與各績效指標之關聯性─
一般股票型基金 37
表4-9 繆震宇(2005)基金評等系統與各評估期間之關聯性─
一般股票型基金 37
表4-10 繆震宇(2005)基金評等系統與各績效指標之關聯性─科技型基金 39
表4-11 繆震宇(2005)基金評等系統與各評估期間之關聯性─科技型基金 39
表4-12 TEJ基金評等系統與各類型基金未來績效表現之關聯性 41
表4-13 TEJ基金評等系統與各績效指標之關聯性─一般股票型基金 42
表4-14 TEJ基金評等系統與各評估期間之關聯性─一般股票型基金 42
表4-15 TEJ基金評等與各績效指標之關聯性─科技型基金 44
表4-16 TEJ基金評等與各評估期間之關聯性─科技型基金 44
表4-17 繆震宇(2005)基金評等系統與各年齡層基金未來績效表現之關聯性 47
表4-18 繆震宇(2005)基金評等系統與各績效指標之關聯性─
成立期間大於五年之基金 48
表4-19 繆震宇(2005)基金評等系統與各評估期間之關聯性─
成立期間大於五年之基金 48
表4-20 繆震宇(2005)基金評等系統與各績效指標之關聯性─
成立期間小於五年之基金 50
表4-21 繆震宇(2005)基金評等系統與各評估期間之關聯性─
成立期間小於五年之基金 50

表4-22 TEJ基金評等系統與各年齡層基金未來績效表現之關聯性 52
表4-23 TEJ基金評等系統與各績效指標之關聯性─
成立期間大於五年之基金 53
表4-24 TEJ基金評等系統與各評估期間之關聯性─
成立期間大於五年之基金 53
表4-25 TEJ基金評等系統與各績效指標之關聯性─
成立期間小於五年之基金 55
表4-26 TEJ基金評等系統與各評估期間之關聯性─
成立期間小於五年之基金 55
表4-27 各評估期間之Sharpe Index與各績效指標之績效關聯性 58
表4-28 各類型基金之Sharpe Index(6)與各績效指標之關聯性 60
表4-29 各年齡層基金之Sharpe Index(6)與各績效指標之關聯性 62
參考文獻 一、中文文獻
毛存正(2004),「台灣股票型基金績效與費用對流量影響之探討」,東海大學管理研究所碩士在職專班碩士論文。
辛穎琪(1996),「臺灣股票型基金之績效評估:持股比率分析法」,國立政治大學財務管理研究所碩士論文。
林文宏(1998),「全球股票型基金績效及持續性之研究」,國立東華大學國際企業管理研究所碩士論文。
林煌文(1995),「臺灣地區共同基金績效持續性效果實證研究」,國立中山大學企業管理研究所碩士論文。
翁詩惠(2002),「以Gruber四因子模型與修正後二因子模型評估共同基金績效及其持續性之研究」,國立交通大學管理科學研究所碩士論文。
張 舜(1999),「Fama-French三因子模型下共同基金績效持續性研究」,國立中山大學企業管理研究所碩士論文。
陳智賢(1997),「以因子模型探討台灣共同基金績效之持續性」,國立中正大學財務金融研究所碩士論文。
游子軒(2003),「國內債券型基金績效持續性之研究」,長庚大學企業管理研究所碩士論文。
楊宏中(2002),「五星級基金僅有八檔,七成基金表現領先大盤─TEJ推出基金評等新系統」,貨幣觀測與信用評等,第34期,46-59頁。
蔡毓翔(2003),「台灣股票型共同基金績效之研究」,淡江大學財務金融研究所碩士論文。
繆震宇(2005),「共同基金績效評比系統之研究」,working paper。


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