學術產出-Theses
Article View/Open
Publication Export
-
題名 共同基金經理人能力衡量方法 - 以台灣為例
Measuring skill in the mutual fund industry: A case study of Taiwan作者 蔡宜蓁
Tsai, Yi-Chen貢獻者 鍾令德
蔡宜蓁
Tsai, Yi-Chen關鍵詞 共同基金
價值衡量
基金經理人
基金規模
散戶投資人報酬
Mutual fund
Value creation metric
Fund manager
Asset under management
Individual investors日期 2022 上傳時間 1-Jul-2022 15:58:31 (UTC+8) 摘要 過往的財務文獻大多認為基金經理人並沒有能力在效率市場中透過選股以及資產配置來使得基金表現可以超越大盤。而傳統的基金績效評估方式如net alpha以及gross alpha等以報酬作為衡量準則往往支持這個觀點。然而，基金的過往表現能吸引投資者資金的流入進而影響基金的規模。在市場獲利空間有限之下，因基金基數較大，即使基金經理人的能力一致，規模較大的基金相較於規模較小的基金，將更難獲得同等的百分比報酬。因此Berk and van Binsbergen (2015)提出衡量基金經理人能力時應考量基金過往績效對基金規模的影響，並利用基金經理人在市場創造的價值來衡量基金經理人的能力。他們的研究發現美國基金經理人確實可以有效創造價值，且基金績效的持續性可達10年之久。目前國內鮮有文獻運用此方法於台灣市場，因此本文以台灣2003年6月30日至2021年12月31日期間的證券信託基金為樣本，運用價值衡量方法衡量台灣基金經理人的能力和基金績效的持續性。本研究發現在台灣的基金經理人可以有效地在金融市場創造價值，並且基金績效在至少6年的期間具有持續性。但基金經理人創造的價值大部分為其獲取的管理費用，因此造成散戶投資人的淨報酬為負。
In the classical finance literature, fund managers cannot outperform the market portfolio by stock picking and market timing under the efficient market hypothesis. Generally, mutual fund performance evaluations under the scope of net alpha and gross alphas support this view. Nevertheless, a fund`s past performance can attract fund inflows and thus has a profound impact on fund size. Since profitable market opportunities are scarce, it is more difficult for a large fund to achieve the same level of percentage return as a small fund, even when both fund managers are equally skilled due to the larger base value. Therefore, Berk and van Binsbergen (2015) propose a value creation metric for evaluating a fund manager`s ability that accounts for the scale effect on fund performances. They find that US fund managers can create values, and fund performance can persist for up to ten years. Currently, there is little domestic literature on evaluating fund managers` abilities in Taiwan with the new value metric. As a result, this paper fills in this gap by analyzing a sample of mutual funds in Taiwan from June 30, 2003 to December 31, 2021 to gauge the ability of fund managers in Taiwan and their performance persistence through the scope of value creation. This study finds that fund managers in Taiwan can create value in the financial market, and there is evidence that their fund performance can persist for at least six years. That said, further analysis shows that management fees collected by fund managers account for a significant portion of value creation, thus resulting in negative net returns to fund investors.參考文獻 何幸，1997，國內共同基金績效評估及持續性之研究，碩士論文，國立成功大學會計學系。邱永和、陳玉涓、陳素緞、陳剴夫，2008，國內共同基金之績效評估，會計學報1，29–52。高蘭芬、陳安琳、余育欣、盧正壽，2007，運氣好或操作策略好？－拔靴法下共同基金之績效衡量，管理與系統14，341–358。游吉盛，1998，國內共同基金績效評估之研究，碩士論文，國立中興大學企業管理學系。Barber, Brad M., Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, 2008, Just how much do individual investors lose by trading?, The Review of Financial Studies 22, 609–632.Barber, Brad M., Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, 2014, The cross-section of speculator skill: Evidence from day trading, Journal of Financial Markets 18, 1–24.Berk, Jonathan B., and Richard C. Green, 2004, Mutual fund flows and performance in rational markets, Journal of Political Economy 112, 1269–1295.Berk, Jonathan B., and Jules H. van Binsbergen, 2015, Measuring skill in the mutual fund industry, Journal of Financial Economics 118, 1–20.Bollen, Nicolas P. B., and Jeffrey A. Busse, 2004, Short-term persistence in mutual fund performance, The Review of Financial Studies 18, 569–597.Carhart, Mark M., 1997, On persistence in mutual fund performance, The Journal of Finance 52, 57–82.Elton, Edwin J., Martin J. Gruber, and Christopher R. Blake, 1996, The persistence of risk-adjusted mutual fund performance, Journal of Business 133–157.Fama, Eugene F., 1970, Efficient capital markets: A review of theory and empirical work, The Journal of Finance 25, 383–417.Fama, Eugene F., and Kenneth R. French, 2010, Luck versus skill in the cross-section of mutual fund returns, The Journal of Finance 65, 1915–1947.Hendricks, Darryll, Jayendu Patel, and Richard Zeckhauser, 1993, Hot hands in mutual funds: Short-run persistence of relative performance, 1974–1988, The Journal of Finance 48, 93–130.Ho, Chi Ming, 2011, Does overconfidence harm individual investors? An empirical analysis of the Taiwanese market, Asia-Pacific Journal of Financial Studies 40, 658–682.Jensen, Michael C., 1968, The performance of mutual funds in the period 1945-1964, The Journal of Finance 23, 389–416.Kosowski, Robert, Allan Timmermann, Russ Wermers, and Hal White, 2006, Can mutual fund “stars” really pick stocks? new evidence from a bootstrap analysis, The Journal of Finance 61, 2551–2595.Sharpe, William F., 1966, Mutual fund performance, The Journal of Business 39, 119–138.Treynor, Jack, 1965, How to rate management of investment funds, Harvard Business Review 43, 63–75. 描述 碩士
國立政治大學
國際經營與貿易學系
109351001資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109351001 資料類型 thesis dc.contributor.advisor 鍾令德 zh_TW dc.contributor.author (Authors) 蔡宜蓁 zh_TW dc.contributor.author (Authors) Tsai, Yi-Chen en_US dc.creator (作者) 蔡宜蓁 zh_TW dc.creator (作者) Tsai, Yi-Chen en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Jul-2022 15:58:31 (UTC+8) - dc.date.available 1-Jul-2022 15:58:31 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2022 15:58:31 (UTC+8) - dc.identifier (Other Identifiers) G0109351001 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/140546 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 109351001 zh_TW dc.description.abstract (摘要) 過往的財務文獻大多認為基金經理人並沒有能力在效率市場中透過選股以及資產配置來使得基金表現可以超越大盤。而傳統的基金績效評估方式如net alpha以及gross alpha等以報酬作為衡量準則往往支持這個觀點。然而，基金的過往表現能吸引投資者資金的流入進而影響基金的規模。在市場獲利空間有限之下，因基金基數較大，即使基金經理人的能力一致，規模較大的基金相較於規模較小的基金，將更難獲得同等的百分比報酬。因此Berk and van Binsbergen (2015)提出衡量基金經理人能力時應考量基金過往績效對基金規模的影響，並利用基金經理人在市場創造的價值來衡量基金經理人的能力。他們的研究發現美國基金經理人確實可以有效創造價值，且基金績效的持續性可達10年之久。目前國內鮮有文獻運用此方法於台灣市場，因此本文以台灣2003年6月30日至2021年12月31日期間的證券信託基金為樣本，運用價值衡量方法衡量台灣基金經理人的能力和基金績效的持續性。本研究發現在台灣的基金經理人可以有效地在金融市場創造價值，並且基金績效在至少6年的期間具有持續性。但基金經理人創造的價值大部分為其獲取的管理費用，因此造成散戶投資人的淨報酬為負。 zh_TW dc.description.abstract (摘要) In the classical finance literature, fund managers cannot outperform the market portfolio by stock picking and market timing under the efficient market hypothesis. Generally, mutual fund performance evaluations under the scope of net alpha and gross alphas support this view. Nevertheless, a fund`s past performance can attract fund inflows and thus has a profound impact on fund size. Since profitable market opportunities are scarce, it is more difficult for a large fund to achieve the same level of percentage return as a small fund, even when both fund managers are equally skilled due to the larger base value. Therefore, Berk and van Binsbergen (2015) propose a value creation metric for evaluating a fund manager`s ability that accounts for the scale effect on fund performances. They find that US fund managers can create values, and fund performance can persist for up to ten years. Currently, there is little domestic literature on evaluating fund managers` abilities in Taiwan with the new value metric. As a result, this paper fills in this gap by analyzing a sample of mutual funds in Taiwan from June 30, 2003 to December 31, 2021 to gauge the ability of fund managers in Taiwan and their performance persistence through the scope of value creation. This study finds that fund managers in Taiwan can create value in the financial market, and there is evidence that their fund performance can persist for at least six years. That said, further analysis shows that management fees collected by fund managers account for a significant portion of value creation, thus resulting in negative net returns to fund investors. en_US dc.description.tableofcontents 中文摘要 i英文摘要 ii第一章 緒論 1第二章 文獻回顧 3第三章 研究資料與方法 5第一節 資料來源與篩選 5第二節 研究方法 6第四章 研究結果與分析 9第一節 樣本描述 9第二節 實證結果與分析 10第五章 結論與建議 16參考文獻 18 zh_TW dc.format.extent 6271854 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109351001 en_US dc.subject (關鍵詞) 共同基金 zh_TW dc.subject (關鍵詞) 價值衡量 zh_TW dc.subject (關鍵詞) 基金經理人 zh_TW dc.subject (關鍵詞) 基金規模 zh_TW dc.subject (關鍵詞) 散戶投資人報酬 zh_TW dc.subject (關鍵詞) Mutual fund en_US dc.subject (關鍵詞) Value creation metric en_US dc.subject (關鍵詞) Fund manager en_US dc.subject (關鍵詞) Asset under management en_US dc.subject (關鍵詞) Individual investors en_US dc.title (題名) 共同基金經理人能力衡量方法 - 以台灣為例 zh_TW dc.title (題名) Measuring skill in the mutual fund industry: A case study of Taiwan en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 何幸，1997，國內共同基金績效評估及持續性之研究，碩士論文，國立成功大學會計學系。邱永和、陳玉涓、陳素緞、陳剴夫，2008，國內共同基金之績效評估，會計學報1，29–52。高蘭芬、陳安琳、余育欣、盧正壽，2007，運氣好或操作策略好？－拔靴法下共同基金之績效衡量，管理與系統14，341–358。游吉盛，1998，國內共同基金績效評估之研究，碩士論文，國立中興大學企業管理學系。Barber, Brad M., Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, 2008, Just how much do individual investors lose by trading?, The Review of Financial Studies 22, 609–632.Barber, Brad M., Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, 2014, The cross-section of speculator skill: Evidence from day trading, Journal of Financial Markets 18, 1–24.Berk, Jonathan B., and Richard C. Green, 2004, Mutual fund flows and performance in rational markets, Journal of Political Economy 112, 1269–1295.Berk, Jonathan B., and Jules H. van Binsbergen, 2015, Measuring skill in the mutual fund industry, Journal of Financial Economics 118, 1–20.Bollen, Nicolas P. B., and Jeffrey A. Busse, 2004, Short-term persistence in mutual fund performance, The Review of Financial Studies 18, 569–597.Carhart, Mark M., 1997, On persistence in mutual fund performance, The Journal of Finance 52, 57–82.Elton, Edwin J., Martin J. Gruber, and Christopher R. Blake, 1996, The persistence of risk-adjusted mutual fund performance, Journal of Business 133–157.Fama, Eugene F., 1970, Efficient capital markets: A review of theory and empirical work, The Journal of Finance 25, 383–417.Fama, Eugene F., and Kenneth R. French, 2010, Luck versus skill in the cross-section of mutual fund returns, The Journal of Finance 65, 1915–1947.Hendricks, Darryll, Jayendu Patel, and Richard Zeckhauser, 1993, Hot hands in mutual funds: Short-run persistence of relative performance, 1974–1988, The Journal of Finance 48, 93–130.Ho, Chi Ming, 2011, Does overconfidence harm individual investors? An empirical analysis of the Taiwanese market, Asia-Pacific Journal of Financial Studies 40, 658–682.Jensen, Michael C., 1968, The performance of mutual funds in the period 1945-1964, The Journal of Finance 23, 389–416.Kosowski, Robert, Allan Timmermann, Russ Wermers, and Hal White, 2006, Can mutual fund “stars” really pick stocks? new evidence from a bootstrap analysis, The Journal of Finance 61, 2551–2595.Sharpe, William F., 1966, Mutual fund performance, The Journal of Business 39, 119–138.Treynor, Jack, 1965, How to rate management of investment funds, Harvard Business Review 43, 63–75. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200572 en_US
