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https://ah.lib.nccu.edu.tw/handle/140.119/94538| 題名: | 共同基金波動擇時能力之研究-台灣的實證 | 作者: | 劉進華 | 貢獻者: | 杜化宇 劉進華 |
關鍵詞: | 隨機樣本 隨機投資組合 波動擇時能力 報酬擇時能力 基金績效測量 波動選股能力 |
日期: | 2007 | 上傳時間: | 6-May-2016 | 摘要: | 本研究以修改傳統 模型為出發點，探討基金經理人所具備的動態行為特質。傳統模型重點主要放在經理人對於市場報酬率走勢的預期，並未考慮到其對市場未來波動性走勢的預期能力。因此本文認為有失偏頗。故研究方法即加入波動擇時能力特質進入模型，希望能強化傳統模型的擇時能力表現，以更完整地建立有關經理人擇時能力的資訊。\n本研究採用三十支國內股票型共同基金為研究樣本。研究期間為2001//7/1~2005/6/30四年。利用日資料方法來補捉基金經理人每日動態特質，並且建立了隨機投資組合作為比較基準點，期望能更客觀的分析經理人是否具備優良從事交易策略的能力。\n研究結果發現，研究樣本的基金經理人，以三因子或單因子模型分析，多數經理人具備波動擇時能力，但是報酬擇時能力並不顯著。這說明國內共同基金經理人在面對股市的未來報酬高度不確定性，會重視高波動所帶來的高風險。故會在未來走勢高波動時，適時的減少市場風險曝露及投資部位。\n另外，研究結果也發現，當模型中異常報酬考慮到市場上波動時，基金經理人波動選股能力係數並不顯著，故無法說明其會隨著市場波動性改變，而運用選股能力強化績效，創造基金異常報酬。 | 參考文獻: | 一、中文部分(依作者姓名筆畫大小排列)：\n1. 王介志,2000,“資產組合績效評估分析”,台灣大學經濟所碩士論文。\n2. 向淑文,2000, “投資期限與資產定價因子”,中央大學財務管理研究所碩士論文。\n3. 李文聖,2000,“因子、特徵與資產配置”,國立中央大學財務管理研究所碩士論文。\n4. 林詩芸,2004,“美國股票型基金經理人績效評估-選股能力及擇時能力分析”,交通大學科管所碩士論文。\n5. 姜志堅,2004, “基金波動擇時能力之研究”, 南華大學財務管理研究所碩士論文。\n6. 陳松男,1977, “現代投資學”,新陸書局。\n7. 陳欣怡,2004, “台灣股票型共同基金波動擇時能力之研究”,南華大學財務管理研究所碩士論文。\n8. 陳榮昌,2002, “台灣股票報酬之結構分析”,中山大學財務管理研究所在職專班碩士論文。\n9. 楊奕農,2005, “時間序列分析-經濟與財務上之應用”,雙葉書廊有限公司,145~173。\n10. 謝劍平,2004, “現代投資學-分析與管理”,智勝出版公司出版。\n\n二、英文部分(依作者姓氏字母順序排列)\n11. 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L., 1965, “How to Rate Management of Investment Funds,” Harvard Business Review, 43, 63-75.\n51. Treynor, J. and F. Black, 1973, “How to Use Security Analysis to Improve Portfolio Selection,” Journal of Business, 46, 66-86.\n52. Treynor, J. L. and K. Mazny, 1966, “Can Mutual Funds Outguess the Market,” Harvard Business Review, 44, 131-136.\n53. Whitelaw, R. F., 1994, “Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns,” Journal of Finance, 49, 515-541. | 描述: | 碩士 國立政治大學 經濟學系 93258032 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0093258032 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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