政大學術集成


Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/94538


Title: 共同基金波動擇時能力之研究-台灣的實證
Authors: 劉進華
Contributors: 杜化宇
劉進華
Keywords: 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
Date: 2007
Issue Date: 2016-05-06 16:54:49 (UTC+8)
Abstract: 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。
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。
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。
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。
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Description: 碩士
國立政治大學
經濟學系
93258032
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093258032
Data Type: thesis
Appears in Collections:[Department of Economics] Theses

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