Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/94538| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 杜化宇 | zh_TW |
| dc.contributor.author | 劉進華 | zh_TW |
| dc.creator | 劉進華 | zh_TW |
| dc.date | 2007 | en_US |
| dc.date.accessioned | 2016-05-06T08:54:49Z | - |
| dc.date.available | 2016-05-06T08:54:49Z | - |
| dc.date.issued | 2016-05-06T08:54:49Z | - |
| dc.identifier | G0093258032 | en_US |
| dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/94538 | - |
| dc.description | 碩士 | zh_TW |
| dc.description | 國立政治大學 | zh_TW |
| dc.description | 經濟學系 | zh_TW |
| dc.description | 93258032 | zh_TW |
| dc.description.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。\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。 | zh_TW |
| dc.description.tableofcontents | 摘要 I\n第壹章、緒論 1\n第ㄧ節、研究動機與背景 1\n第二節、研究目的 3\n第三節、研究特色 5\n第貳章、文獻探討 7\n第一節、傳統的報酬擇時能力評估模型與實證 7\n第二節、國內外波動擇時能力文獻回顧 11\n第參章、波動擇時研究方法 12\n第一節、模型假設建立 12\n第二節、擇時能力特質行為 16\n第三節、實證模型建構 20\n第肆章、資料處理 23\n第一節、資料來源 23\n第二節、因子與隨機樣本建構： 26\n第伍章、實證結果與分析 29\n第一節、統計分析理論與檢定方法 29\n第二節、模型配適 32\n第三節、日相關性 35\n第四節、波動擇時能力表現 36\n第五節、報酬擇時能力表現 38\n第六節、同時包含波動與報酬擇時能力表現 39\n第七節、績效表現 41\n第八節、整理分析 42\n第陸章、研究限制與結果 44\n第一節、研究結果與發現 44\n第二節、研究限制與建議 45\n參考文獻 46\n附錄 51\n\n表目錄\n表[3.1]同時具波動擇時能力和報酬擇時能力的經理人 17\n表[3.2]不具波動擇時能力，但具報酬擇時能力的經理人 18\n表[3.3]具備波動擇時能力，但不具備報酬擇時能力的經理人 18\n表[3.4]完全不具備擇時能力的基金經理人 19\n表[4.1] 基金公司樣本資料 23\n表[5.1] 單根檢定市場報酬率結果 32\n表[5.2] GARCH效果檢定結果 32\n表[5.3] SBC配適值整理 33\n表[5.4] 每日台灣加權指數報酬率EGARCH(1,1)模型係數結果 34\n表[5.5] 樣本整理 36\n表[5.6] 考慮基金波動擇時係數情況的產出結果 37\n表[5.7] 考慮基金報酬擇時係數情況的產出結果 38\n表[5.8] 三因子模型情況： 39\n表[5.9] 單因子模型情況： 40\n表[5.10] 考慮基金波動選股情況的產出結果 41\n圖目錄\n圖1.1 研究流程 6 | zh_TW |
| dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#G0093258032 | en_US |
| dc.subject | 隨機樣本 | zh_TW |
| dc.subject | 隨機投資組合 | zh_TW |
| dc.subject | 波動擇時能力 | zh_TW |
| dc.subject | 報酬擇時能力 | zh_TW |
| dc.subject | 基金績效測量 | zh_TW |
| dc.subject | 波動選股能力 | zh_TW |
| dc.title | 共同基金波動擇時能力之研究-台灣的實證 | zh_TW |
| dc.type | thesis | en_US |
| dc.relation.reference | 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. Admati, A. R., S. Bhattacharya, P. Pfleiderer, and S. Ross, 1986, “On Timing and Selectivity,” Journal of Finance, 41,715-730.\n12. Engle, R. F., 1982, “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation,” Econometrica, 50, 987-1008.\n13. Backus, D. K. and A. W. Gregory, 1993, “Theoretical Relations Between Risk Premiums and Conditional Variances,” Journal of Business and Economic Statistics, 11, 177-185.\n14. Bollen, N. P. B. and J. A. Busse, 2001, “On the Timing Ability of Mutual Fund Managers,” The Journal of Finance, 56, 1075-1094.\n15. Brown, S. J., and W. N. Goetzmann, 1995, “Performance Persistence,” Journal of Finance, 50, 679-698.\n16. Burns, P., 2006, “Random Portfolios for Evaluating Trading Strategies,” working paper, http://www.burns-stat.com/.\n17. Busse, J. A., 1999, “Volatility Timing in Mutual Funds: Evidence from Daily Returns,” The Review of Financial Studies, 1009-1041.\n18. Carhart, M. M., 1997, “On Persistence in Mutual Fund Performance,” Journal of Finance, 52, 57-82.\n19. Chang, E. C. and W. G. Lewellen, 1984, “Market Timing and Mutual Fund Investment Performance,” Journal of Business, 57, 57-72.\n20. Christopherson, J. A., W. E. Ferson, and D. A. Glassman, 1994, “Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance,” The Review of Financial Studies, 11, 111-142.\n21. Christopherson, J. A., W. E. Ferson, and D.A. Glassman, 1998, “Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance, ”Review of Financial Studies,11,111-142\n22. Daniel, K., M. Grinblatt, S. Titman, and R. Wermers, 1997, “Measuring Mutual Fund Performance with Characteristic-Based Benchmarks,” Journal of Finance, 52, 1035-1058.\n23. DeBondt, W. and R. Thaler, 1985, “Does the Stock Market Overreacts?” Journal of Finance, 40, 793-805.\n24. Dimson, E., 1979, “Risk Measurement when Shares are Subject to Infrequent Trading,” Journal of Financial Economics, 7, 197-226.\n25. Dickey, D. and Fuller, W. (1979) “Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, 74, 427-431.\n26. Elton, E. J., M. J. Gruber, and C.R. Blake, 1996b, “Survivorship Bias and Mutual Fund Performance,” Review of Financial Studies, 9, 1097-1120.\n27. Elton, E. J., M. J. Gruber, S Das, and M. Hlavka, 1993, “Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios,” Review of Financial Studies, 6, 1-22.\n28. Enders, W., 2004, “Applied Econometric Time-Series,” 2nd Edition. \n29. Fama, E. F. 1972, “Components of Investment Performance,” Journal of Finance, 27, 551-567.\n30. Fama, E. F., and K.R. French, 1993, “Common Risk Factors in the Returns on Bonds and Stocks,” Journal of Financial Economics, 33, 3-56.\n31. Fama, E. F., and K.R. French, 1996, “Multifactor Explanations of Asset Pricing Anomalies,” Journal of Finance, 51, 55-84.\n32. Ferson, W., and R. Schadt, 1996, “Measuring Fund Strategy and Performance in Changing Economic Conditions,” Journal of Finance, 51, 425-461.\n33. Ferson, W. E., and R. W. Schadt, 1996, “Measuring Fund Strategy and Performance in Changing Economic Conditions,” Journal of Finance, 51,425-461.\n34. Ferson, W. E., and V. A. Warther, 1996, “Evaluating Fund Performance in a Dynamic Market,” Financial Analysis Journal, 52, 20-28.\n35. Fleming, J., C. Kirby, and B. Ostdiek, 2001, “The Economic Value of Volatility Timing,” Journal of Finance, 56, 329-352.\n36. Goetzmann, W. N., J. Ingersoll and Z. Ivkovic, 2000, “Monthly Measurement of Daily Timers,” Journal of Financial and Quantitative Analysis, 35, 257-290.\n37. Granger, C. and P. Newbold, 1974, “Spurious regressions in econometrics,” Journal of Econometrics, 2, 111-120.\n38. Henriksson, R. D. and R. C. Merton,1981, “On Market Timing and Investment Performance. II. Statistical procedures for evaluating forecasting skills,” Journal of Business, 54, 513-534.\n39. Jensen, M. C., “Optimal Utilization of Market Forecasts and the Evaluation of Investment Performance,” in G. P. Szego and Karl Shell, Eds.: Mathematical Methods in Investment and Finance. (North-Holland, Amsterdam).\n40. Kon, S., 1983, “The Market-Timing Performance of Mutual Fund Managers,” Journal of Business, 56, 323-347.\n41. Kon, S. and F. Jen, 1978, “Estimation of Time-Varying Systematic Risk and Performance for Mutual Fund Portfolios: An Application of Switching Regression,” Journal of Finance, 33, 457-475.\n42. Lee, Cheng-Few, and S. Rahman, 1990, “Market Timing, Selectivity and Mutual Fund Performance: An Empirical Investigation,” Journal of Business,63, 261-278.\n43. Lehmann, Bruce N., and David M. Modest, 1987, “Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons,” The Journal of Finance, 42, 233-265.\n44. Merton, R. C., 1981, “On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts,” Journal of Business, 54, 363-406.\n45. Nelson, D. B., 1991, “Conditional Heteroskedasticity in Asset Returns: A New Approach,” Econometrica, 59, 347-370.\n46. Scholes, M., and J. Williams, 1977, “Estimating Betas from Nonsynchronous Data,” Journal of Financial Economics, 5, 309-328.\n47. Scruggs, J. T., 1998, “Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two-Factor Approach,” Journal of Finance, 53, 575-603.\n48. Sharpe, W. F.,1966, “Mutual Fund Performance,” Journal of Business, 39,119-138.\n49. Sharpe, W. F., 1992, “Asset Allocation: Management Style and Performance Measurement,” Journal of Portfolio Management, 18, 7-19.\n50. Treynor, J. 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. | zh_TW |
| item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
| item.fulltext | No Fulltext | - |
| item.openairetype | thesis | - |
| item.grantfulltext | none | - |
| item.cerifentitytype | Publications | - |
| Appears in Collections: | 學位論文 | |
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