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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 16:54:49 (UTC+8)
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。
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。
參考文獻 一、中文部分(依作者姓名筆畫大小排列)：
1. 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。
2. 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。
3. 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。
4. 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。
5. 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。
6. 陳松男,1977, “現代投資學”,新陸書局。
7. 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。
8. 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。
9. 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。
10. 謝劍平,2004, “現代投資學-分析與管理”,智勝出版公司出版。

二、英文部分(依作者姓氏字母順序排列)
11. Admati, A. R., S. Bhattacharya, P. Pfleiderer, and S. Ross, 1986, “On Timing and Selectivity,” Journal of Finance, 41,715-730.
12. Engle, R. F., 1982, “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation,” Econometrica, 50, 987-1008.
13. 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.
14. Bollen, N. P. B. and J. A. Busse, 2001, “On the Timing Ability of Mutual Fund Managers,” The Journal of Finance, 56, 1075-1094.
15. Brown, S. J., and W. N. Goetzmann, 1995, “Performance Persistence,” Journal of Finance, 50, 679-698.
16. Burns, P., 2006, “Random Portfolios for Evaluating Trading Strategies,” working paper, http://www.burns-stat.com/.
17. Busse, J. A., 1999, “Volatility Timing in Mutual Funds: Evidence from Daily Returns,” The Review of Financial Studies, 1009-1041.
18. Carhart, M. M., 1997, “On Persistence in Mutual Fund Performance,” Journal of Finance, 52, 57-82.
19. Chang, E. C. and W. G. Lewellen, 1984, “Market Timing and Mutual Fund Investment Performance,” Journal of Business, 57, 57-72.
20. 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.
21. 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
22. Daniel, K., M. Grinblatt, S. Titman, and R. Wermers, 1997, “Measuring Mutual Fund Performance with Characteristic-Based Benchmarks,” Journal of Finance, 52, 1035-1058.
23. DeBondt, W. and R. Thaler, 1985, “Does the Stock Market Overreacts?” Journal of Finance, 40, 793-805.
24. Dimson, E., 1979, “Risk Measurement when Shares are Subject to Infrequent Trading,” Journal of Financial Economics, 7, 197-226.
25. 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.
26. Elton, E. J., M. J. Gruber, and C.R. Blake, 1996b, “Survivorship Bias and Mutual Fund Performance,” Review of Financial Studies, 9, 1097-1120.
27. 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.
28. Enders, W., 2004, “Applied Econometric Time-Series,” 2nd Edition.
29. Fama, E. F. 1972, “Components of Investment Performance,” Journal of Finance, 27, 551-567.
30. 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.
31. Fama, E. F., and K.R. French, 1996, “Multifactor Explanations of Asset Pricing Anomalies,” Journal of Finance, 51, 55-84.
32. Ferson, W., and R. Schadt, 1996, “Measuring Fund Strategy and Performance in Changing Economic Conditions,” Journal of Finance, 51, 425-461.
33. Ferson, W. E., and R. W. Schadt, 1996, “Measuring Fund Strategy and Performance in Changing Economic Conditions,” Journal of Finance, 51,425-461.
34. Ferson, W. E., and V. A. Warther, 1996, “Evaluating Fund Performance in a Dynamic Market,” Financial Analysis Journal, 52, 20-28.
35. Fleming, J., C. Kirby, and B. Ostdiek, 2001, “The Economic Value of Volatility Timing,” Journal of Finance, 56, 329-352.
36. Goetzmann, W. N., J. Ingersoll and Z. Ivkovic, 2000, “Monthly Measurement of Daily Timers,” Journal of Financial and Quantitative Analysis, 35, 257-290.
37. Granger, C. and P. Newbold, 1974, “Spurious regressions in econometrics,” Journal of Econometrics, 2, 111-120.
38. 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.
39. 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).
40. Kon, S., 1983, “The Market-Timing Performance of Mutual Fund Managers,” Journal of Business, 56, 323-347.
41. 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.
42. Lee, Cheng-Few, and S. Rahman, 1990, “Market Timing, Selectivity and Mutual Fund Performance: An Empirical Investigation,” Journal of Business,63, 261-278.
43. 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.
44. 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.
45. Nelson, D. B., 1991, “Conditional Heteroskedasticity in Asset Returns: A New Approach,” Econometrica, 59, 347-370.
46. Scholes, M., and J. Williams, 1977, “Estimating Betas from Nonsynchronous Data,” Journal of Financial Economics, 5, 309-328.
47. 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.
48. Sharpe, W. F.,1966, “Mutual Fund Performance,” Journal of Business, 39,119-138.
49. Sharpe, W. F., 1992, “Asset Allocation: Management Style and Performance Measurement,” Journal of Portfolio Management, 18, 7-19.
50. Treynor, J. L., 1965, “How to Rate Management of Investment Funds,” Harvard Business Review, 43, 63-75.
51. Treynor, J. and F. Black, 1973, “How to Use Security Analysis to Improve Portfolio Selection,” Journal of Business, 46, 66-86.
52. Treynor, J. L. and K. Mazny, 1966, “Can Mutual Funds Outguess the Market,” Harvard Business Review, 44, 131-136.
53. 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
dc.contributor.advisor 杜化宇zh_TW
dc.contributor.author (Authors) 劉進華zh_TW
dc.creator (作者) 劉進華zh_TW
dc.date (日期) 2007en_US
dc.date.accessioned 6-May-2016 16:54:49 (UTC+8)-
dc.date.available 6-May-2016 16:54:49 (UTC+8)-
dc.date.issued (上傳時間) 6-May-2016 16:54:49 (UTC+8)-
dc.identifier (Other Identifiers) G0093258032en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94538-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 93258032zh_TW
dc.description.abstract (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。
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。		zh_TW
dc.description.tableofcontents 摘要 I
第壹章、緒論 1
第ㄧ節、研究動機與背景 1
第二節、研究目的 3
第三節、研究特色 5
第貳章、文獻探討 7
第一節、傳統的報酬擇時能力評估模型與實證 7
第二節、國內外波動擇時能力文獻回顧 11
第參章、波動擇時研究方法 12
第一節、模型假設建立 12
第二節、擇時能力特質行為 16
第三節、實證模型建構 20
第肆章、資料處理 23
第一節、資料來源 23
第二節、因子與隨機樣本建構： 26
第伍章、實證結果與分析 29
第一節、統計分析理論與檢定方法 29
第二節、模型配適 32
第三節、日相關性 35
第四節、波動擇時能力表現 36
第五節、報酬擇時能力表現 38
第六節、同時包含波動與報酬擇時能力表現 39
第七節、績效表現 41
第八節、整理分析 42
第陸章、研究限制與結果 44
第一節、研究結果與發現 44
第二節、研究限制與建議 45
參考文獻 46
附錄 51

表目錄
表[3.1]同時具波動擇時能力和報酬擇時能力的經理人 17
表[3.2]不具波動擇時能力，但具報酬擇時能力的經理人 18
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
表[3.4]完全不具備擇時能力的基金經理人 19
表[4.1] 基金公司樣本資料 23
表[5.1] 單根檢定市場報酬率結果 32
表[5.2] GARCH效果檢定結果 32
表[5.3] SBC配適值整理 33
表[5.4] 每日台灣加權指數報酬率EGARCH(1,1)模型係數結果 34
表[5.5] 樣本整理 36
表[5.6] 考慮基金波動擇時係數情況的產出結果 37
表[5.7] 考慮基金報酬擇時係數情況的產出結果 38
表[5.8] 三因子模型情況： 39
表[5.9] 單因子模型情況： 40
表[5.10] 考慮基金波動選股情況的產出結果 41
圖目錄
圖1.1 研究流程 6		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0093258032en_US
dc.subject (關鍵詞) 隨機樣本zh_TW
dc.subject (關鍵詞) 隨機投資組合zh_TW
dc.subject (關鍵詞) 波動擇時能力zh_TW
dc.subject (關鍵詞) 報酬擇時能力zh_TW
dc.subject (關鍵詞) 基金績效測量zh_TW
dc.subject (關鍵詞) 波動選股能力zh_TW
dc.title (題名) 共同基金波動擇時能力之研究-台灣的實證zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部分(依作者姓名筆畫大小排列)：
1. 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。
2. 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。
3. 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。
4. 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。
5. 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。
6. 陳松男,1977, “現代投資學”,新陸書局。
7. 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。
8. 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。
9. 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。
10. 謝劍平,2004, “現代投資學-分析與管理”,智勝出版公司出版。

二、英文部分(依作者姓氏字母順序排列)
11. Admati, A. R., S. Bhattacharya, P. Pfleiderer, and S. Ross, 1986, “On Timing and Selectivity,” Journal of Finance, 41,715-730.
12. Engle, R. F., 1982, “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation,” Econometrica, 50, 987-1008.
13. 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.
14. Bollen, N. P. B. and J. A. Busse, 2001, “On the Timing Ability of Mutual Fund Managers,” The Journal of Finance, 56, 1075-1094.
15. Brown, S. J., and W. N. Goetzmann, 1995, “Performance Persistence,” Journal of Finance, 50, 679-698.
16. Burns, P., 2006, “Random Portfolios for Evaluating Trading Strategies,” working paper, http://www.burns-stat.com/.
17. Busse, J. A., 1999, “Volatility Timing in Mutual Funds: Evidence from Daily Returns,” The Review of Financial Studies, 1009-1041.
18. Carhart, M. M., 1997, “On Persistence in Mutual Fund Performance,” Journal of Finance, 52, 57-82.
19. Chang, E. C. and W. G. Lewellen, 1984, “Market Timing and Mutual Fund Investment Performance,” Journal of Business, 57, 57-72.
20. 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.
21. 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
22. Daniel, K., M. Grinblatt, S. Titman, and R. Wermers, 1997, “Measuring Mutual Fund Performance with Characteristic-Based Benchmarks,” Journal of Finance, 52, 1035-1058.
23. DeBondt, W. and R. Thaler, 1985, “Does the Stock Market Overreacts?” Journal of Finance, 40, 793-805.
24. Dimson, E., 1979, “Risk Measurement when Shares are Subject to Infrequent Trading,” Journal of Financial Economics, 7, 197-226.
25. 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.
26. Elton, E. J., M. J. Gruber, and C.R. Blake, 1996b, “Survivorship Bias and Mutual Fund Performance,” Review of Financial Studies, 9, 1097-1120.
27. 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.
28. Enders, W., 2004, “Applied Econometric Time-Series,” 2nd Edition.
29. Fama, E. F. 1972, “Components of Investment Performance,” Journal of Finance, 27, 551-567.
30. 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.
31. Fama, E. F., and K.R. French, 1996, “Multifactor Explanations of Asset Pricing Anomalies,” Journal of Finance, 51, 55-84.
32. Ferson, W., and R. Schadt, 1996, “Measuring Fund Strategy and Performance in Changing Economic Conditions,” Journal of Finance, 51, 425-461.
33. Ferson, W. E., and R. W. Schadt, 1996, “Measuring Fund Strategy and Performance in Changing Economic Conditions,” Journal of Finance, 51,425-461.
34. Ferson, W. E., and V. A. Warther, 1996, “Evaluating Fund Performance in a Dynamic Market,” Financial Analysis Journal, 52, 20-28.
35. Fleming, J., C. Kirby, and B. Ostdiek, 2001, “The Economic Value of Volatility Timing,” Journal of Finance, 56, 329-352.
36. Goetzmann, W. N., J. Ingersoll and Z. Ivkovic, 2000, “Monthly Measurement of Daily Timers,” Journal of Financial and Quantitative Analysis, 35, 257-290.
37. Granger, C. and P. Newbold, 1974, “Spurious regressions in econometrics,” Journal of Econometrics, 2, 111-120.
38. 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.
39. 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).
40. Kon, S., 1983, “The Market-Timing Performance of Mutual Fund Managers,” Journal of Business, 56, 323-347.
41. 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.
42. Lee, Cheng-Few, and S. Rahman, 1990, “Market Timing, Selectivity and Mutual Fund Performance: An Empirical Investigation,” Journal of Business,63, 261-278.
43. 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.
44. 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.
45. Nelson, D. B., 1991, “Conditional Heteroskedasticity in Asset Returns: A New Approach,” Econometrica, 59, 347-370.
46. Scholes, M., and J. Williams, 1977, “Estimating Betas from Nonsynchronous Data,” Journal of Financial Economics, 5, 309-328.
47. 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.
48. Sharpe, W. F.,1966, “Mutual Fund Performance,” Journal of Business, 39,119-138.
49. Sharpe, W. F., 1992, “Asset Allocation: Management Style and Performance Measurement,” Journal of Portfolio Management, 18, 7-19.
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