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題名 台灣共同基金報酬平滑性與流動性之衡量
The Measurement of Return Smoothness and Liquidity in Taiwan’s Mutual Fund Market作者 黃銘功 貢獻者 胡聯國
黃銘功關鍵詞 流動性
illiquidity日期 2009 上傳時間 9-May-2016 14:53:05 (UTC+8) 摘要 在探討台灣共同基金市場月報酬時，常可以觀察到其呈現序列相關的現象。本篇論文旨在研究序列相關的成因，進而追蹤平滑報酬現象和流動性。我們利用Lo and MacKinlay (2004)提出的計量模型，將可觀察到的基金月報酬對落後期的預期報酬做回歸估計。根據模型估計係數值，我們可以用來當作判定流動性和平滑報酬的指標。實證當中發現固定收益型和房地產投資信託基金的流動性偏低，而股票型和指數型基金的流動性偏高。不管在最小平方估計法和最大概似估計法之下，實證結果都呈現類似情況。
In this study we can detect the serial correlation of monthly returns occurred in Taiwan’s mutual fund market associated with Illiquidity and smoothed returns. We utilize a simple econometric model in which observed returns are a finite moving-average of unobserved economic returns and we generate empirically realistic levels of serial correlation for historical mutual-fund returns. We attempt to estimate model coefficients as a proxy of illiquidity exposure and find out some illiquid fund categories (REITs and Fixed Income classifications) having lower smoothing indexes or estimated parameters. Although we utilize two different estimation methods (MLE and OLS) to obtain smoothing parameters we obtain the similar result under both of them, probably because of unbiased estimated coefficients.參考文獻 1、Mila Getmansky, Andrew W. Lo, Igor Makarov, 2004. An econometric model of serial correlation and illiquidity in hedge fund returns. Journal of Financial Economics 74 , 529-609. 2、Ackermann, C., McEnally, R., Ravenscraft, D., 1999. The performance of hedge funds: risk, return, and incentives. Journal of Finance 54, 833-874. 3、Roger M. Edelen, 1999. Investor flows and the assessed performance of open-end mutual funds. Journal of Financial Economics 53 , 439-466. 4、Jim Clayton, Greg MacKinnon, 1999. Measuring and Explaining in REIT liquidity: Moving Beyond the Bid-Ask Spread. Forthcoming in Real Estate Economics. 5、Hossein Kazemi, Thomas Schneeweis, Dulari Pancholi, 2003. Performance persistence for mutual funds: Academic evidence. Center for international securities and derivatives markets. 6、Amihud, Yakov, and Mendelson, Haim, 1986. “Asset Pricing and the Bid-Ask Spread.” J.Financial Economics. 7、Atchison, M, Butler, K., Simonds, R., 1987. Nonsynchronous security trading and market index autocorrelation. Journal of Finance 42, 111-118. 8、Boudouckh, J., Richardson, M., Subrahmanyam, M., Whitelaw, R., 2002. Stale prices and strategies for trading mutual funds. Financial Analysts Journal 58, 53-71. 9、Campbell, J., S. Grossman, and J. Wang, 1993. Trading volume and serial correlation in stock returns, Quarterly Journal of Economics 108, 905-939. 10、Carmelo Giaccotto, and John Clapp, 2003. Appraisal-Based Real Estate Returns under Alternative Market Regimes, Real Estate Economics 20, 1-24. 11、Robert Kosowski, Narayan Y. Naik, Melvyn Teo, 2005. Do hedge fund deliver alpha? A Bayesian and bootstrap analysis. Journal of Financial Economics 84 (2007) 229-264. 12、Amihud, Yakov, 2002. Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. J. Financial Markets. 13、Michael J. Brennan, Avanidhar Subrahmanyam, 1996. Market microstructure and asset pricing: On the compensation for illiquidity in stock returns. 描述 碩士
國立政治大學
國際經營與貿易學系
96351021資料來源 http://thesis.lib.nccu.edu.tw/record/#G0096351021 資料類型 thesis dc.contributor.advisor 胡聯國 zh_TW dc.contributor.author (Authors) 黃銘功 zh_TW dc.creator (作者) 黃銘功 zh_TW dc.date (日期) 2009 en_US dc.date.accessioned 9-May-2016 14:53:05 (UTC+8) - dc.date.available 9-May-2016 14:53:05 (UTC+8) - dc.date.issued (上傳時間) 9-May-2016 14:53:05 (UTC+8) - dc.identifier (Other Identifiers) G0096351021 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/95058 - 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) 96351021 zh_TW dc.description.abstract (摘要) 在探討台灣共同基金市場月報酬時，常可以觀察到其呈現序列相關的現象。本篇論文旨在研究序列相關的成因，進而追蹤平滑報酬現象和流動性。我們利用Lo and MacKinlay (2004)提出的計量模型，將可觀察到的基金月報酬對落後期的預期報酬做回歸估計。根據模型估計係數值，我們可以用來當作判定流動性和平滑報酬的指標。實證當中發現固定收益型和房地產投資信託基金的流動性偏低，而股票型和指數型基金的流動性偏高。不管在最小平方估計法和最大概似估計法之下，實證結果都呈現類似情況。 zh_TW dc.description.abstract (摘要) In this study we can detect the serial correlation of monthly returns occurred in Taiwan’s mutual fund market associated with Illiquidity and smoothed returns. We utilize a simple econometric model in which observed returns are a finite moving-average of unobserved economic returns and we generate empirically realistic levels of serial correlation for historical mutual-fund returns. We attempt to estimate model coefficients as a proxy of illiquidity exposure and find out some illiquid fund categories (REITs and Fixed Income classifications) having lower smoothing indexes or estimated parameters. Although we utilize two different estimation methods (MLE and OLS) to obtain smoothing parameters we obtain the similar result under both of them, probably because of unbiased estimated coefficients. en_US dc.description.tableofcontents 1 Introduction…………………………………………………… 4 2 Methodology………………………………………………………8 2.1 Model Introduction……………………………………… 8 2.2 Statistics Implication for Smoothed Return model…9 2.3 Smoothing Profile……………………………………………… 10 2.4 Estimation Methods for Smoothing Coefficients…… 11 3 Empirical Analysis………………………………………………..16 3.1 Data Description………………………………………………… 16 3.2 Data Summary Statistics……………………………………… 16 3.3 Data Analysis………………………………………………………32 4 Conclusion………………………………………………………… 34 5 Reference…………………………………………………………… 37 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0096351021 en_US dc.subject (關鍵詞) 流動性 zh_TW dc.subject (關鍵詞) illiquidity en_US dc.title (題名) 台灣共同基金報酬平滑性與流動性之衡量 zh_TW dc.title (題名) The Measurement of Return Smoothness and Liquidity in Taiwan’s Mutual Fund Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1、Mila Getmansky, Andrew W. Lo, Igor Makarov, 2004. An econometric model of serial correlation and illiquidity in hedge fund returns. Journal of Financial Economics 74 , 529-609. 2、Ackermann, C., McEnally, R., Ravenscraft, D., 1999. The performance of hedge funds: risk, return, and incentives. Journal of Finance 54, 833-874. 3、Roger M. Edelen, 1999. Investor flows and the assessed performance of open-end mutual funds. Journal of Financial Economics 53 , 439-466. 4、Jim Clayton, Greg MacKinnon, 1999. Measuring and Explaining in REIT liquidity: Moving Beyond the Bid-Ask Spread. Forthcoming in Real Estate Economics. 5、Hossein Kazemi, Thomas Schneeweis, Dulari Pancholi, 2003. Performance persistence for mutual funds: Academic evidence. Center for international securities and derivatives markets. 6、Amihud, Yakov, and Mendelson, Haim, 1986. “Asset Pricing and the Bid-Ask Spread.” J.Financial Economics. 7、Atchison, M, Butler, K., Simonds, R., 1987. Nonsynchronous security trading and market index autocorrelation. Journal of Finance 42, 111-118. 8、Boudouckh, J., Richardson, M., Subrahmanyam, M., Whitelaw, R., 2002. Stale prices and strategies for trading mutual funds. Financial Analysts Journal 58, 53-71. 9、Campbell, J., S. Grossman, and J. Wang, 1993. Trading volume and serial correlation in stock returns, Quarterly Journal of Economics 108, 905-939. 10、Carmelo Giaccotto, and John Clapp, 2003. Appraisal-Based Real Estate Returns under Alternative Market Regimes, Real Estate Economics 20, 1-24. 11、Robert Kosowski, Narayan Y. Naik, Melvyn Teo, 2005. Do hedge fund deliver alpha? A Bayesian and bootstrap analysis. Journal of Financial Economics 84 (2007) 229-264. 12、Amihud, Yakov, 2002. Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. J. Financial Markets. 13、Michael J. Brennan, Avanidhar Subrahmanyam, 1996. Market microstructure and asset pricing: On the compensation for illiquidity in stock returns. zh_TW
