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題名 富櫃50指數之追蹤誤差成因探討
Determinants of Tracking Error for TPEx 50 Index作者 徐家琪
Hsu, Chia-Chi貢獻者 盧敬植
Lu, Ching-Chih
徐家琪
Hsu, Chia-Chi關鍵詞 富櫃50指數
追蹤誤差
臺灣50指數
Smart Beta
成分股
特徵屬性
風險溢酬
TPEx 50 Index
tracking error
Taiwan 50 Index
smart beta
component stocks
characteristics factors
excess return日期 2021 上傳時間 4-Aug-2021 14:44:14 (UTC+8) 摘要 本研究首先探討富櫃50指數的追蹤誤差大小，並分析富櫃50指數對於櫃買市場績效表現的代表性。接著，本研究進一步以Smart Beta策略概念，運用特徵選擇模型(CS)、Grinblatt and Titman模型(GT)、Carhart四因素模型及Jensen單因素模型等方式檢驗造成富櫃50指數產生追蹤誤差之成因。實證結果發現，富櫃50指數對於上櫃市場的代表性，並未有臺灣50指數對於上市市場的代表性來得好。本研究亦發現，富櫃50對於上櫃市場之追蹤誤差主要是來自於成分股的特徵屬性與上櫃市場全體公司的差異，而並非來自於ETF的交易成本。綜合四種績效評估模型結果來看，富櫃50指數成分公司的市值規模以及帳面市值比等兩項特徵因子，使富櫃50 ETF相較於大盤市場存在風險溢酬。
This study analyzes the tracking errors of TPEx 50 Index compared with Taiwan 50 Index to gauge how well TPEx 50 index is representing the performance of the over-the-counter market. Moreover, the study examines the determinant factors of tracking error with the concept of smart beta. We apply Characteristic Selectivity (CS) model, Grinblatt & Titman (GT) model, Carhart four-factor model, and Jensen one-factor model to evaluate the characteristics of the component stocks for Yuanta Taiwan TPEx 50 ETF.The results suggest that TPEx 50 Index is less representative than Taiwan 50 Index for the respective markets tracked. The tracking errors for TPEx 50 are mainly stemmed from the excess return offered by the stocks characteristic rather than the expenses deducted from the ETF. Furthermore, the four fund performance evaluation models show that the market capitalization and book-to-market ratio carry risk premiums to Yuanta Taiwan TPEx 50 ETF.參考文獻 Amenc, N., Deguest, R., Goltz, F., Lodh, A., Martellini, L., & Shirbini, E. (2014). Risk allocation, factor investing and smart beta: Reconciling innovations in equity portfolio construction. EDHEC-Risk Institute Publication (July).Blitz, D., & Huij, J. (2012). Evaluating the performance of global emerging markets equity exchange-traded funds. Emerging Markets Review, 13(2), 149-158. doi:10.1016/j.ememar.2012.01.004Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.Chiang, W. (1998). Optimizing performance. Indexing for maximum investment results. In: GPCo Publishers, Chicago.Chu, P. K.-K. (2010). Study on the tracking errors and their determinants: evidence from Hong Kong exchange traded funds. Applied Financial Economics, 21(5), 309-315. doi:10.1080/09603107.2010.530215Daniel, K., Grinblatt, M., Titman, S., & Wermers, R. (1997). Measuring mutual fund performance with characteristic‐based benchmarks. The Journal of finance, 52(3), 1035-1058.Falk, R., & Tortoriello, R. (2015). Building Smart Beta Portfolios. S&P Capital IQ Quantamental research paper. Retrieved from www.spcapitaliq.com/documents/our-thinking/research/sp-capital-iq-quantamental-research-building-smart-beta-portfolios.pdfFama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427-465.Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.Frino, A., Gallagher, D. R., Neubert, A. S., & Oetomo, T. N. (2004). Index design and implications for index tracking. The Journal of Portfolio Management, 30(2), 89-95.Grinblatt, M., & Titman, S. (1989). Mutual fund performance: An analysis of quarterly portfolio holdings. Journal of business, 393-416.Grinblatt, M., & Titman, S. (1993). Performance measurement without benchmarks: An examination of mutual fund returns. Journal of business, 47-68.Haensly, P. J., Tripathy, N., & Peak, D. (2001). Tracking error in the Dow Jones Industrial Average versus alternative market indices: New evidence. Quarterly Journal of Business and Economics, 101-116.Hsu, J. (2014). Value investing: Smart beta versus style indexes. The Journal of Index Investing, 5(1), 121-126.Jensen, M. C. (1968). The performance of mutual funds in the period 1945-1964. The Journal of finance, 23(2), 389-416.Johnson, B., Bioy, H., Kellett, A., & Davidson, L. (2013). On the right track: Measuring tracking efficiency in ETFs. The Journal of Index Investing, 4(3), 35-41.Larsen, G. A., & Resnick, B. G. (1998). Empirical insights on indexing: How capitalization, stratification and weighting can affect tracking error. Journalof Portfolio Management, 25(1), 51.Malkiel, B. G. (2014). Is smart beta really smart? The Journal of Portfolio Management, 40(5), 127-134.Pope, P. F., & Yadav, P. K. (1994). Discovering errors in tracking error. Journal of Portfolio Management, 20(2), 27.Roll, R. (1992). A mean/variance analysis of tracking error. The Journal of Portfolio Management, 18(4), 13-22.Vardharaj, R., Fabozzi, F. J., & Jones, F. J. (2004). Determinants of tracking error for equity portfolios. The Journal of Investing, 13(2), 37-47. 描述 碩士
國立政治大學
財務管理學系
108357013資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108357013 資料類型 thesis dc.contributor.advisor 盧敬植 zh_TW dc.contributor.advisor Lu, Ching-Chih en_US dc.contributor.author (Authors) 徐家琪 zh_TW dc.contributor.author (Authors) Hsu, Chia-Chi en_US dc.creator (作者) 徐家琪 zh_TW dc.creator (作者) Hsu, Chia-Chi en_US dc.date (日期) 2021 en_US dc.date.accessioned 4-Aug-2021 14:44:14 (UTC+8) - dc.date.available 4-Aug-2021 14:44:14 (UTC+8) - dc.date.issued (上傳時間) 4-Aug-2021 14:44:14 (UTC+8) - dc.identifier (Other Identifiers) G0108357013 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136329 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 108357013 zh_TW dc.description.abstract (摘要) 本研究首先探討富櫃50指數的追蹤誤差大小，並分析富櫃50指數對於櫃買市場績效表現的代表性。接著，本研究進一步以Smart Beta策略概念，運用特徵選擇模型(CS)、Grinblatt and Titman模型(GT)、Carhart四因素模型及Jensen單因素模型等方式檢驗造成富櫃50指數產生追蹤誤差之成因。實證結果發現，富櫃50指數對於上櫃市場的代表性，並未有臺灣50指數對於上市市場的代表性來得好。本研究亦發現，富櫃50對於上櫃市場之追蹤誤差主要是來自於成分股的特徵屬性與上櫃市場全體公司的差異，而並非來自於ETF的交易成本。綜合四種績效評估模型結果來看，富櫃50指數成分公司的市值規模以及帳面市值比等兩項特徵因子，使富櫃50 ETF相較於大盤市場存在風險溢酬。 zh_TW dc.description.abstract (摘要) This study analyzes the tracking errors of TPEx 50 Index compared with Taiwan 50 Index to gauge how well TPEx 50 index is representing the performance of the over-the-counter market. Moreover, the study examines the determinant factors of tracking error with the concept of smart beta. We apply Characteristic Selectivity (CS) model, Grinblatt & Titman (GT) model, Carhart four-factor model, and Jensen one-factor model to evaluate the characteristics of the component stocks for Yuanta Taiwan TPEx 50 ETF.The results suggest that TPEx 50 Index is less representative than Taiwan 50 Index for the respective markets tracked. The tracking errors for TPEx 50 are mainly stemmed from the excess return offered by the stocks characteristic rather than the expenses deducted from the ETF. Furthermore, the four fund performance evaluation models show that the market capitalization and book-to-market ratio carry risk premiums to Yuanta Taiwan TPEx 50 ETF. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的與結果 3第二章 文獻回顧 5第一節 富櫃50指數編製原則 5第二節 追蹤誤差成因之文獻探討 6第三節 Smart Beta概念之文獻探討 8第三章 研究方法 9第一節 資料來源與變數定義 9第二節 研究方法與實證模型 10第四章 實證結果與分析 15第一節 上市與上櫃之追蹤誤差 15第二節 富櫃50成分公司特徵屬性分析 20第五章 結論與建議 28第一節 結論 28第二節 研究限制及後續研究建議 29參考文獻 31 zh_TW dc.format.extent 1369420 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108357013 en_US dc.subject (關鍵詞) 富櫃50指數 zh_TW dc.subject (關鍵詞) 追蹤誤差 zh_TW dc.subject (關鍵詞) 臺灣50指數 zh_TW dc.subject (關鍵詞) Smart Beta zh_TW dc.subject (關鍵詞) 成分股 zh_TW dc.subject (關鍵詞) 特徵屬性 zh_TW dc.subject (關鍵詞) 風險溢酬 zh_TW dc.subject (關鍵詞) TPEx 50 Index en_US dc.subject (關鍵詞) tracking error en_US dc.subject (關鍵詞) Taiwan 50 Index en_US dc.subject (關鍵詞) smart beta en_US dc.subject (關鍵詞) component stocks en_US dc.subject (關鍵詞) characteristics factors en_US dc.subject (關鍵詞) excess return en_US dc.title (題名) 富櫃50指數之追蹤誤差成因探討 zh_TW dc.title (題名) Determinants of Tracking Error for TPEx 50 Index en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Amenc, N., Deguest, R., Goltz, F., Lodh, A., Martellini, L., & Shirbini, E. (2014). Risk allocation, factor investing and smart beta: Reconciling innovations in equity portfolio construction. EDHEC-Risk Institute Publication (July).Blitz, D., & Huij, J. (2012). Evaluating the performance of global emerging markets equity exchange-traded funds. Emerging Markets Review, 13(2), 149-158. doi:10.1016/j.ememar.2012.01.004Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.Chiang, W. (1998). Optimizing performance. Indexing for maximum investment results. In: GPCo Publishers, Chicago.Chu, P. K.-K. (2010). Study on the tracking errors and their determinants: evidence from Hong Kong exchange traded funds. Applied Financial Economics, 21(5), 309-315. doi:10.1080/09603107.2010.530215Daniel, K., Grinblatt, M., Titman, S., & Wermers, R. (1997). Measuring mutual fund performance with characteristic‐based benchmarks. The Journal of finance, 52(3), 1035-1058.Falk, R., & Tortoriello, R. (2015). Building Smart Beta Portfolios. S&P Capital IQ Quantamental research paper. Retrieved from www.spcapitaliq.com/documents/our-thinking/research/sp-capital-iq-quantamental-research-building-smart-beta-portfolios.pdfFama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427-465.Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.Frino, A., Gallagher, D. R., Neubert, A. S., & Oetomo, T. N. (2004). Index design and implications for index tracking. The Journal of Portfolio Management, 30(2), 89-95.Grinblatt, M., & Titman, S. (1989). Mutual fund performance: An analysis of quarterly portfolio holdings. Journal of business, 393-416.Grinblatt, M., & Titman, S. (1993). Performance measurement without benchmarks: An examination of mutual fund returns. Journal of business, 47-68.Haensly, P. J., Tripathy, N., & Peak, D. (2001). Tracking error in the Dow Jones Industrial Average versus alternative market indices: New evidence. Quarterly Journal of Business and Economics, 101-116.Hsu, J. (2014). Value investing: Smart beta versus style indexes. The Journal of Index Investing, 5(1), 121-126.Jensen, M. C. (1968). The performance of mutual funds in the period 1945-1964. The Journal of finance, 23(2), 389-416.Johnson, B., Bioy, H., Kellett, A., & Davidson, L. (2013). On the right track: Measuring tracking efficiency in ETFs. The Journal of Index Investing, 4(3), 35-41.Larsen, G. A., & Resnick, B. G. (1998). Empirical insights on indexing: How capitalization, stratification and weighting can affect tracking error. Journalof Portfolio Management, 25(1), 51.Malkiel, B. G. (2014). Is smart beta really smart? The Journal of Portfolio Management, 40(5), 127-134.Pope, P. F., & Yadav, P. K. (1994). Discovering errors in tracking error. Journal of Portfolio Management, 20(2), 27.Roll, R. (1992). A mean/variance analysis of tracking error. The Journal of Portfolio Management, 18(4), 13-22.Vardharaj, R., Fabozzi, F. J., & Jones, F. J. (2004). Determinants of tracking error for equity portfolios. The Journal of Investing, 13(2), 37-47. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100767 en_US
