| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.author (Authors) | 陳沛鈞 | zh_TW |
| dc.creator (作者) | 陳沛鈞 | zh_TW |
| dc.date (日期) | 2011 | en_US |
| dc.date.accessioned | 30-Oct-2012 10:55:24 (UTC+8) | - |
| dc.date.available | 30-Oct-2012 10:55:24 (UTC+8) | - |
| dc.date.issued (上傳時間) | 30-Oct-2012 10:55:24 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0099351036 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/54395 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 99351036 | zh_TW |
| dc.description (描述) | 100 | zh_TW |
| dc.description.abstract (摘要) | 我們利用Sharpe(1992)所提出的return-based模型來分析台灣經理人的風格遷移狀況。基金經理人的投資風格在分析面上，通常假設是定態不變的，意即不隨時間改變而變化。但是事實上，這是一個動態改變的過程。基金投資說明書上常常明定此基金經理人限制投資在哪類型的股票，但是基金經理人有可能依照不同的市場情況以及時機，從原先偏向小型股的經理人，轉而變成投資大型股的經理人。我們用rolling-window迴歸式的係數結果來估計風格以及計算參考Idzorek & Bertsch (2004)的風格遷移分數來為台灣一般共同基金經理人締訂一個比較指標，我們也利用計算出的風格係數畫出資產權數分配圖，經由此圖，我們亦可以觀察到基金經理人投資風格隨著時間經過的整個改變過程。風格遷移分數提供我們一個量化的方法來衡量風格遷移的現象，因為較早的研究文獻只有提供一個質化的圖型做大約的估計，因此這個風格分數提供了我們一個很好的輔助工具，將質化的圖形輔以量化的分數做整合搭配比較。根據Brown and Harlow (2002)的結論，基金經理人投資風格的一致性以及基金表現績效有正相關的關係，意即當基金經理人的投資風格越一致，基金的表現就會越好，但是在我們的數據裡面這個關係並不顯著。 | zh_TW |
| dc.description.abstract (摘要) | We provide an introduction to utilize the return based style model of Sharpe (1992) to analyze the style drift of mutual fund managers in Taiwan in practice. Often the investment style is assumed to be constant through time but it actually is dynamic. We use rolling regressions to estimate the style exposures and calculate style drift score (Idzorek & Bertsch 2004) to produce the allocated maps. We can clearly see the changing process over time by the maps. SDS provides a single quantitative measure of style drift over the sample period because earlier research has only provided a qualitative method to approximately estimate. Brown and Harlow (2002) conclude that there is a positive relationship between investment style consistency and performance but in our sample the relation between score and fund performance is not obvious. | en_US |
| dc.description.tableofcontents | 1 .Introduction …………………………………………………............62. Literature Review ……………………………………………………93. Data …………………………………………………………………124. Methodology ……………………………………………………….164-I. Relation to Multifactor Models ……………………………16 4-II. Sharpe’s model for Return-Based Style Analysis ……….17 4-III. A Six Asset Class Model …………………………………..204-IV. A Rolling Window Method ………………………………...21 4-V. Style Drift Score …………………………………………….225. Result ……………………………………………………………….236. Conclusion …………………………………………………………287. Reference ………………………………………………………….31 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0099351036 | en_US |
| dc.subject (關鍵詞) | 共同基金 | zh_TW |
| dc.subject (關鍵詞) | 風格遷移 | zh_TW |
| dc.subject (關鍵詞) | mutual funds | en_US |
| dc.subject (關鍵詞) | style drift score | en_US |
| dc.title (題名) | 共同基金風格飄移分析 | zh_TW |
| dc.title (題名) | Style drift of mutual funds | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Buetow, G. W., Johnson, R. R. & Runkle, D. E. (2000). “The inconsistency of return-based style analysis, The Journal of Portfolio Management. Pp.61-77Brown, Keith C., and Harlow (2009). ”Staying the Course: The Role of Investment Style Consistency in the Performance of Mutual Funds.” University of Texas Swinkels and Van Der Sluis (2001). “Return-based style analysis with time-varying exposures.”Chan, Chen, Lakonishok (1999). “On mutual fund investment styles” NBER Working paper 7215Holmes and Faff (2007). “Style drift, fund flow and fund performance: new cross-sectional evidence.” Financial Services Review 16 55-71.Otten and Bams(1999). “Statistical Tests for Return-Based Style Analysis”Sharpe, William F(1992). “Asset Allocation: Management Style and Performance Measurement.” The Journal of Portfolio Management, Winter 1992,pp.7-19 Brown, and Goeyzmann. “Mutual funds styles” Journal of Financial Economics 43(1997) 373-399.Idzorek and Bertsch. “style drift score” The Journal of Portfolio Management, Fall 2004,31.1:76-83 Barton and Siegel. “The Dimensionsof Active Management.” The Journal of Portfolio Management, Spring 2003, pp. 35-52.Cooper M.J.,Gulen, and RAU. “Changing Names with Style: Mutual Fund NameChanges and Their Effects on Fund Flows.” Journal of Financial, DECEMBER 2005, VOL. LX, NO. 6 | zh_TW |
