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題名 台灣固定收益基金投資人的擇時能力
The timing ability of Taiwan fixed income mutual fund investors
作者 王玨珵
Wang, Chueh Chen
貢獻者 岳夢蘭
Yueh, Meng Lan
王玨珵
Wang, Chueh Chen
關鍵詞 債券型基金
聰明錢效果
擇時能力
日期 2011
上傳時間 30-十月-2012 11:43:50 (UTC+8)
摘要 有越來越多的文獻研究提出「聰明錢」存在的證據，證明基金投資人有能力預測未來會賺錢的贏家基金。在這個議題之下，本研究主要探討台灣債券型基金市場裡是否存在「聰明錢」現象。藉由Friesen and Sapp (2007)以及Keswani and Stolin (2008)所使用的研究方法，本研究得以發掘投資人擇時能力在。我們的實證結果發現，基金投資人整體而言沒有呈現顯著擇時能力，因此沒有明確證據支持的「聰明錢」效果的存在。投資人的基金投資績效反而往往受到不佳的擇時決策所影響。此外，即便投資人展現選擇贏家基金的能力，其獲利也往往被不良的賣出決定所侵蝕。而且，挑選贏家基金的能力也似乎是短暫的。另外，研究結果亦指出機構投資人的績效穩定優於散戶投資人，其部分原因是散戶投資人在面對較高的搜尋成本時，傾向於選擇規模較大但費用較高的基金，因此降低其投資報酬率。整體而言，本研究的建議是，在台灣債券型基金市場裡宜採取買進持有的投資策略。
參考文獻 Barber, Brad M, T. Odean, and Lu Zheng, 2005. Out of sight, out of mind: The effects of expenses on mutual fund flows. The Journal of Business 78(6), 2095-2120.
     Barber, Brad M. and Terrance Odean, 1999. The Courage of Misguided Convictions. Financial Analysts Journal 56(6), 41-55.
     Barber, Brad M. and Terrance Odean, 2003. Individual Investors. In: Advances in Behavioral Finance Volume II, 543–569. Ed. by Richard H. Thaler. New York: Russell Sage Foundation.
     Berk J. B. and Green R. C., 2004. Mutual fund flows and performance in rational markets. Journal of Political Economy 112, 1269-1295.
     Bilson, C., Frino A., and Heaney R., 2005. Australian retail fund performance persistence. Accounting and Finance 45, 25-42.
     Chevalier, J. and Ellison, G., 1997. Risk taking by mutual funds as a response to incentives. Journal of Political Economy 105, 1167–1200.
     Chih, Hsiang-Hsuan, Yu-En Lin, and Pin-Huang Chou, 2007. Performance persistence and smart money effect: Evidence from Taiwan. Journal of Management 24, 307-330.
     Edelen, Roger, 1999. Investor flows and the assessed performance of open-end mutual funds. Journal of Financial Economics 53, 439– 466.
     Friesen, Geoffrey C. and Travis R. A. Sapp, 2007. Mutual fund flows and investor return: An empirical examination of fund investor timing ability. Journal of Banking & Finance 31, 2796-2816.
     Gerken, William Christopher, Laura T. Starks, and Michael Yates, 2012. Reputation and mutual fund choice. Working Paper Series, available at SSRN: http://ssrn.com/abstract=2022503
     Goetzmann, William N. and Nadav Peles, 1997. Cognitive dissonance and mutual fund investors. Journal of Financial Research 20(2), 145–158.
     Gruber, Martin J., 1996. Another puzzle: The growth in actively managed mutual funds. Journal of Finance 51(3), 783–810.
     Harris, Lawrence, 1988. Discussion of predicting contemporary volume with historic volume at differential price levels: Evidence supporting the disposition effect. Journal of Finance 43(3), 698–699.
     Hendricks, Darryll, Jayendu Patel, Richard Zeckhauser. 1993. Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988. Journal of Finance, 48(1), 93-130.
     Huang, Yen-yun, 2010. The smart money effect in Taiwanese mutual funds. Master thesis, National Kaohsiung University.
     Ippolito, Richard A. 1992. Consumer reaction to measures of poor quality: Evidence from the mutual fund industry. Journal of Law and Economics 13(1), 937-958.
     Ke, D., Ng. L, and Wang Q. 2005. Smart money? Evidence from the performance of mutual fund investors. Working paper, University of Wisconsin-Milwaukee.
     Keswani, A. and D. Stolin, 2008. Which money is smart? Mutual fund buys and sells of individual and institutional investors, Journal of Finance 63(1), 85-118.
     Lakonishok, Josef and Seymour Smidt, 1986. Volume for winners and losers: Taxation and other motives for stock trading. Journal of Finance 41(4), 951–976.
     Lin, Yu-En, 2006. Taiwan mutual fund smart money effect and momentum investment strategy. Master thesis, National Dong Hwa University.
     Odean, T., 1998. Are investors reluctant to realize their losses? Journal of Finance 53, 1775-1798.
     Patel, Jayendu, Richard Zeckhauser, and Darryll Hendricks, 1994. Investment flows and performance: Evidence from mutual funds, cross-border investments, and new issues, Japan and International Financial Markets: Analytical and Empirical Perspectives, ed. by R. Sato, R. Levich, and R. Ramachandran. Cambridge: Cambridge University Press.
     Peng, Chi-Lu, Miao-Ling Chen, and An-Pin Wei, 2011. Does advertising moderate mutual fund investor post-purchase decisions? Working Paper Series, Available at SSRN: http://ssrn.com/abstract=1773155
     Shefrin, H.M., and M. Statman, 1985. The disposition to sell winners too early and ride losers too long: Theory and evidence. Journal of Finance 40(3), 777–790.
     Shu, Pei-Gi, Yin-Hua Yeh, Shean-Bii Chiu, and Hsuan-Chi Chen, 2005. Are Taiwanese individual investors reluctant to realize their losses? Pacific-Basin Finance Journal 13, 201-223.
     Shu, Pei-Gi, Yin-Hua Yeh, Takeshi Yamada, 2002. The behavior of Taiwan mutual fund investors—performance and fund flows. Pacific-Basin Finance Journal 10, 583-600.
     Sirri, E. R. and P. Tufano, 1998. Costly search and mutual fund flows. Journal of Finance 53, 1589–1622.
     Weber, Martin, and Colin F. Camerer, 1998. The disposition effect in securities trading: An experimental analysis. Journal of Economic Behavior and Organization 33, 167-184.
     Wermers, Russ, 2003. Is money really `smart`? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence. Working paper, University of Maryland.
     Yu, Hsin-Yi, 2012. Where are the smart investors? New evidence of the smart money effect. Journal of Empirical Finance 19, 51-64.
     Zheng, Lu, 1999. Is money smart? A study of mutual fund investors’ fund selection ability. Journal of Finance 54, 901-933.
     王珮恩(2008)，「台灣債券型基金處理結構型債券問題之探討」，政治大學經營管理碩士學程碩士論文。
     宋文琪(2003)，「股票開放型共同基金投資人投資行為研究－以怡富投信基金投資人為例」，國立政治大學經營管理碩士學程研究所碩士論文。
     周建新、于鴻褔、張千雲(2009)，「利率期限結構變動與債券型基金投資績效」，台大管理論叢，第20卷第1期，189-226頁。
     林志娟、江妙真、張慶輝、溫博仕(2003)，平衡型共同基金績效評估與擇時能力研究，智慧科學與用應統計學報。
     邱千芳(2011)，「台灣總經因素對債券型基金影響之研究」，中原大學國際貿易研究所碩士論文。
     邱顯比(1994)，「基金績效評估之模擬研究」，台大管理論叢，第5券第2期，47-82頁。
     邱顯比、林清珮(1999)，「共同基金分類與基金績效持續性之研究」，財務金融學刊，第7卷第2期， 63-88頁。
     胡皓欽(2009)，「基金經理人價值與基金績效持續性之研究」，高雄應用科技大學商務經營研究所碩士論文。
     張正哲(2004)，「共同基金選股能力與績效持續性之再驗證」，東海大學企業管理所碩士論文。
     莊秋智(2007)，「聯合投信事件後對台灣債券共同基金報酬與結構之影響」，淡江大學財務金融學系碩在職專班碩士論文。
     陳安琳、洪嘉苓、李文智(2001)，「共同基金經理團隊屬性與基金績效之研究」，證券市場發展季刊，第13卷第3期，1-27頁。
     陳安琳、湯惠雯、曹美蘭(2004)，「共同基金績效之衡量—模擬分析法之應用」，中山管理評論，第13卷第2期。
     彭琪祿(2005)，「台灣開放式股票型基金投資人行為之研究」，義守大學財務金融研究所碩士論文。
     游智賢、姚瑜忠(2000)，「台灣共同基金操作策略之研究」，中國財務學刊，第8卷第2期， 49-76頁。
     黃聖棠，溫英幹，鄢欽瑞(2003)，「共同基金之績效評比—台灣地區之實證研究(1995~2002)」，華岡經濟論叢，第5卷第2期。
     葉銀華、邱顯比、張銘煌(1999)，「基金經理人更換、董事會組成與績效之研究」， 證券市場發展季刊，第11卷第1期，25-60頁。
     劉偉健(2006)，「共同基金投資方法之比較-定期定額與單筆投資」，亞洲大學國際企業研究所碩士論文。
     戴文真(2010)，「台灣基金發行公司之治理及其旗下共同基金績效之相關性研究」，中山大學企業管理研究所碩士論文。
     戴錦周、林孟樺(2007)，「投信與基金績效之研究」，台灣金融財務季刊，第8卷第3期，58-73頁。
     羅湘蘭(2005) ，「債券型基金之風險分析及控管」，政治大學國際經營管理碩士班碩士論文。
     蘇瑩娟(2006)，「國內債券型基金分流後之風險值與持債比率關係研究」，臺北大學國際財務金融碩士在職專班碩士論文。
描述 碩士
國立政治大學
財務管理研究所
99357023
100
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099357023
資料類型 thesis
dc.contributor.advisor 岳夢蘭zh_TW
dc.contributor.advisor Yueh, Meng Lanen_US
dc.contributor.author (作者) 王玨珵zh_TW
dc.contributor.author (作者) Wang, Chueh Chenen_US
dc.creator (作者) 王玨珵zh_TW
dc.creator (作者) Wang, Chueh Chenen_US
dc.date (日期) 2011en_US
dc.date.accessioned 30-十月-2012 11:43:50 (UTC+8)-
dc.date.available 30-十月-2012 11:43:50 (UTC+8)-
dc.date.issued (上傳時間) 30-十月-2012 11:43:50 (UTC+8)-
dc.identifier (其他 識別碼) G0099357023en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54765-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 99357023zh_TW
dc.description (描述) 100zh_TW
dc.description.abstract (摘要) 有越來越多的文獻研究提出「聰明錢」存在的證據，證明基金投資人有能力預測未來會賺錢的贏家基金。在這個議題之下，本研究主要探討台灣債券型基金市場裡是否存在「聰明錢」現象。藉由Friesen and Sapp (2007)以及Keswani and Stolin (2008)所使用的研究方法，本研究得以發掘投資人擇時能力在。我們的實證結果發現，基金投資人整體而言沒有呈現顯著擇時能力，因此沒有明確證據支持的「聰明錢」效果的存在。投資人的基金投資績效反而往往受到不佳的擇時決策所影響。此外，即便投資人展現選擇贏家基金的能力，其獲利也往往被不良的賣出決定所侵蝕。而且，挑選贏家基金的能力也似乎是短暫的。另外，研究結果亦指出機構投資人的績效穩定優於散戶投資人，其部分原因是散戶投資人在面對較高的搜尋成本時，傾向於選擇規模較大但費用較高的基金，因此降低其投資報酬率。整體而言，本研究的建議是，在台灣債券型基金市場裡宜採取買進持有的投資策略。zh_TW
dc.description.tableofcontents TABLE OF CONTENTS
     Chapter 1 Introduction 7
     1.1 Research motivation 7
     1.2 Research questions and limitations 10
     1.3 Structure of this study 11
     Chapter 2 Literature Review 12
     2.1 Smart money effect 12
     2.2 Performance gap and constructing hypothetical portfolios 14
     Chapter 3 Research Methodology 17
     3.1 Overview 17
     3.2 Performance gap 17
     3.3 Constructing “new money” and “old money” portfolios 18
     3.4 Data 18
     Chapter 4 Empirical Results 22
     4.1 Empirical results of the “performance gap” 22
     4.2 “New money” and “old money” portfolios 24
     Chapter 5 Conclusions 29
     5.1 Findings and implications 29
     5.2 Issues for future research 30
     References 31
     Appendix 34		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099357023en_US
dc.subject (關鍵詞) 債券型基金zh_TW
dc.subject (關鍵詞) 聰明錢效果zh_TW
dc.subject (關鍵詞) 擇時能力zh_TW
dc.title (題名) 台灣固定收益基金投資人的擇時能力zh_TW
dc.title (題名) The timing ability of Taiwan fixed income mutual fund investorsen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Barber, Brad M, T. Odean, and Lu Zheng, 2005. Out of sight, out of mind: The effects of expenses on mutual fund flows. The Journal of Business 78(6), 2095-2120.
     Barber, Brad M. and Terrance Odean, 1999. The Courage of Misguided Convictions. Financial Analysts Journal 56(6), 41-55.
     Barber, Brad M. and Terrance Odean, 2003. Individual Investors. In: Advances in Behavioral Finance Volume II, 543–569. Ed. by Richard H. Thaler. New York: Russell Sage Foundation.
     Berk J. B. and Green R. C., 2004. Mutual fund flows and performance in rational markets. Journal of Political Economy 112, 1269-1295.
     Bilson, C., Frino A., and Heaney R., 2005. Australian retail fund performance persistence. Accounting and Finance 45, 25-42.
     Chevalier, J. and Ellison, G., 1997. Risk taking by mutual funds as a response to incentives. Journal of Political Economy 105, 1167–1200.
     Chih, Hsiang-Hsuan, Yu-En Lin, and Pin-Huang Chou, 2007. Performance persistence and smart money effect: Evidence from Taiwan. Journal of Management 24, 307-330.
     Edelen, Roger, 1999. Investor flows and the assessed performance of open-end mutual funds. Journal of Financial Economics 53, 439– 466.
     Friesen, Geoffrey C. and Travis R. A. Sapp, 2007. Mutual fund flows and investor return: An empirical examination of fund investor timing ability. Journal of Banking & Finance 31, 2796-2816.
     Gerken, William Christopher, Laura T. Starks, and Michael Yates, 2012. Reputation and mutual fund choice. Working Paper Series, available at SSRN: http://ssrn.com/abstract=2022503
     Goetzmann, William N. and Nadav Peles, 1997. Cognitive dissonance and mutual fund investors. Journal of Financial Research 20(2), 145–158.
     Gruber, Martin J., 1996. Another puzzle: The growth in actively managed mutual funds. Journal of Finance 51(3), 783–810.
     Harris, Lawrence, 1988. Discussion of predicting contemporary volume with historic volume at differential price levels: Evidence supporting the disposition effect. Journal of Finance 43(3), 698–699.
     Hendricks, Darryll, Jayendu Patel, Richard Zeckhauser. 1993. Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988. Journal of Finance, 48(1), 93-130.
     Huang, Yen-yun, 2010. The smart money effect in Taiwanese mutual funds. Master thesis, National Kaohsiung University.
     Ippolito, Richard A. 1992. Consumer reaction to measures of poor quality: Evidence from the mutual fund industry. Journal of Law and Economics 13(1), 937-958.
     Ke, D., Ng. L, and Wang Q. 2005. Smart money? Evidence from the performance of mutual fund investors. Working paper, University of Wisconsin-Milwaukee.
     Keswani, A. and D. Stolin, 2008. Which money is smart? Mutual fund buys and sells of individual and institutional investors, Journal of Finance 63(1), 85-118.
     Lakonishok, Josef and Seymour Smidt, 1986. Volume for winners and losers: Taxation and other motives for stock trading. Journal of Finance 41(4), 951–976.
     Lin, Yu-En, 2006. Taiwan mutual fund smart money effect and momentum investment strategy. Master thesis, National Dong Hwa University.
     Odean, T., 1998. Are investors reluctant to realize their losses? Journal of Finance 53, 1775-1798.
     Patel, Jayendu, Richard Zeckhauser, and Darryll Hendricks, 1994. Investment flows and performance: Evidence from mutual funds, cross-border investments, and new issues, Japan and International Financial Markets: Analytical and Empirical Perspectives, ed. by R. Sato, R. Levich, and R. Ramachandran. Cambridge: Cambridge University Press.
     Peng, Chi-Lu, Miao-Ling Chen, and An-Pin Wei, 2011. Does advertising moderate mutual fund investor post-purchase decisions? Working Paper Series, Available at SSRN: http://ssrn.com/abstract=1773155
     Shefrin, H.M., and M. Statman, 1985. The disposition to sell winners too early and ride losers too long: Theory and evidence. Journal of Finance 40(3), 777–790.
     Shu, Pei-Gi, Yin-Hua Yeh, Shean-Bii Chiu, and Hsuan-Chi Chen, 2005. Are Taiwanese individual investors reluctant to realize their losses? Pacific-Basin Finance Journal 13, 201-223.
     Shu, Pei-Gi, Yin-Hua Yeh, Takeshi Yamada, 2002. The behavior of Taiwan mutual fund investors—performance and fund flows. Pacific-Basin Finance Journal 10, 583-600.
     Sirri, E. R. and P. Tufano, 1998. Costly search and mutual fund flows. Journal of Finance 53, 1589–1622.
     Weber, Martin, and Colin F. Camerer, 1998. The disposition effect in securities trading: An experimental analysis. Journal of Economic Behavior and Organization 33, 167-184.
     Wermers, Russ, 2003. Is money really `smart`? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence. Working paper, University of Maryland.
     Yu, Hsin-Yi, 2012. Where are the smart investors? New evidence of the smart money effect. Journal of Empirical Finance 19, 51-64.
     Zheng, Lu, 1999. Is money smart? A study of mutual fund investors’ fund selection ability. Journal of Finance 54, 901-933.
     王珮恩(2008)，「台灣債券型基金處理結構型債券問題之探討」，政治大學經營管理碩士學程碩士論文。
     宋文琪(2003)，「股票開放型共同基金投資人投資行為研究－以怡富投信基金投資人為例」，國立政治大學經營管理碩士學程研究所碩士論文。
     周建新、于鴻褔、張千雲(2009)，「利率期限結構變動與債券型基金投資績效」，台大管理論叢，第20卷第1期，189-226頁。
     林志娟、江妙真、張慶輝、溫博仕(2003)，平衡型共同基金績效評估與擇時能力研究，智慧科學與用應統計學報。
     邱千芳(2011)，「台灣總經因素對債券型基金影響之研究」，中原大學國際貿易研究所碩士論文。
     邱顯比(1994)，「基金績效評估之模擬研究」，台大管理論叢，第5券第2期，47-82頁。
     邱顯比、林清珮(1999)，「共同基金分類與基金績效持續性之研究」，財務金融學刊，第7卷第2期， 63-88頁。
     胡皓欽(2009)，「基金經理人價值與基金績效持續性之研究」，高雄應用科技大學商務經營研究所碩士論文。
     張正哲(2004)，「共同基金選股能力與績效持續性之再驗證」，東海大學企業管理所碩士論文。
     莊秋智(2007)，「聯合投信事件後對台灣債券共同基金報酬與結構之影響」，淡江大學財務金融學系碩在職專班碩士論文。
     陳安琳、洪嘉苓、李文智(2001)，「共同基金經理團隊屬性與基金績效之研究」，證券市場發展季刊，第13卷第3期，1-27頁。
     陳安琳、湯惠雯、曹美蘭(2004)，「共同基金績效之衡量—模擬分析法之應用」，中山管理評論，第13卷第2期。
     彭琪祿(2005)，「台灣開放式股票型基金投資人行為之研究」，義守大學財務金融研究所碩士論文。
     游智賢、姚瑜忠(2000)，「台灣共同基金操作策略之研究」，中國財務學刊，第8卷第2期， 49-76頁。
     黃聖棠，溫英幹，鄢欽瑞(2003)，「共同基金之績效評比—台灣地區之實證研究(1995~2002)」，華岡經濟論叢，第5卷第2期。
     葉銀華、邱顯比、張銘煌(1999)，「基金經理人更換、董事會組成與績效之研究」， 證券市場發展季刊，第11卷第1期，25-60頁。
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