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題名 選股能力與基金績效持續性研究 – 以台灣國內股票型基金為例
Stock Picking Ability & Fund Performance Persistence作者 鍾亦強 貢獻者 吳啟銘
Wu, Chi Ming
鍾亦強關鍵詞 績效持續性
強調選股特徵
選股能力
淨銷售率
Performance persistence
Stock picking ability
Net sales rate日期 2015 上傳時間 27-七月-2015 11:22:11 (UTC+8) 摘要 在資產管理公司的全球化浪潮下，國內資產管理的規模大幅成長，其商品種類也不斷地推陳出新，而投資人再選取商品上，經由過去的文獻發現投資人自身在判斷一檔基金投資與否通常會看其過去的績效，在近期有較高績效的共同基金較會受到投資人青睞。故在投資人有這種追求過去歷史績效的現象時，如何選擇有績效持續性的共同基金就變成一個重要的議題。而一直以來，基金績效持續性的探討所找到的結果各家看法不一，部分文獻顯示出基金績效的持續性非來自於基金經理人的強調選股特徵，而亦有學者認為基金經理人可能會有能力上或是訊息上的優勢。經由歸納，常發現已發展國家的股票型基金持續性是不顯著的，而新興國家可能由於經理人的資訊程度較大眾的消息取得容易且迅速。本文經由探討台灣股票型基金發現擁有較好強調選股特徵(1-R2)的基金其在未來績效較有持續性，若再搭配當期α來考量，則短期，投資強調選股特徵弱但α大的群組或是投資強調選股特徵強但α小的群組，績效表現較好；然而，若放眼長期，擇投資強調選股特徵強的基金，績效表現會較為出色，尤其是α落在較大群族的基金。整體而言，淨資產對於持續性的影響是顯著負向的，可能原因為規模不經濟導致；週轉率越高代表其績效持續性較強。另外新資金湧入導致基金績效持續性較不佳，原因可能為其淨資金流入會造成基金操作管理上效率的問題。
Under the globalization tide of the asset management company, the asset managed in Taiwan has been grown dramatically, and much more various products have been launched. Empirical evidence found that investors tend to take past performance into consideration before they invest in funds. As a consequence, funds with recent outstanding performance are more popular than others. So performance persistence becomes an important issue.Empirical researches did not reach consensus on whether funds have performance persistence, some paper shows that performance persistence does not stem from stock picking ability, however, some evidence show that fund managers might have some information or ability advantages. And performance persistence is more likely happened in emerging countries than developed countries due to fund managers have more efficient and latest information than general investors.This paper finds that Taiwanese stock fund which emphasize more on stock picking ability (higher 1-R2) tend to persist. If analyzed with current α, funds with less emphasis on stock picking and bigger current α in the short run, or funds with more emphasis and weaker α will have better performance in the future. In the long run, more emphasis on stock picking, better performance in the future，especially those with strongerα. Greater asset under management and net sales rate might cause worse performance persistence due to inefficiency in management. And higher turnover help performance persistence.參考文獻 1] Alexander, G.J., Jones, J.D. and Nigro, P.J. (1998) Mutual fund shareholders: characteristics, investor knowledge, and sources of information, Financial Services Review, 7, pp.301–16.[2] Amihud, Yakov, and Ruslan Goyenko. (2010). “Mutual Fund’s R2 as Predictor of Performance.” Working paper, New York University Stern School of Business.Barber, B.M., Odean, T. and Lu, Z. (2005) Out of sight, out of mind: the effects of expenses on mutual fund flows, Journal of Business, 78(6), pp.2095–119.[3] Bessler, W.,Blake, D.,Luckoff, P.andTonks, I.(2011) Why does Mutual Fund Performance not Persist? The Impact and Interaction of Fund Flows and Manager Changes, working paper, Justus-Liebig-University Giessen, Center for Finance and Banking,[4] Bialkowski, J., and Otten, R., (2011) “Emerging market mutual fund performance: Evidence for Poland”North American Journal of Economics and Finance,Vol. 22 (2011) pp.118–130[5] Bollen , N., &Busse, J. (2005). Short-term persistence in mutual fund performance.Review of Financial Studies, Vol. 18 (No. 2), 569-597.[6] Busse , J., & Irvine, P. (2006). Bayesian alphas and mutual fund persistence. Journalof Finance, Vol. 61 (No. 5), 2251-2288.[7] Chevalier, J. and Ellison, G. (1997) Risk taking by mutual funds as a response to incentives, Journal ofPolitical Economy, 105, pp.1167–200.[8] Cremers, Martijn, and Petajisto, Antti. (2009). “How Active Is Your Fund Manager? A New Measure That Predicts Performance.”The Review of Financial Studies, vol. 22, no.9, pp.3329–3365. [9] Duan, Y., Hu , G., & McLean, D. (2009). When is stock picking likely to besuccessful? Evidence from mutual funds. Financial Analysts Journal, Vol. 65 (No.2), 55-66.[10] Elton, E.J., Gruber, M.J. and Rentzler, J.C. (1990) The performance of publicly offered commodity funds,Financial Analysts Journal, 46, pp.23–31.[11] Fu, Y.F. (2014) “Individual Fund Manager Sentiment, Fund Performance and Performance Persistence.“ International Journal of Economics and Financial Issues, vol. 4, no. 4, pp; 870-885.[12] Goetzmann, W., & Ibbotson, G. (1994). Do winners repeat? Journal of PortfolioManagement, Vol. 20 (No. 2), 9-18.[13] Grinblatt , M., & Titman, S. (1992). The persistence of mutual fund performance.Journal of Finance, Vol. 47 (No. 5), 1977-1984.[14] Hendricks, D., Patel , J., &Zeckhauser, R. (1993). Hot hands in mutual funds:Short-run persistence of relative performance, 1974-1988. Journal of Finance, Vol.48 (No. 1), 93-130.[15] Jensen, Michael C. (1968). “The Performance of Mutual Funds in the Period 1945–1964.” Journal of Finance. May, 23, pp. 389–416.[16] Kang, J., Lee, C., Lee, D.,(2011) ” Equity Fund Performance Persistence with Investment Style: Evidence from Korea” Emerging Markets Finance & Trade / May–June 2011, Vol. 47, No. 3, pp. 111–135.[17] Kaplan, Paul D. (2003). “Holdings-Based and Returns-Based Style Models.”Morningstar research paper, June 2003.[18] Petajisto, A. (2013) “Active Share and Mutual Fund Performance.” Financial Analysts Journal Vol. 69. No. 4, pp.73-93[19] Puckett , A., & Yan, X. (2011). The interim trading skills of institutional investors.Journal of Finance, Vol. 66 (No. 2), 601-633.[20] Sharpe, William F. (1966). “Mutual Fund Performance.” Journal of Business. January, 39, pp. 119–38.[21] Sirri, E.R. and Tufano, P. (1998) Costly search and mutual fund flows, Journal of Finance, 53(5), pp.1589 –1622.[22] Treynor, J. L. (1965). “How to Rate the Performance of Mutual Funds.” Harvard Business Review. January/February, 43, pp. 63–75.[23] Wermers, R. (2003) Is money really ‘smart’? New evidence on the relation between mutual fund flows,manager behavior, and performance persistence, Working Paper, University of Maryland.[24] Wermers, Yao and Zhao, Jane. (2012). “Forecasting Stock Returns Through an Efficient Aggregation of Mutual Fund Holdings.” The Review of Financial Studies, vol. 25, no.12, pp.3490-3529. 描述 碩士
國立政治大學
財務管理研究所
102357025資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102357025 資料類型 thesis dc.contributor.advisor 吳啟銘 zh_TW dc.contributor.advisor Wu, Chi Ming en_US dc.contributor.author (作者) 鍾亦強 zh_TW dc.creator (作者) 鍾亦強 zh_TW dc.date (日期) 2015 en_US dc.date.accessioned 27-七月-2015 11:22:11 (UTC+8) - dc.date.available 27-七月-2015 11:22:11 (UTC+8) - dc.date.issued (上傳時間) 27-七月-2015 11:22:11 (UTC+8) - dc.identifier (其他 識別碼) G0102357025 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76863 - 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) 102357025 zh_TW dc.description.abstract (摘要) 在資產管理公司的全球化浪潮下，國內資產管理的規模大幅成長，其商品種類也不斷地推陳出新，而投資人再選取商品上，經由過去的文獻發現投資人自身在判斷一檔基金投資與否通常會看其過去的績效，在近期有較高績效的共同基金較會受到投資人青睞。故在投資人有這種追求過去歷史績效的現象時，如何選擇有績效持續性的共同基金就變成一個重要的議題。而一直以來，基金績效持續性的探討所找到的結果各家看法不一，部分文獻顯示出基金績效的持續性非來自於基金經理人的強調選股特徵，而亦有學者認為基金經理人可能會有能力上或是訊息上的優勢。經由歸納，常發現已發展國家的股票型基金持續性是不顯著的，而新興國家可能由於經理人的資訊程度較大眾的消息取得容易且迅速。本文經由探討台灣股票型基金發現擁有較好強調選股特徵(1-R2)的基金其在未來績效較有持續性，若再搭配當期α來考量，則短期，投資強調選股特徵弱但α大的群組或是投資強調選股特徵強但α小的群組，績效表現較好；然而，若放眼長期，擇投資強調選股特徵強的基金，績效表現會較為出色，尤其是α落在較大群族的基金。整體而言，淨資產對於持續性的影響是顯著負向的，可能原因為規模不經濟導致；週轉率越高代表其績效持續性較強。另外新資金湧入導致基金績效持續性較不佳，原因可能為其淨資金流入會造成基金操作管理上效率的問題。 zh_TW dc.description.abstract (摘要) Under the globalization tide of the asset management company, the asset managed in Taiwan has been grown dramatically, and much more various products have been launched. Empirical evidence found that investors tend to take past performance into consideration before they invest in funds. As a consequence, funds with recent outstanding performance are more popular than others. So performance persistence becomes an important issue.Empirical researches did not reach consensus on whether funds have performance persistence, some paper shows that performance persistence does not stem from stock picking ability, however, some evidence show that fund managers might have some information or ability advantages. And performance persistence is more likely happened in emerging countries than developed countries due to fund managers have more efficient and latest information than general investors.This paper finds that Taiwanese stock fund which emphasize more on stock picking ability (higher 1-R2) tend to persist. If analyzed with current α, funds with less emphasis on stock picking and bigger current α in the short run, or funds with more emphasis and weaker α will have better performance in the future. In the long run, more emphasis on stock picking, better performance in the future，especially those with strongerα. Greater asset under management and net sales rate might cause worse performance persistence due to inefficiency in management. And higher turnover help performance persistence. en_US dc.description.tableofcontents 第一章 緒論 6第一節 研究背景與動機 6第二節 研究目的 8第三節 研究架構 9第二章 文獻回顧與假說發展 10第一節 文獻回顧 10第二節 假說發展 14第三章 研究方法 16第一節 資料來源與樣本 16第二節 基金績效研究方法 17第三節 研究設計 18第四節 迴歸變數解釋 21第四章 實證結果與分析 23第一節 特徵因子與投資績效之評估 23第二節 持續性之檢定 29第五章 結論與建議 32第一節 研究結論 32第二節 研究限制 32第三節 後續研究建議 33參考文獻 34 zh_TW dc.format.extent 1759455 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102357025 en_US dc.subject (關鍵詞) 績效持續性 zh_TW dc.subject (關鍵詞) 強調選股特徵 zh_TW dc.subject (關鍵詞) 選股能力 zh_TW dc.subject (關鍵詞) 淨銷售率 zh_TW dc.subject (關鍵詞) Performance persistence en_US dc.subject (關鍵詞) Stock picking ability en_US dc.subject (關鍵詞) Net sales rate en_US dc.title (題名) 選股能力與基金績效持續性研究 – 以台灣國內股票型基金為例 zh_TW dc.title (題名) Stock Picking Ability & Fund Performance Persistence en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 1] Alexander, G.J., Jones, J.D. and Nigro, P.J. (1998) Mutual fund shareholders: characteristics, investor knowledge, and sources of information, Financial Services Review, 7, pp.301–16.[2] Amihud, Yakov, and Ruslan Goyenko. (2010). “Mutual Fund’s R2 as Predictor of Performance.” Working paper, New York University Stern School of Business.Barber, B.M., Odean, T. and Lu, Z. (2005) Out of sight, out of mind: the effects of expenses on mutual fund flows, Journal of Business, 78(6), pp.2095–119.[3] Bessler, W.,Blake, D.,Luckoff, P.andTonks, I.(2011) Why does Mutual Fund Performance not Persist? The Impact and Interaction of Fund Flows and Manager Changes, working paper, Justus-Liebig-University Giessen, Center for Finance and Banking,[4] Bialkowski, J., and Otten, R., (2011) “Emerging market mutual fund performance: Evidence for Poland”North American Journal of Economics and Finance,Vol. 22 (2011) pp.118–130[5] Bollen , N., &Busse, J. (2005). Short-term persistence in mutual fund performance.Review of Financial Studies, Vol. 18 (No. 2), 569-597.[6] Busse , J., & Irvine, P. (2006). Bayesian alphas and mutual fund persistence. Journalof Finance, Vol. 61 (No. 5), 2251-2288.[7] Chevalier, J. and Ellison, G. (1997) Risk taking by mutual funds as a response to incentives, Journal ofPolitical Economy, 105, pp.1167–200.[8] Cremers, Martijn, and Petajisto, Antti. (2009). “How Active Is Your Fund Manager? A New Measure That Predicts Performance.”The Review of Financial Studies, vol. 22, no.9, pp.3329–3365. [9] Duan, Y., Hu , G., & McLean, D. (2009). When is stock picking likely to besuccessful? Evidence from mutual funds. Financial Analysts Journal, Vol. 65 (No.2), 55-66.[10] Elton, E.J., Gruber, M.J. and Rentzler, J.C. (1990) The performance of publicly offered commodity funds,Financial Analysts Journal, 46, pp.23–31.[11] Fu, Y.F. (2014) “Individual Fund Manager Sentiment, Fund Performance and Performance Persistence.“ International Journal of Economics and Financial Issues, vol. 4, no. 4, pp; 870-885.[12] Goetzmann, W., & Ibbotson, G. (1994). Do winners repeat? Journal of PortfolioManagement, Vol. 20 (No. 2), 9-18.[13] Grinblatt , M., & Titman, S. (1992). The persistence of mutual fund performance.Journal of Finance, Vol. 47 (No. 5), 1977-1984.[14] Hendricks, D., Patel , J., &Zeckhauser, R. (1993). Hot hands in mutual funds:Short-run persistence of relative performance, 1974-1988. Journal of Finance, Vol.48 (No. 1), 93-130.[15] Jensen, Michael C. (1968). “The Performance of Mutual Funds in the Period 1945–1964.” Journal of Finance. May, 23, pp. 389–416.[16] Kang, J., Lee, C., Lee, D.,(2011) ” Equity Fund Performance Persistence with Investment Style: Evidence from Korea” Emerging Markets Finance & Trade / May–June 2011, Vol. 47, No. 3, pp. 111–135.[17] Kaplan, Paul D. (2003). “Holdings-Based and Returns-Based Style Models.”Morningstar research paper, June 2003.[18] Petajisto, A. (2013) “Active Share and Mutual Fund Performance.” Financial Analysts Journal Vol. 69. No. 4, pp.73-93[19] Puckett , A., & Yan, X. (2011). The interim trading skills of institutional investors.Journal of Finance, Vol. 66 (No. 2), 601-633.[20] Sharpe, William F. (1966). “Mutual Fund Performance.” Journal of Business. January, 39, pp. 119–38.[21] Sirri, E.R. and Tufano, P. (1998) Costly search and mutual fund flows, Journal of Finance, 53(5), pp.1589 –1622.[22] Treynor, J. L. (1965). “How to Rate the Performance of Mutual Funds.” Harvard Business Review. January/February, 43, pp. 63–75.[23] Wermers, R. (2003) Is money really ‘smart’? New evidence on the relation between mutual fund flows,manager behavior, and performance persistence, Working Paper, University of Maryland.[24] Wermers, Yao and Zhao, Jane. (2012). “Forecasting Stock Returns Through an Efficient Aggregation of Mutual Fund Holdings.” The Review of Financial Studies, vol. 25, no.12, pp.3490-3529. zh_TW
