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題名:基金經理人擇時能力與選股能力--評估國內股票型基金績效
書刊名:大葉學報
作者:徐清俊陳欣怡
作者(外文):Hsu, Ching-junChen, Shin-yi
出版日期:2004
卷期:13:2
頁次:頁49-59
主題關鍵詞:共同基金擇時能力選股能力抵換關係GARCH效果Mutual fundTiming abilitySelective abilityTrade-offGARCH effect
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(5) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:5
  • 共同引用共同引用:5
  • 點閱點閱:45
     以往對於共同基金的研究大都強調共同基金的整體績效表現,然而,基金經理人亦有兩個方法可以去獲取超額報酬,也就是擇時能力與選股能力,但是鮮少文章會探討基金經理人的能力。有鑑於此,本研究乃對國內68支股票型基金的個別績效進行評估,檢定基金經理人的擇時能力與選股能力。另外,一般金融資料的時間序列,常常發現有波動群聚的現象,於是本文亦將一般化自我條件異質變異數(general autoregression conditional heteroskedasticity,GARCH)因素列入考慮以探討其影響。主要研究結果指出,現階段台灣共同基金在擇時能力的表現上普遍優於市場,但是其選股能力表現卻不佳,而擇時能力與選股能力存在抵換關係。加入GARCH效果並不影響基金績效的排名,而會使結果更顯著,因此若要探討擇時能力與選股能力,應將GARCH效果加入。
     Many previous studies have emphasized the performance of mutual funds, but few articles have analyzed fund managers’ abilities. Moreover, mutual-fund managers have two methods for obtaining excess returns, including timing ability and selective ability. Therefore, in this study, the performance of sixty-eight equity funds are evaluated by examining the fund manager’s timing and selective abilities. Furthermore, the time series of common financial data often exhibit a volatility-clustering phenomenon; hence, GARCH (general autoregression conditional heteroskedasticity) effects are also considered to analyze its influence. The major findings indicate that mutual funds have timing abiltity, but do not have selective ability. Also, trade-off relationships exist between timing and selective abilities. The GARCH effect does not affect the ranking of a fund’s performance; however, the results become more significant. Therefore, the GARCH effect should be incorporated into the evaluation of the timing and selective abilities of mutual-fund managers.
期刊論文
1.謝明瑞、段昌文(20001200)。臺灣封閉型共同基金績效評估之研究。臺灣銀行季刊,51(4),17-51。new window  延伸查詢new window
2.Fama, Eugene F.(1972)。Components of Investment Performance。Journal of Finance,27(3),551-567。  new window
3.姚雅玢(19991200)。GARCH效果下基金市場經理人擇時能力研究。產業金融季刊,105,25-40。  延伸查詢new window
4.劉祥熹、林志榮(20020300)。共同基金運作績效及其對股市影響之研究。臺灣銀行季刊,53(1),195-227。new window  延伸查詢new window
5.Chen, C. R.、Stockum, S.(1986)。Selectivity, market timing, and random beta behavior of mutual fund: A generalize model。Journal of Financial Research,9,87-96。  new window
6.Henrikson, R. D.、Merton, R. C.(1981)。On market timing and investment performance。Journal of Finance,33,1051-1099。  new window
7.Koh, F.、Phoon, K. F.、Tan, C. H.(1993)。Market timing abilities of fund managers: parametric and non-parametric tests。Journal of Business Finance and Accounting,20,155-166。  new window
8.Lockwood, L. J.、Kadiyala, K. R.(1986)。Measuring investment performance with a stochastic parameter regression model。Journal of Banking and Finance,12,457-467。  new window
9.Treynor, J. L.、Mazuy, K. K.(1966)。Can mutual fond outguess the market。Harvard Business Review,14,131-136。  new window
10.周賓凰、邱湘靈(19960700)。美國亞太地區國際型共同基金績效之評估。證券市場發展,8(3)=31,117-145。new window  延伸查詢new window
11.楊朝成、廖咸興(19981200)。臺灣封閉型基金擇時能力之研究--持股比率分析。臺大管理論叢,9(1),87-112。new window  延伸查詢new window
12.Chang, Eric C.、Lewellen, Wilbur G.(1984)。Market timing and mutual fund investment performance。Journal of Business,57(1),57-72。  new window
13.Bollen, W. D. B.、Busse, J. A.(2001)。On the timing ability of mutual fund managers。The Journal of Finance,3,1075-1095。  new window
14.Henriksson, R. D.(1984)。Market Timing and Mutual Fund Performance: An Empirical Investigation。Journal of Business,57(1),73-96。  new window
15.Sharpe, William F.(1966)。Mutual fund performance。Journal of Business,39(1),119-138。  new window
16.Fabozzi, Frank J.、Francis, Jack C.(1979)。Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination。Journal of Finance,34(5),1243-1250。  new window
17.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
18.Jensen, Michael C.(1968)。The performance of mutual funds in the period 1945-1964。Journal of Finance,23(2),389-416。  new window
19.Busse, Jeffrey A.(1999)。Volatility Timing in Mutual Funds: Evidence from Daily Returns。Review of Financial Studies,12,1009-1041。  new window
學位論文
1.江奕欣(2001)。共同基金績效能力分解及持續性之研究(碩士論文)。國立中山大學。  延伸查詢new window
2.鄭桂娥(1995)。由持股比率評估共同基金之績效--台灣封閉型基金之實證研究(碩士論文)。國立中山大學。  延伸查詢new window
3.楊朝舜(1993)。臺灣共同基金選股能力與時機掌握能力之研究(碩士論文)。國立臺灣大學。  延伸查詢new window
4.周雅莉(1994)。基金績效、規模與其對銷售成長之影響:以臺灣開放式成長型共同基金為例(碩士論文)。國立交通大學。  延伸查詢new window
5.陳勝源(1989)。我國共同基金投資組合績效之研究(碩士論文)。國立臺灣大學。  延伸查詢new window
圖書論文
1.Jensen, M. C.(1972)。Optimal Utilization of Market Forecasts and the Evaluation of Investment Performance。Mathematical Methods in Investment and Finance。Amsterdam:North-Holland:Elsevier。  new window
 
 
 
 
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