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題名:
從獨特性風險之觀點探討我國開放型共同基金之風險分散程度、績效與風險調整行為
書刊名:
管理學報
作者:
林楚雄
/
洪秋萍
作者(外文):
Lin, Chu-hsiung
/
Hung, Chiu-ping
出版日期:
2005
卷期:
22:1
頁次:
頁109-131
主題關鍵詞:
共同基金
;
獨特性風險
;
基金績效
;
年度競賽
;
Mutual fund
;
Idiosyncratic risk
;
Performance
;
Tournament
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
2
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
2
共同引用:
100
點閱:107
本文藉由獨特性風險之估計以了解基金風險分散的程度、基金績效與獨特性風險之關係,以及基金經理人風險調整之行爲。實證研究發現在樣本期間中,科技類及一般類開放型共同基金的獨特性風險平均約占總風險的20%,顯示我國開放型共同基金並未完全消除可分散風險。其次,本研究發現在全樣本期間中,基金的獨特性風險與獨特性風險溢酬具有正向關係,亦即基金賺得獨特性風險溢酬的補償。在獨特性風險與績效關係的實證結果上,顯示績效好的基金的確存有較高的獨特性風險,隠含採取積極性投資組合策略的基金其績效較好。此外,本文亦發現我國基金經理人會視距競賽結束期間的長短,而調整基金的獨特性風險或系統風險,以求較佳的年度績效。
以文找文
Portfolio theory states that a well-diversifIed portfolio has zero or far small part of the idiosyncratic/diversfiable risk. Lee (1997) examined the issue that how many stocks should be bought in Taiwan's stock market to construct a well-diversified portfolio. Lee (1997) find that the number of stocks an investor needs to buy is far less than the number suggested by the traditional wisdom. Lee (1997) indicates that an investor needs only 4~5 stocks to reach the risk level specified by Bird and Tppett. According to Lee's finding, we can infer that domestic open-end mutual funds in Taiwan, holding 20 stocks on average, may eliminate a large portion of the idiosyncratic risks of their portfolios. However Brown, Harlow, and Starks (1996) demonstrate that managers of investment portfolios likely to end up as losers will manipulate fund risk differently than those managing portfolios likely to be winners when their compensation is linked to relative performance. Their empirical results show that mid-year losers tend to increase fund volatility in the latter part of an annual assessment period to a greater extent than mid-year winners. Besides, Yu and Yao (2000) show that there exists a significant positive relation between the fund managers' positive-feedback strategy and the funds' performance. These two studies above imply that mutual fund managers could choose stocks with highly expected returns in order to obtain better performance but ignore risk diversification. How is the power of diversification of mutual funds in Taiwan stock market? Can fund managers effectively diversify portfolio risk and earn enough return for investors? Such an important issue, concerned by the investors of mutual funds, has been ignored by Taiwan's financial scholars for a long time. In this paper, we investigate the degree of mutual fund diversification and discuss the relation between idiosyncratic risk and fund performance, risk-adjusted behavior of fund managers. The primary contribution of this paper is that we analyze these three issues above via an analysis of idiosyncratic risk, which differs from previous literatures. Second, to estimate the size of mutual fund diversification, in this paper, following Malkiel and Xu (2003) approach, we propose a modified direct decomposition method, which takes into account for GARCH effect in return process, to estimate the idiosyncratic risks of mutual funds. This study uses a sample of Taiwan domestic open-end mutual funds consisting daily returns from 2001 to 2003. The sample of this period contains 105 open-end mutual funds in all, where including 30 technology-type stock funds and 85 general-type stock funds. Our empirical results show that in sample periods the idiosyncratic risks of both technology-type funds and general-type funds account for 20% of the total risks on average, thereby indicating that Taiwan open-end mutual funds have not eliminated all of the idiosyncratic risks. Furthermore, we find that there is no significant difference in reducing the relative degree of the diversifiable risk between technology-type funds and ordinary-type funds; however we find that the performances of risk diversification are little different among securities investment trust companies. Moreover, this study demonstrates that the idiosyncratic risks of mutual funds positively correlate with their idiosyncratic risk premiums, implying that the mutual funds can undertake idiosyncratic risks to gain risk premiums. Also, the evidence reveals that there is a positive relation between the idiosyncratic risk and mutual fund performance. It indicates that mutual fund managers can successfully adopt active portfolio strategy to obtain better performance. Finally, the empirical results show that fund managers will actively adjust systematic or idiosyncratic risk of their portfolio to gain better yearly performance according to the length of the tournament period. For example, fund managers tend to increase fund idiosyncratic risk when the term-to-maturity of annual assessment period is still long. However they tend to adjust systematic risk when the term-to-maturity of an annual assessment period is short. In this paper our above empirical results, which were not presented in the previous papers, suggest that there is much more interesting work to be done. Incorporating idiosyncratic risk into the analysis of mutual fund behavior is a fruitful area for future research.
以文找文
期刊論文
1.
Barberis, N.、Huang, Ming(2001)。Mental accounting, loss aversion, and individual stock returns。The Journal of Finance,56(4),1247-1292。
2.
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延伸查詢
3.
陳安琳、洪嘉苓、李文智(20011000)。共同基金經理團隊屬性與基金績效之研究。證券市場發展,13(3)=51,1-27。
延伸查詢
4.
林景春(19951000)。無基準投資組合績效評估模型--臺灣地區共同基金實證研究。證券市場發展,7(4)=28,83-114。
延伸查詢
5.
Treynor, J. L.、Mazuy, K. K.(1966)。Can Mutual Funds Outguess the Market?。Harvard Business Review,44(4),131-136。
6.
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。
延伸查詢
7.
Chang, Eric C.、Lewellen, Wilbur G.(1984)。Market timing and mutual fund investment performance。Journal of Business,57(1),57-72。
8.
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延伸查詢
9.
王健安(20011100)。年度競賽觀點下共同基金經理人風險調整行為之研究。風險管理學報,3(2),47-83。
延伸查詢
10.
Lo, Andrew W.、Wang, Jiang(2000)。Trading volume: Definitions, data analysis, and implications of portfolio theory。Review of Financial Studies,13(2),257-300。
11.
Kim, T.(1978)。An Assessment of the Performance of Mutual Fund Management: 1969-1975。Journal of Financial and Quantitative Analysis,13(3),385-406。
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Treynor, J. L.、Black, F.(1973)。How to Use Security Analysis to Improve Portfolio Selection。Journal of Business,46(1),66-86。
13.
李桐豪(19970000)。臺灣股票市場投資家數與可分散風險關係之分析。證券市場發展,9(3)=35,63-89。
延伸查詢
14.
Brown, Keith C.、Harlow, W. V.、Starks, Laura T.(1996)。Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry。Journal of Finance,51(1),85-110。
15.
Falkenstein, Eric G.(1996)。Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings。Journal of Finance,51(1),111-135。
16.
Malkiel, B. G.(1995)。Returns from Investing in Equity Mutual Funds 1971-1991。Journal of Finance,50(2),549-572。
17.
Cornell, B.(1979)。Asymmetric Information and Portfolio Performance Measurement。Journal of Financial Economics,7(4),381-390。
18.
Henriksson, Roy D.、Merton, Robert C.(1981)。On market timing and investment performance II: Statistical procedures for evaluating forecasting skills。Journal of Business,54(4),513-533。
19.
Levy, H.、Sarnat, M.(1970)。International Diversification of Investment Portfolios。American Economic Review,60,668-675。
20.
邱顯比、林清珮(19990800)。共同基金分類與基金績效持續性之研究。中國財務學刊,7(2),63-88。
延伸查詢
21.
游智賢、姚瑜忠(20000800)。台灣共同基金操作策略之研究。中國財務學刊,8(2),49-76。
延伸查詢
22.
Campbell, John Y.、Lettau, Martin、Malkiel, Burton G.、Xu, Yexiao(2001)。Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk。Journal of Finance,56(1),1-43。
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Busse, J. A.(2001)。Another Look at Mutual Fund Tournaments。Journal of Financial and Quantitative Analysis,36(1),53-73。
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Xu, Y.、Malkiel, Burton G.(2003)。Investigating the Behavior of Idiosyncratic Volatility。Journal of Business,76(4),613-645。
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Treynor, Jack L.(1965)。How to rate management of investment funds?。Harvard Business Review,43(1),63-75。
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Sharpe, William F.(1966)。Mutual fund performance。Journal of Business,39(1),119-138。
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周賓凰、劉怡芬(20000400)。臺灣股市橫斷面報酬解釋因子:特徵、單因子、或多因子?。證券市場發展季刊,12(1)=45,1-32。
延伸查詢
35.
McDonald, J.(1974)。Objectives and Performance of Mutual Funds, 1960-1969。Journal of Financial and Quantitative Analysis,9,311-333。
36.
Modest, D. M.、Lehmann, B. N.(1987)。Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons。The Journal of Finance,42,233-265。
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會議論文
1.
周賓凰、林淑惠、林美珍(1999)。Mutual Funds Styles, Performance Evaluation and Investment Horizons: Evidence from U. S. Mutual Funds。0。
2.
Lin, C. H.、Huang, C. J.(2003)。The Estimation on Idiosyncratic Risk: The Case of the Listed Company in Taiwan。0。
研究報告
1.
Durnev, A.、Morck, R.、Yeung, B.(2001)。Dr. Jekyll and Mr. Hyde: Stock Return Variation and the Quality of Capital Budgeting Decision。0。
2.
Durnev, A.、Morck, R.、Yeung, B.、Zarowin, P.(2002)。Does Greater Firm-specific Return Variation Mean More or Less Informed Stock Trading?。0。
3.
Malkiel, Burton G.、Xu, Yexiao(2002)。Idiosyncratic Risk and Security Returns。0。
4.
Morck, R.、Yeung, B.、Yu, W.(2000)。Why Do Emerging Markets Have Synchronous Stock Price Movement?。0。
學位論文
1.
譚志忠(1999)。DEA投資組合效率指數--應用於台灣地區股票型共同基金績效評估(碩士論文)。淡江大學。
延伸查詢
其他
1.
Chiang, Kevin C. H.,Kung, Ashley W. P.(2003)。Idiosyncratic Risk and Returns in International Equity Markets,0。
2.
Hamao, Y.,Mei, J.,Xu, Y.(2002)。Idiosyncratic Risk and Creative Destruction in Japan,0。
3.
Malkiel, Burton G.,Xu, Yexiao(2002)。Idiosyncratic Risk and Security Returns,0。
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