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題名:股票型共同基金相關性預測模型之比較
書刊名:輔仁管理評論
作者:陳振遠 引用關係高蘭芬 引用關係吳香蘭
作者(外文):Chen, Roger C. Y.Kao, LanfengWu, Hsianglan
出版日期:2005
卷期:12:2
頁次:頁127-156
主題關鍵詞:相關性預測共同基金風格指數Correlation forecastingMutual fundStyle index
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:1
  • 點閱點閱:26
以往的研究指出,持有多種基金之投資策略將有助於投資人分散風險,然而其前提乃在於投資人必須能精確預測共同基金報酬間的相關性。本研究除了比較Ahmed (2001)所使用的相關性預測模型之預測績效外,另依Buetow, Johnson&Runkle (2000)之觀點,設計產業多重風格指數預測模型,並將其一併納入預測模型之績效比較。實證結果顯示,本研究所建立之產業多重風格指數模型,由於較符合我國股市交易的特性,故成為最佳的預測模型。此一結果呼應Buetow, Johnson&Runkle (2000)所指出,在使用歷史報酬率法時,應先檢視經理人的資產配置策略,如此才可有效的建構指數以進行風格分析。此外,一般多重風格指數模型及Fama-French三因子及動態模型,亦有不錯的預測績效及穩定性。整體而言,多數模型之預測能力皆較歷史模型為佳,亦即透過一些估計技巧對基金間未來相關性作預測,會比直接以歷史相關性作為預測值較為精確。
Previous studies show that a multi-fund portfolio is far less risky than its single-fund counterpart and will enable investors to diversify effectively. To successfully implement diversification strategies, investors must obtain accurate estimates of the correlation among mutual fund returns. This paper forecasts mutual fund correlatoin using the models discussed in Ahmed (2001). Moreover, following Buetow, Johnson and Runkle (2000), we use an industry-based style index model to capture the characteristics of trading behavior in Taiwan’s stock market. We evaluate the performance of each model in forecasting correlation among equity mutual funds in Taiwan. Results show that the estimate of future correlation from the industry-based style index model has the lowest prediction errors. Such result is consistent with the findings of Buetow, Johnson and Runkle (2000), which shows that the return-based style analysis is a useful tool when the investment philosophy of the portfolio manager is properly captured by a set of asset classes. The multi-style index model, Fama-French 3-factor model and dynamic model also perform well in forecasting future correlation among mutual funds. In short, most of the models examined by this paper perform better than the historical model. It shows that we can forecast the correlation among mutual funds more precisely through some techniques than using the historical correlation directly.
期刊論文
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3.Fertuck, Leonard(1975)。A Test of Industry Indices Based on SIC Codes。Journal of Financial and Quantitative Analysis,10(5),837-848。  new window
4.Ferson, W. E.、Warther, V. A.(1996)。Evaluating Fund Performance in a Dynamic Market。Financial Analysts Journal,52(6),20-28。  new window
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7.O'Neal, E. S.(1997)。How Many Mutual Funds Constitute a Diversified Mutual Fund Portfolio?。Financial Analysts Journal,53,37-46。  new window
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13.Eun, C. S.、Resnick, B. G.(1992)。Forecasting the Correlation Structure of Share Prices: A Test of New Models。Journal of Banking and Finance,16,643-656。  new window
14.Elton, E.、Gruber, M.(1973)。Estimating the Dependence Structure of Sare Prices-implications for Portfolio Selection。Journal of Finance,28,1203-1232。  new window
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16.diBartolomeo, D.、Witkowski, E.(1997)。Mutual Fund Misclassification: Evidence Based on Style Analysis。Financial Analyst Journal,53,32-43。  new window
17.Buetow, G. W. Jr.、Johnson, R. R.、Runkle, D. E.(2000)。The Inconsistency of Return-based Style Analysis。Journal of Portfolio Management,26,61-77。  new window
18.Banz, R. W.(1981)。The Relationship between Returns and Market Values of Stocks。Journal of Financial Economics,9,3-18。  new window
19.Ahmed, P.(2001)。Forecasting Correlation among Equity Mutual Funds。Journal of Banking and Finance,25(6),1187-1208。  new window
20.陳安琳、張舜、蘇錦俊(20020100)。規模、淨值市價投資策略與投資組合之績效評估--共同基金之研究。管理研究學報,2(1),1-19。new window  延伸查詢new window
21.Sharpe, William F.(1992)。Asset Allocation: Management Style and Performance Measurement。Journal of Portfolio Management,18(2),7-19。  new window
22.Kothari, Sagar P.、Warner, Jerold B.(2001)。Evaluating Mutual Fund Performance。Journal of Finance,56(5),1985-2010。  new window
23.Gallo, John G.、Lockwood, Larry J.(1999)。Fund Management Changes and Equity Style Shifts。Financial Analysts Journal,55,44-52。  new window
24.Elton, E. J.、Gruber, M. J.、Urich, T. J.(1978)。Are Betas Best?。Journal of Finance,39,1375-1384。  new window
25.Christopherson, Jon A.(1995)。Equity Style Classifications。Journal of Portfolio Management,21(3),32-44。  new window
26.Banz, Rolf W.、Breen, William J.(1986)。Sample-Dependent Results Using Accounting and Market Data: Some Evidence。The Journal of Finance,41(4),779-793。  new window
27.Basu, S.(1977)。The Investment Performance of Common Stocks in Relation to Their Price-to-Earnings: A Test of the Efficient Markets Hypothesis。Journal of Finance,32(3),663-682。  new window
28.Sharpe, William F.(1963)。A simplified model for portfolio analysis。Management Science,9(2),277-293。  new window
29.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
30.Evans, John L.、Archer, Stephen H.(1968)。Diversification and the reduction of dispersion: An empirical analysis。Journal of Finance,23,761-767。  new window
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32.Reinganum, Marc R.(1981)。Misspecification of capital asset pricing: empirical anomalies based on earnings yields and market values。Journal of Financial Economics,9(1),19-46。  new window
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35.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1994)。Contrarian Investment, Extrapolation, and Risk。Journal of Finance,49(5),1541-1578。  new window
學位論文
1.塗勝傑(1997)。股票報酬率相關係數預測模型之研究--台灣股市實證分析(碩士論文)。東海大學。  延伸查詢new window
2.張家源(1999)。集團企業交叉持股之探討--股價相關性暨市場風險之實證分析(碩士論文)。國立成功大學。  延伸查詢new window
3.陳建宏(1987)。論行業因素與股票報酬率之關係--台灣地區股票上市公司之實證研究(碩士論文)。國立臺灣大學。  延伸查詢new window
4.胡崇銘(2000)。以主成分分析評估基金績效與風險(碩士論文)。國立臺灣大學。  延伸查詢new window
5.林宗賢(1997)。我國開放型共同基金之價值型與成長型投資風格之研究--以P/B與公司規模分類(碩士論文)。國立政治大學。  延伸查詢new window
6.黃世祿(1978)。證券價格行為中市場與產共移性之研究(碩士論文)。淡江大學。  延伸查詢new window
7.謝佩(1991)。投資組合互動模式應用於台灣股票市場之實證研究(碩士論文)。國立成功大學。  延伸查詢new window
圖書
1.Elton, Edwin J.、Gruber, Martin J.(1995)。Modern Portfolio Theory and Investment Analysis。John Wiley and Sons, Inc.。  new window
2.Theil, H.(1971)。Applied Economic Forecasting。Amsterdam:North-Holland。  new window
3.Neter, J.、Wasserman, W.、Kutner, M. H.(1989)。Applied Linear Regression Models。Homewood, IL:New York:Irwin。  new window
 
 
 
 
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