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題名:A Comparison of Dollar-Cost Averaging with Lump-Sum Investing for Mutual Funds
書刊名:管理與系統
作者:劉永欽 引用關係陳香如 引用關係劉偉健
作者(外文):Liu, Yong-chinChen, Hsiang-juLiu, Wei-jian
出版日期:2008
卷期:15:4
頁次:頁563-590
主題關鍵詞:定期定額法單筆總額法年化報酬率淨資產價值開放式股票型基金Dollar-cost averagingLump-sum investingAnnualized returnNet asset valueOpen-end equity funds
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(9) 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:9
  • 共同引用共同引用:0
  • 點閱點閱:47
本文比較兩種投資共同基金方法-定期定額法與單筆總額法-之績效優劣。過去實證研究大多發現單筆投資的績效優於定期定額法,但實務界與投資學書籍卻極力推薦後者。本文認爲過去研究多只考慮短期投資(一年以內),及樣本期間始至股市初期發展階段可能是影響實證結果的關鍵因素,爰以2000/1~2006/5台灣的開放式股票型基金爲樣本,比較兩種方法產生的短、長期(包括一至五年)原始和風險調整後的年化報酬率(每種再分爲單利與複利)之大小,並以數種期間起點的台股指數作穩健性檢定的樣本,統計方法是成對樣本T檢定與無母數檢定。實證發現,長期投資下,定期定額法比單筆總額法有較高的報酬和較低的風險,且隨著投資時間延長,前者的風險愈低、報酬愈高,這可能與淨值波動性較高有關。再者,納入較早期的股市資料確會提高總額法的績效,表示價格走勢是影響兩方法比較結果的因素之一,但即使如此,採定期定額法時,若將尚未投入之資金先投資在無風險資產,則當無風險利率愈低,單筆法可能稍優於定期定額法,但當無風險報酬增加,即使是短期投資,定期定額即優於單筆投資。
This paper empirically compares the performance between Dollar-Cost Averaging (DCA) and Lump-Sum (LS) strategies in mutual fund investment. Most previous empirical studies find LS's performance surpass DCA's; however, the DCA strategy is advocated by many practitioners and long recommended by investment textbooks. This paper conjectures that only short-term investments (short than one year) examined by precedent articles and the simulating horizons containing the early time of stock market development might be the critical factors impacting their empirical results. In this paper, taking open-end equity funds traded in Taiwan from January 2000 to May 2006 as a sample, both the original and risk-adjusted annualized returns, where simple and compounded returns are calculated for each, across short-and long-term (1-5 year horizons) investments by DCA and LS are separately compared using paired-sample t-and nonparametric tests. Also, various beginning times for investing into Taiwan stock index are employed to perform the robustness check. The findings are that DCA possesses higher mean-variance efficiency than LS strategy in the long run. Adopting a DCA policy, the longer the averaging time, the greater the risk declines and terminal wealth increases; the reason may be that the funds' net asset values exhibit relatively higher volatility. Moreover, using the early-era stock prices enhances the LS's performance, revealing the price sequence may be a critical factor. Though the lower risk-free return, where the total amount is initially invested in this return and then gradually shifted to mutual funds in equal monthly installments by DCA, probably decreases DCA's performance and leads to LS slightly beating DCA, as that return boosts, DCA will outperform LS even if in the short term.
期刊論文
1.Pye, G.(1971)。Minimax Policies for Selling an Asset and Dollar averaging。Management Science,17(7),379-393。  new window
2.Abeysekera, S. P.、Rosenbloom, E. S.(2000)。A simulation model between lump sum and dollar-cost averaging。Journal of Financial Planning,13(6),86-92。  new window
3.Constantinides, G. M.(1979)。A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy。Journal of Financial and Quantitative Analysis,14(2),443-450。  new window
4.Leggio, K. B.、Lien, D.(2003)。An empirical examination of the effectiveness of dollar-cost averaging using downside risk performance measure。Journal of Economics and Finance,27(2),211-223。  new window
5.Statman, M.(1995)。A Behavioral Framework for Dollar-Cost Averaging。The Journal of Portfolio Management,22(1),70-78。  new window
6.Williams, R. E.、Bacon, P. W.(1993)。Lump Sum Beats Dollar-cost Averaging。Journal of Financial Planning,6(2),64-67。  new window
7.Israelsen, C. L.(1999)。Lump Sums Take Their Lumps。Financial Planning,29(1),51-56。  new window
8.Dubil, Robert(2005)。Lifetime Dollar-Cost Averaging: Forget Cost Savings, Think Risk Reduction。Journal of Financial Planning,18(10),86-88+90。  new window
9.Leggio, K. B.、Lien, D.(2001)。Does Loss Aversion Explain Dollar-cost Averaging?。Financial Services Review,10(1-4),117-127。  new window
10.Bacon, P. W.、Williams, R. E.、Ainina, M. F.(1997)。Does Dollar-cost Averaging Work for Bonds?。Journal of Financial Planning,10(3),78-80。  new window
11.Bierman, H. Jr.、Hass, J. E.(2004)。Dollar-cost Averaging。Journal of Investing,13(4),21-24。  new window
12.Atra, R. J.、Mann, T. L.(2001)。Dollar-cost Averaging and Seasonality: Some International Evidence。Journal of Financial Planning,14(7),98-103。  new window
13.Knight, J. R.、Mandell, L.(1993)。Nobody Gains from Dollar-cost Averaging: Analytical, Numerical and Empirical Results。Financial Services Review,2(1),51-61。  new window
14.Rozeff, M. S.(1994)。Lump-sum Investing versus Dollar Averaging。The Journal of Portfolio Management,20(2),45-50。  new window
15.Olsen, R. A.、Khaki, M.(1998)。Risk, Rationality, and Time Diversification。Financial Analysts Journal,54(5),58-63。  new window
16.Milevsky, M. A.、Posner, S. E.(2003)。A Continuous-time Reexamination of Dollar-cost Averaging。International Journal of Theoretical and Applied Finance,6(2),173-194。  new window
17.Edleson, M. E.(198808)。Value Averaging: A New Approach to Accumulation。American Association of Individual Investors Journal,11-14。  new window
學位論文
1.林真如(1997)。投資持有期間與資產風險分散關係之研究(碩士論文)。國立臺灣大學。  延伸查詢new window
2.張博皓(2001)。定期定額投資的特性及其績效表現之實證(碩士論文)。國立成功大學。  延伸查詢new window
3.黃鏡宇(1999)。台灣股市投資期間效果之研究(碩士論文)。國立臺灣大學。  延伸查詢new window
4.羅時芳(2001)。調整風險後定時定額投資與總額投資之績效評估,0。  延伸查詢new window
5.黃俊傑(2002)。時間分散風險理論之實證研究:以主要國際股市為例,0。  延伸查詢new window
6.李憲良(2005)。共同基金在不同投資策略下投資效益之研究:以定期定額、定期不定額及單筆投資為研究對象,0。  延伸查詢new window
圖書
1.Yates, F.(1992)。Risk-Taking Behavior。New York, NY:John Wiley & Sons, Inc.。  new window
2.Malkiel, B. G.(1999)。A Random Walk Down Wall Street。New York:W.W. Norton and Company。  new window
3.Lopes, L.(1995)。Algebra and Process in the Modeling of Risky Choice。Decision Making from a Cognitive Perspective。New York, NY。  new window
4.Goodman, J. E.、Bloch, S.(1994)。Everyone's Money Book。Everyone's Money Book。Chicago, IL。  new window
5.Smith, R. K.、Proffitt, D. L.、Stephens, A. A.(1992)。Investment。Investment。USA。  new window
 
 
 
 
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