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題名:臺灣股票型共同基金投資風格與投資績效之關聯性研究
書刊名:臺灣金融財務季刊
作者:馬珂 引用關係黃明官 引用關係吳易修
作者(外文):Ma, KeHuang, Ming-guanWu, I-hsiu
出版日期:2011
卷期:12:2
頁次:頁41-71
主題關鍵詞:股票型共同基金基金投資風格基金績效評估Stock mutual fundsFund investment styleFund performance evaluation
原始連結:連回原系統網址new window
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  • 共同引用共同引用:28
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隨著基金投資熱潮,近年來關於共同基金投資風格之研究議題亦廣受重視,因此,本研究中乃利用多面向之投資風格評估指標,廣泛且深入地分析與探討台灣股票型共同基金不同之投資風格與所獲致之投資績效間的關聯性。為達成此一研究目標,本研究乃利用縱橫資料迴歸模型以探究所建立之各項基金投資風格評估指標對於投資績效的關聯程度,並從中篩選出投資風格關鍵指標,除了全段研究期間外,本研究亦探討多頭與空頭期間之投資風格效應。實證結果顯示,在多頭期間中對於個股和產業應採行適度分散且平衡配置策略,空頭期間則應採行積極集中且不平衡配置策略。另一方面,實證結果亦呈現「漲時重勢、跌時重質」現象,在多頭期間中持有較多高貝它值與低EPS股票之基金其投資績效表現較佳,而空頭期間恰好與之相反,另外,從市價淨值比指標之實證結果觀察台灣投資人偏好成長型投資甚於價值型投資,高市價淨值比的股票在多頭與空頭期間中皆表現較佳,最後,公司規模與投資績效間之關聯雖並不特別顯著,然皆呈現負向影響,顯示中小型公司之股價表現仍略勝一籌。這些實證發現應可提供給基金經理人決定投資風格及基金投資人篩選共同基金時一定的參考價值。
With the boosting in funds investment, the study issues regarding investment style are followed with interest. Consequently, this study further extensively analyzes the impact relationship between investment style and investment performance for Taiwanese stock mutual funds. To this end, this study uses panel data regression to analyze the relationship between investment style variables considered in this study and investment performance and aim for finding the key impact variables. Besides the overall period, the bullish period and bearish period are also examined. The empirical study evidently indicates that the moderately distributed and unbalanced allocation among stocks and industries in bullish period may get the better investment performance. While, it should be preferable to extremely concentrated and balanced allocation among stocks and industries in bearish period. On the other hand, the investment performances of those funds, which hold a majority of higher beta and/or lower EPS stocks, are superior in bullish period, whereas an opposite outcome is found in bearish period. Additionally, the P/B ratio appears a significantly positive impact on the investment performance regardless of bullish or bearish periods. It implies that Taiwan investors commonly prefer the growth investment to the value investment. By contrast, the capital scale is lesser significance, but a negative effect is constantly revealed through overall period. Middle and small companies are slightly prominent to large companies in the performance of stock price. These empirical findings should render a valuable reference for fund managers in forming investment style and for investors in seeking out the stock mutual funds.
期刊論文
1.王佳真、徐辜元宏(20040600)。風險值的應用與臺灣共同基金績效指標之持續性。臺大管理論叢,14(2),23-47。new window  延伸查詢new window
2.Arshanapalli, B. T.、Coggin, D.、Doukas, J. A.(1998)。Multifactor Asset Pricing Analysis of International Value Investment Strategies。The Journal of Portfolio Management,24(4),10-23。  new window
3.邱正仁、陳文進、高蘭芬(20010300)。影響創業投資事業投資報酬因素之研究。中山管理評論,9(1),11-35。new window  延伸查詢new window
4.Capaul, Carlo、Rowley, Ian、Sharpe, William F.(1993)。International Value and Growth Stock Returns。Financial Analysts Journal,49(1),27-36。  new window
5.Basu, S.(1977)。Investment Performance of Common Stocks in Relation to Their Price-earnings Ratios: A Test of the Efficient Market Hypothesis。Journal of Finance,32(3),663-682。  new window
6.Sharpe, William F.(1966)。Mutual fund performance。Journal of Business,39(1),119-138。  new window
7.李春安、賴藝文(20050800)。股市劇烈變動區間臺灣股票市場與本國機構投資人從眾行為之研究。臺灣管理學刊,5(2),231-267。new window  延伸查詢new window
8.Petkova, Ralitsa、Zhang, Lu(2005)。Is Value Riskier than Growth?。Journal of Financial Economics,78(1),187-202。  new window
9.Chan, Louis K. C.、Lakonishok, Josef、Hamao, Yasushi(1991)。Fundamentals and Stock Returns in Japan。The Journal of Finance,46(5),1739-1789。  new window
10.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1994)。Contrarian Investment, Extrapolation, and Risk。Journal of Finance,49(5),1541-1578。  new window
11.Rosenberg, Barr、Reid, Kenneth、Lanstein, Ronald(1985)。Persuasive evidence of market inefficiency。Journal of Portfolio Management,11(3),9-16。  new window
12.Fama, Eugene F.、French, Kenneth R.(1998)。Value Versus Growth: The International Evidence。The Journal of Finance,53(6),1975-1999。  new window
學位論文
1.陳巧玲(2004)。價值型投資風格於台灣股票市場之研究(碩士論文)。國立政治大學。  延伸查詢new window
其他
1.吳建宏(2009)。國內金融業壞帳管理之影響因素分析。  延伸查詢new window
2.許光華、李見發、嚴宗銘、吳采真(2010)。價值股與成長股的投資策略分析--考量股市循環之實證。  延伸查詢new window
3.莊忠柱、王子湄(2002)。基金經理人存活時間的計量模型--臺灣的經驗。  延伸查詢new window
4.楊馥如、吳宛璇(2008)。開放型股票基金之風格分類與績效評估。  延伸查詢new window
5.陳信憲、王南喻、陳俐君(2006)。共同基金流量、規模與基金績效關係之研究。  延伸查詢new window
6.陳麗蓉(2006)。國內股票基金投資風格、績效及規模變化之實證研究。  延伸查詢new window
7.黃淑貞(2001)。基金流量、投資風格與從眾行為。  延伸查詢new window
8.康惠媚(2005)。臺灣股票型基金之投資風格指數研究。  延伸查詢new window
9.鐘惠民、周賓凰、孫而音(2009)。財務計量E-views 的運用,台北市:新陸書局。  延伸查詢new window
10.Ahmed, P. and S. Nanda(2001)。Style Investing: Incorporating Growth Characteristics in Value Stocks。  new window
11.Black, A. J.(2002)。The Impact of Monetary Policy on Value and Growth Stocks: An International Evaluation。  new window
 
 
 
 
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