基金經理人偏態偏好與基金績效之研究

Mutual Fund Management's Skewness Preference and Performance Evaluation

莊鴻鳴(Huang-Ming Chuang) ； 林淑瑜(Shu-Yu Lin)

《國立虎尾科技大學學報》 28卷3期 (2009/09) Pp. 39-51

https://doi.org/10.6425/JNHUST.200909.0039

摘要

本文選取1986年1月4日至2008年12月31日間所發行的五大類基金股票型共同基金的日資料爲研究樣本，以研究三主題：一、以偏態係數與Cornish and Fisher (1937)所發展的(上標 q)衡量值研究台灣五大類型股票型基金的基金經理人的偏態偏好；二、研究基金投資組合的未分散性風險與基金偏態的關係；三、擴充Modigliani and Modigliani (1997)的風險調整績效衡量以研究台灣五大類型股票型基金考慮下方風險後的績效。本文的結論如下：一、價值型基金經理人較偏好負偏態投資，高科技基金與指數型基金較偏好負偏態小的投資；二、中小型基金的基金經理人較側重負偏態的股票，但價值型基金則較側重正偏態的股票；三、高科技基金、指數型基金兩者為高下方風險的基金類群，價值型基金則爲低下方風險的基金類群；四、調整下方風險後，指數型基金與高科技基金爲低績效群，價值型基金中、中小型基金及一般型基金爲高績效群；五、除了指數型基金，其餘四大類型的調整下方風險後，績效優於市場報酬的基金檔數皆高於績效低於市場報酬的基金檔數。

關鍵字

偏態偏好 ； 下方風險 ； 績效評估

並列摘要

This paper utilizes daily data for five group mutual funds from January 4, 1986 to December 31, 2008 to examine the three issues: (1) The skewness preference of mutual fund manager; (2) The relationship between idiosyncratic risk and the skewness preference; (3) The adjusted downside risk performance of five group mutual funds. We find that (1) The value and small-middle-cap mutual fund managers prefer to invest stocks with negative skewness, high-tech mutual fund managers prefer to invest stocks with small negative skewness; (2) The high-tech and index mutual funds both are high downside risk groups, but value fund is low downside risk group; (3) Discussing the adjusted downside risk, high-tech and index mutual funds are low performance groups, but value fund, small-middle-cap fund, and general equity fund are high performance groups; (4) The adjusted downside risk, expect for index fund, the numbers of mutual fund with performance superior to market index are more than that of mutual fund with performance less than market index among other four groups.

並列關鍵字

Skewness preference and ； Downside risk ； Performance evaluation

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