基金投資組合調整與金融危機

在金融危機發生時，基金經理人該如何應對、投資大眾該如何選擇投資標的都是需要審慎思考的問題。過去學者曾對影響基金績效及基金經理人持有股份公司特徵做出相關研究，但尚無關於在金融危機後影響基金淨值恢復速度之相關研究。本文將分三個面向探討影響基金淨值恢復期間長短之因素。首先針對基金特徵及基金經理人持有公司股份特徵是否影響基金淨值恢復期間做探討；此外亦探討在面對投資者爭相擠兌現象下，基金經理人是否可以針對特定產業之股份做持有或脫出，以助於基金淨值之恢復；最後探討基金經理人在金融危機發生前後之持股密度變化及事件日前後之擇股擇時能力變化與基金淨值恢復期間之關聯性。實證結果發現，除基金規模外，過去影響基金績效之基金特徵皆對基金淨值恢復期間無顯著影響。基金經理人持有之前五大公司特徵亦對恢復期間無顯著影響。在持有產業變化上僅有油電然氣類及生技醫療類有正顯著影響。至於持股密度變化則對基金淨值回復期間有正顯著影響。最後在基金經理人擇股擇時能力變化上僅有擇股能力對恢復期間有負顯著影響。

關鍵字

基金績效；赫氏指數；持有公司特徵； TM模型；擇股擇時能力

並列摘要

How to cope with and choose appropriate investment target during financial crisis are important issues for both fund managers and investors. Past scholars had studied not only the relationship between fund performance and fund characteristics but also company characteristics. But there are no researches about factors that influence net asset value return period. This article investigates the recovery period from five different sections, fund characteristics, company characteristics hold by fund managers, differences in shares held, density differences in shares held and ability of stock and timing selection. According to the regression result, only the fund size has significant impact on recovery period in all fund characteristics. There is no variable has significant impact on recovery period in all company characteristics. Almost all the variables in the differences in shares held are not significant, except for the Biotech & Medical and Oil, gas & Elec. The density difference of shares held is significant for recovery period. The ability of stock selection has negative significant impact on recovery period but the timing selection has no significant impact.