台灣股票型共同基金績效之評估

Measuring the performance of Taiwan equity mutual funds

陳佳汎(Chia-Fan Chen)

指導教授 ： 黃志典

國立臺灣大學/管理學院/國際企業學研究所/碩士(2007年)

https://doi.org/10.6342/NTU.2007.01988

摘要

本研究主要是評估國內股票型共同基金的績效，利用1997年至2006年共十年的觀察期間，163支股票型基金為樣本，來探討國內各類型共同基金經理人是否具有顯著的選股能力與擇時能力，並且檢測國內共同基金的績效表現是否具有持續性。我們依據TEJ台灣經濟新報資料庫，將投資於國內的股票型共同基金分為科技型、一般型、中小型、價值型、特殊型以及中概股型等六種類型的基金，依序利用CAPM單因子模型、Carhart四因子模型來評估基金經理人的選股能力，再利用Chang and Lewellen擇時模型來檢驗基金經理人的擇時能力。本研究特別在Carhart四因子模型中導入了可隨時間變化的 係數，建立條件迴歸模型，允許基金經理人在接受了各種公開經濟變數的資訊後，改變基金的操作策略，以期模型能更貼近實際狀況。
在實證結果方面，CAPM單因子模型、Carhart四因子模型與條件迴歸模型的檢測結果均發現，整體而言國內基金經理人不具備選股能力；進一步檢驗各類型基金，Carhart四因子模型與條件迴歸模型得到了近似的結果：國內共同基金的績效表現普遍低於大盤，而且無論是何種類型的基金經理人都不具備選股能力。此外，Wald test的檢定結果也給予了強烈證據支持條件迴歸模型中 係數的時變性。而在基金經理人的擇時能力方面，研究結果顯示無論是整體基金或是各類型的基金，其基金經理人皆不具備擇時能力，這與國內過去大多數研究的實證結果一致。論文最後分別以半年與一年做為共同基金的績效衡量期間，以探討基金績效的持續性。我們發現，無論績效衡量期間為半年或一年，整體基金與各類型的基金績效均未顯示出績效持續的現象。

關鍵字

共同基金 ； 條件迴歸模型 ； 選股能力 ； 擇時能力 ； 持續性

並列摘要

In the present study a comprehensive assessment of equity mutual funds’ performance in Taiwan is presented. Using the sample of 163 funds for the period of 1997-2006, we investigate the stock-picking and market-timing ability of mutual fund managers and examine whether persistence in mutual fund performance exists in the Taiwan market. Employing the data from Taiwan Economic Journal, we subdivide all domestic equity funds into six subgroups: high-tech; general equity; medium and small cap; value; special situation; and China conceptual funds. We first measure fund managers’ stock-picking ability by utilizing one-factor CAPM and Carhart four-factor models, and subsequently Chang and Lewellen model is used to determine whether fund managers deliver good market timing. We also construct conditional four-factor model by introducing time-variation in betas, allowing managers to trade on publicly available information and employ dynamic strategies.
One-factor CAPM, Carhart four-factor and conditional four-factor models give the same result that in general fund managers do not possess good stock-picking ability. Looking into each subgroup, Carhart four-factor model and conditional four-factor model obtain the similar conclusion that managers of all subgroups do not have stock-picking ability and under-perform the market index. Besides, Wald test provides significant evidence for time-varying betas in conditional four-factor models. Consistent with prior findings from domestic mutual funds, there is no evidence of timing ability by the fund managers. Finally, we do not find the existence of persistence in mutual fund performance over either half-year or one-year horizons.

並列關鍵字

Mutual funds ； Conditional model ； Selectivity ； Timing ability ； Persistence

參考文獻

楊朝成、廖咸興（民83），台灣封閉型基金擇時能力之研究─持股比率分析，台大管理論叢，第九卷第一期，87-111頁。

Blake, D., and Timmermann, A., 1998, Mutual fund performance: Evidence from the UK, European Finance Review 2, 55-77.

Carhart, M., 1997, On persistence in mutual fund performance, Journal of Finance 52, 57-82.

Chang, E. C. and W. G. Lewellen, 1984, Market timing and mutual fund investment perform¬ance, Journal of Business 57, 57-72.

Daniel K., M. Grinblatt, S. Titman and R. Wermers, 1997, Measuring mutual fund per-form¬ance with characteristic-based benchmarks, Journal of Finance 52, 1035-1058.