應用動能策略於股票型基金

本研究旨在分析2013年至2018年間的國內股票型基金。參考Jegadeesh and Titman (1993) 所提出的動能策略方法，透過以基金過去之報酬率為基礎，當作建立投資組合的主要指標。探討在3個月、6個月、9個月、以及12個月期間下，不同方法和不同持有期間之動能策略是否可用於台灣股票型基金，且有無存在反應不足。在形成贏家與輸家投資組合上，分別針對使用買進持有報酬率(BHR)與市場模式(Market Model)估計預期報酬的累積異常報酬率(CAR)，此兩種篩選方法，以比較贏家基金是否績效會較佳，並進一步了解基金績效是否具有持續性。實證結果發現，台灣股票型基金市場中，確實存在動能效應，以基金過去績效排名的資訊來建構動能策略，投資人將可獲得異常報酬。不管以買進持有報酬率(BHR)還是以累積異常報酬率(CAR)之方法下，皆是有短期反應不足。若從買贏家投資組合與買輸家投資組合來說，用買進持有報酬率(BHR)的方式，結果會比以累積異常報酬率(CAR)有較高的報酬，尤其是贏家基金績效表現會較佳，可以打敗大盤，而報酬率最高在持有9個月時，但至持有12個月時會下降。因此，本研究建議基金投資人可以採用買進持有報酬率(BHR)的方式來篩選基金，並且以買進持有之方式來買贏家投資組合，所建構的動能策略報酬會較高。而雖然基金績效持續性確實存在，但僅存在於短期。

關鍵字

買進持有報酬率；累積異常報酬率；股票型基金；動能策略；績效持續性

並列摘要

This study attempts to analyze domestic equity mutual funds from 2013 to 2018. We employed the momentum strategy of Jegadeesh and Titman (1993), estimating historical return of mutual funds as reference of investment portfolios. To investigate the momentum strategy under these methods with different holding periods at three, six, nine, and twelve months can be applied to equity mutual funds in Taiwan and observing whether their performance is under-reaction. In the formation of winner and loser investment portfolios, the study applies the buy-and-hold return (BHR) and the cumulative abnormal return (CAR) that expected return is estimated by the market model as a basis of two screening methods. To compare whether the winner funds have better performance or not and it is then to further understand whether performance persistence exists in Taiwan. The empirical results show that there has the momentum effect in Taiwan equity fund market and investors will get abnormal return if they construct momentum strategy based on the information of funds’ past performance rankings. Regardless of whether the BHR or the CAR, there are presented short term under-reaction. From the perspective of buying winner portfolios and buying loser portfolios, by means of the BHR, the return will be higher than the CAR, especially for the winner funds. The rate of return can surpass the Index and peaks at nine-month holding periods, but declines at twelve-month. Therefore, this study suggests that fund investors can construct a momentum strategy by using the method of the BHR to select funds, and with the buy-and-hold approach to buy winner portfolios, resulting the higher fund returns. Although the persistence in fund performance is only in short term.