台灣平衡型基金績效衡量指標及特徵因子之研究

Balanced Fund Performance and Characteristics in Taiwan

周靜芬(Ching-fen,Chou)

指導教授 ： 顧廣平

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.00453

摘要

隨著共同基金成為投資人重要投資工具之一，探討共同基金相關課題之學術研究也隨之大幅增加。本研究利用Black, Jensen and Scholes(1972)的市場單因子模式、Fama and French(1993)之市場、規模、淨值市價比三因子模式、Carhart(1997)之市場、規模、淨值市價比、動能四因子模式等三種國內外最常引用之因子模式，以及增加利率因子之市場、利率二因子模式；市場、規模、淨值市價比、利率四因子模式；市場、規模、淨值市價比、動能、利率五因子模式等三種增加利率因子之模式。判斷各因子對平衡型基金超額報酬變異是否具有解釋能力，以瞭解各基金特徵對基金績效之預測能力。另外，由基金特徵來探討對平衡型基金績效之預測能力，國內平衡型基金經理人藉由對市場的看法，藉由股、債間靈活調整，達到「進可攻、退可守」的資產配置能力。而本研究亦發現國內平衡型基金規模與基金績效間呈正向變動，故投資人在投資國內平衡型基金時，除了考量經理費及保管費外，應將平衡型基金資產規模納入考量，才能使投資更具有效率。

關鍵字

平衡型基金 ； 基金特徵

並列摘要

Since the mutual funds is influential to investors’ capital management, it becomes an important topical subject of research. The popular indices of personal performance evaluation, Goetzmann and Ibbotson (1994)、Brown, Goetzmann and Ross (1995)、Elton, Gruber, and Blake (1996), have a number of reported in the literature. This study tries to use a Black, Jensen and Scholes(1972)’s one factor model,Fama and French(1993)’s three factor model(market factor, size-related factor, book-to-market related factor) and Carhart(1997)’s four factor model (Fama-French three- factor model and momentum factor to assemble into four-factor model) and proposes the five-factor model that includes the fifth factor, bond index to evaluate the characteristics of the mutual funds in Taiwan and further to examine the influential factors on efficiency. The research period of this study is three years from 2002 to 2006 and this study consists of 1570 samples .The research results reveal that the Carhart(1997)’s four factor model and five-factor model is due to more efficiently and then both the academician and the practitioner benefit from this research.Then we compare the domestic stocks and bond market to see how they management the. mutual fund Finally, we provide the investors with some ideas how to choose a better fund by considering some factors: asset size, total fees ratio, and custodian fee.

並列關鍵字

balance fund ； fund characteristics

參考文獻

顧廣平(2005)，「單因子、三因子或四因子模式」，《證券市場發展季刊》，第17卷第2期，101-145。

Admati, A.R. and S.A. Ross, 1985, “Measuring investment performance in rational expectations equilibrium model,” Journal of Business , 58, 1-26.

Brown, S. J. and W.N. Goetzmann, 1995, “Performance persistence,”Journal of Finance, 50, 679-698.

Blake, Christopher R., Edwin J. Elton and Martin J. Gruber, 1993, “The performance of bond mutual funds,” Journal of Business , 66, 371-403.

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