集中度與共同基金經理人能力之關聯性-以分位數迴歸模型探討

A Study on the Relationship Between the Concentration and Mutual Fund Manager Abilities- Quantile Regression Analysis

沈雅婷(Ya-Ting Shen)

指導教授 ： 趙莊敏

國立臺北科技大學/管理學院/商業自動化與管理研究所/碩士(2008年)

摘要

這篇論文首先是探討產業集度指標、產品集中度指標、集團集中度指標及概念股集中度指標與基金績效之關係，採用分位數迴歸分析（Quantile Regression）來探討在不同的績效水準之基金。本研究發現，只有在產業集中度指標下，最佳的基金效率與集中度指標呈現正向顯著關係。在探討集中度指標與基金效率值之間的關連性後，本研究利用Treynor and Mazuy（1966）所提之Treynor and Mazuy之二次項模型、Fama and French（1993）三因子模型與Carhart (1997)四因子莫型探討基金經理人能力與集中度指標之之關連性。其研究結果顯示，若以整體樣本做模型分析，股票報酬與三種模型均呈現正向顯著；但若以樣本分群做模型分析，大部份股票報酬與三種模型均不顯著。此意謂著經理人是具有獲得異常報酬之選股能力，但在集中度愈大效率也愈大的情況下，其選股能力無顯著性。

關鍵字

分位數迴歸 ； 擇時能力 ； 選股能力 ； 集中度指標 ； 二次項模型 ； 三因子模型 ； 四因子模型

並列摘要

The first purpose of this study is to examine the relationship between the Industry Concentration Index(ICI)、the Product Concentration Index(PCI)、the Concept Concentration Index(CCI)and the Conceptino Share Concentration Index（CSCI） and they are performance using quantile regression analysis in different quantiles. In this paper, we find that just ICI, the best fund ration and concentration index are positive correlated significantly. To evaluate the mutual fund managers’ timing and stock selection abilities for managers under different concentration levels and performance quantiles, we employ the Squared Regression Model of Treynor and Mazuy(1966), the Three-Factor Model of Fama and French(1993), the Four-Factor Model of Carhart(1997). As a result, in the all funds, stock returns and the model kind of there are positive correlated significantly; but in the different deicle, the most of stock returns and three models are no significantly. In summary, this paper finds that managers have stock selection ability; in the ICI and fund efficiency are better high, but no significantly.

並列關鍵字

Quantile Regression Quantile Regression ； Timing Ability ； Stock Selection Ability ； Concentration Index ； Squared Regression Model of Treynor and Mazuy ； Three-Factor Model of Fama and French ； Four-Factor Model of CarhartTiming Ability ； Stock Selection Ability ； Concentration Index ； Squared Regression Model of Treynor and Mazuy ； Three-Factor Model of Fama and French ； Four-Factor Model of Carhart

參考文獻

【7】徐清俊與陳欣怡，「基金經理人擇時能力與選股能力－評估國內股票型基金績效」，大葉學報，第十三卷，第二期，民93，第49-59頁。

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【2】 Carhart, “On Persistence in Mutual Fund Performance”, The Journal of finance, VOL.LII, NO.1,March 1997,pp.57-82.

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