品牌價值對品牌系列基金績效之影響

The Impact of Brand Value on The Performance of Brand Fund

張珮宜(Pei-Yee Chang)

指導教授 ： 胡為善 ； 陳瓊蓉

中原大學/商學院/企業管理學系/碩士(2007年)

https://doi.org/10.6840/cycu200700718

摘要

本研究試圖以基金績效評估模式中之多因子模型(三因子模型(Fama and French,1993)及四因子模型(Carhat,1997) )為基礎，探討加入品牌價值因子(Brand Value; BV)，以建構五因子模型的可能性，並探討企業的品牌價值對於品牌系列基金績效的影響，且採用追蹤資料模式(Panel Data Model)方法加以分析。　
　　至於品牌價值部分，研究文獻中以消費者的知覺品質、知覺價值及購買決策對企業價值的影響，推論出品牌價值與品牌系列基金績效的關係，本研究係採用國際品牌公司(Interbrand )每年公佈的全球前100大品牌排名作為品牌系列基金的最終篩選方法。
　　經由實證研究結果，本研究獲得以下結論：
1.在Jensen index下，不論短期或長期持有期間，多數的品牌系列基金皆有超越大盤S&P500之績效表現。
2.使用多因子模型，衡量品牌系列基金的績效表現，比傳統共同基金績效衡量模型好。
3.所有品牌系列基金樣本，因各模型實證的Alpha值皆顯著大於零，故具有正向選股能力。
4.各因子對品牌系列基金經理人的操盤策略影響：
(1)市場因子－品牌系列基金的變動方向與市場景氣呈相反方向，且具有領漲抗跌的特性。
(2)規模因子－在三因子模型中為顯著的正値。表若SMBt為負値，代表小公司投資組合的報酬率大於大公司投資組合的報酬率，表示有正向的規模效果存在。反向規模效應存在，代表品牌系列基金經理人採取相對較穩健的投資操盤策略。
(3)淨值市價比因子－和品牌系列基金成顯著負向關係。
(4)前期累積報酬因子－和品牌系列基金成顯著正向關係，代表品牌系列基金經理人採取相對強勢策略。
(5)品牌價值因子－於五因子模型中不顯著，其原因有二，一為基金成分股品牌價值數據取得不易，此外，由於在任一基金中，投資組合大小間的設定差距不大，導致品牌價值因子對品牌系列基金績效的不敏感。
　　綜上所述，故本研究的實證結果發現，在現階段衡量品牌系列基金的績效表現，較佳模型為四因子模型。

關鍵字

奢侈品基金 ； 四因子模型 ； 品牌基金 ； 追蹤資料模式 ； 品牌價值 ； 多因子模型 ； 五因子模型

並列摘要

Ｔhis study investigates the impact of brand value on the performance of brand fund by utilizing Fama and French’ s (1993) three-factor model and Carhat’ s (1997) four-factor model to measure the return of the brand fund. Additionally, this work attempts to examine the possibility of constructing construct a five-factor model by adding the brand value parameter and utilizing the Panel Data model.
Based on previous literatures, this study explores the relationship between brand value and the performance of brand fund by examining the impact of perceived quality, perceived value purchasing decision of customer’s behavior on coporate value. Moreover, this work selects the brand fund portfolio based on the top 100 brand valuation ranking from Interbrand Data since 2003 to 2006.
The conclusions are summarized as follows:
1. The finding indicates that most brand funds outperforms S&P 500 index in various holding periods via Jensen index.
2. This study finds that the multi-factor models outperform the traditional valuation models when the brand fund is examined.
3. All brand funds have the ability of selecting proper stocks.
4. The impacts of various factors on the operating strategies by brand fund managers are summarized as follows: (1) There is a negative relationship between the market rate of return and brand fund performance; (2) The size factor has a significantly negative relationship with the strategy of brand fund managers; (3) The book-to-market ratio has a significantly negative relationship with brand fund performance; (4) Previous cumulative return parameter has a significantly positive relationship with brand fund performance, suggesting that brand fund managers adopt the relatively dominant strategy; (5) The brand value factor does not significantly relates with the brand fund performance. The possible explanations are: (i) it is very hard to obtain every brand name which was selected in each brand fund; (ii) the brand value factor is not sensitive to brand fund performance due to small distinction among various portfolios.
In summary, this study finds that the most suitable model for measuring the performance of brand fund is the four-factor models rather than five-factor model.

並列關鍵字

Brand Fund ； Multi-factor Models ； Four-factor model ； Panel Data Model ； Brand Value ； Five-factor model ； Luxury Fund

參考文獻

2.Aaker, David A. (1992), “The Value of Brand Equity,” Journal of Business Strategy, Vol. 13, (4), pp. 27-32.

3.Fama, Eugene F. and Kenneth R. French (1993),”Common risk factors in the returns on stocks and bonds, “Journal of Financial Economics, Vol 33,pp. 3-56.

4.Carhart, Mark M.(1997), “On persistence in mutual fund performance, ” Journal of Finance , Vol.52, pp.57-82.

5.Dodds, W. B. and K. B. Monroe (1985), “The Effects of Brond and Price Information on Subjective Product Evaluations, ” in Advances in Consumer Research, Vol.12.

6.Fama, E. F., and K. R. French (1995), “Size and Book-to- Market Factors in Earnings and Returns.” Journal of Finance Vol. 50, pp. 131-155.