- 學位論文
不同基金分類的動能策略與聰明錢效果
The Performance of Momentum Strategy and Smart Money Effect on the Different Kinds of Mutual Fund
摘要
本研究主要探討在台灣共同基金市場不同分類下，動能、反向和動能生命週期策略的績效表現與檢視聰明錢效果是否存在。即以形成期基金報酬率作為分類依據，探討在不同基金分類下，價格動能策略之績效；並以形成期基金規模為分類依據，檢視在不同基金分類下，其規模動能效果；利用Lee 與 Swaminathan（2000）的動能生命週期假說，以基金規模代替基金週轉率，探討在不同基金分類下，早、晚期動能策略之績效；最後分析不同基金分類下，聰明錢效果是否存在，即形成期淨流量大之投資組合於持有期之報酬率是否也較高。本研究的結論如下: 一、開放型及跨國型基金在中、長期有價格動能效果，貨幣型基金於短、中、長期報酬皆顯著為正，平衡型基金則無顯著的報酬率。此外，指數型基金呈現於持有期不同時，投資策略之績效不一致的狀況。 二、除了平衡型基金不具有規模動能效果外，其他分類之基金可利用買進小規模基金組合且賣出大規模基金組合獲得顯著的正報酬。 三、早期動能策略的績效普遍地優於晚期動能策略，且早期動能策略在中、長期時有顯著為正的報酬。 四、整體而言，開放型基金和跨國型基金較無明顯的聰明錢效果，但不論淨流量大小，在中、長期之報酬率皆顯著為正；而平衡型和指數型基金在長期時，才有顯著的聰明錢效果。
並列摘要
The objective of this study is to investigate the performance of momentum strategies, contrarian investment strategies and momentum life cycle hypothesis and examine whether there is the smart money effect under different kinds of mutual funds in Taiwan. We explore the performance of price momentum strategies based on the return of formation period and examine the performance of size momentum strategies based on the size of formation period under different kinds of mutual funds. According to the momentum life cycle hypothesis of Lee and Swaminathan (2000), we use fund size instead of turnover ratio to investigate the performance of early-stage and late-stage momentum life cycle. Finally, we examine whether the higher return of holding period are associated with the higher net flow of formation period to test the smart money effect under different kinds of mutual funds. The main findings are summarized as follow: 1. There are price momentum effect on the open-ended mutual funds, international mutual funds and currency funds over intermediate and long period. The balance mutual funds don’t get profit by using momentum strategy. Moreover, there is inconsistent performance of price momentum strategies under different holding periods in ETF. 2. Except balance funds, other kinds of funds could use the strategy of buying small size funds’ portfolio and selling large one to get significant profit. 3. The performance of early-stage price momentum strategy is better than that of the late-stage price momentum strategy on all kinds of mutual funds. 4. Generally, in the open-ended and international mutual funds, there doesn’t exist the smart money effect. Nevertheless, in the balance mutual funds and ETF, there exists smart money effect over long period.