基金集中投資程度、季節性與經理人績效之研究

CONCENTRATION OF MUTUAL FUND, SEASONALITY AND PERFORMANCE OF FUND MANAGER

許博雅(Po-Ya Hsu)

指導教授 ： 陳瑞璽

大同大學/經營設計學院/事業經營學系所/碩士(2006年)

摘要

效率市場假說若成立，則基金經理人之主要角色在消除市場風險及配置一個具有特定風險之組合，以滿足特定投資人之需求。部份文獻上顯示基金經理人有優於市場之資訊以獲取超額報酬，若如此則隱含著市場不具有效率。
為研究基金經理人是否具有優於市場之資訊，本研究探討：當共同基金經理人擺脫傳統分散的投資組合的方式，而集中其投資於特定產業時，是否代表其具有資訊的優勢，因而使其能獲得超額報酬。本研究以台灣2000到2004年一般股票型基金為樣本，計算各個基金於台灣股票市場之集中投資程度，使用Carhart (1997) 的四因子模型計算基金之風險調整後報酬，探討此積極型共同基金是否具有較消極型基金佳之績效。並使用DGTW(1997)的因子持有水準模型判斷基經經理人的選股能力和擇時能力。
除此之外，本文亦考量文獻上發現的季節效應，研究基金經理人投資於特定產業之集中程度是否與季節有關，基金經理人在每年年底可能具有之窗飾(window dressing)行為是否改變基金之持股集中度，因而對上述研究所可能造成的影響。

關鍵字

投資集中度　基金績效　季節性　窗飾

並列摘要

If the efficiency market hypothesis is proved, the fund managers’ main function would be to eliminate the market risk and create a portfolio with specific risk to satisfy the need of the investors. Some research papers imply that the investment market doesn’t possess efficiency when fund managers have the ability to get some information to gain the extra profit.
In order to analyze if the fund managers have the information that are superior to market, we have a discussion in this research paper as follow. When fund managers don’t take the traditional diversified investment method and focus on centralizing their investment in one specific industry. Can we say that they may have the strength in controlling this industry’s information? We use the stock mutual funds of Taiwan during 2000 to 2004 as our sample and calculate the level of their concentration. The method we take is four factors equation which is used by Carhart (1997) and we find the returns without the risk. And then we try to discuss that if the performance of these aggressive mutual funds is higher than the other traditional conservative mutual funds. And uses the holding-based performance measures of DGTW(1997) to examine the overall return of a fund into a characteristic selectivity and characteristic timing.
Besides, we also consider the influences of seasonal cycle mentioned in some research papers. We use this concept to analyze that if there is a relationship between the centralization investment behavior and the seasonal cycle. The other point is if the window dressing behaviors of the fund managers change the level of centralization and affect the result of our research.

並列關鍵字

Fund performance ； Investment concentration ； Seasonality and Window dressing

參考文獻

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