公開資訊與基金特性對股票型基金績效之影響

Public Information, Fund Attributes and Performance of Taiwan Open-end Equity Funds

傅澤偉(Tze-Wei Fu) ； 林曼莉(Mon-Li Lin) ； 沈孟賢(Meng-Hsien Shen)

《真理財經學報》 15期 (2006/12) Pp. 47-76

https://doi.org/10.29963/TOJEB.200612.0003

摘要

本研究進行下列的分析：(1)由於重要的財務資訊發佈可能會影響基金經理人的決策，故而本研究將公開資訊的發佈列為條件；在基金績效評估模式的選擇上，參酌Otten and Bams(2004)的建議，分別進行四因子的未附條件(unconditioned)資產訂價模式和四因子加上四個公開資訊的條件(conditioned)資產訂價模式來評估基金績效，並進一步檢測未附條件模式與條件模式在解釋基金報酬率變異是否有顯著差異。(2)將公開資訊因素及四因子模式加入基金選股與擇時能力模式以更適切評估基金經理人的選股能力與擇時能力。
相較於以往的研究，本研究在統計層面及在經濟層面上提供了較豐富的結果，主要的發現為：(1)加入公開資訊變數的條件模式比未考慮公開資訊的未附條件模式及資本資產定價模式有顯著較佳的解釋能力，建議後續研究可以採用加入公開資訊變數的條件模式來進行基金績效分析；(2)在考量公開資訊、風險及其他重要因素後，國內股票型基金整體績效低於以條件模式所預測的基金應有績效；此結果顯示基金經理人並未具有獲取超額報酬的能力甚至低於應有之績效；(3)投信成立月數與基金績效表現呈顯著正相關；(4)未附條件或附條件的選股及擇時模式均顯示基金經理人不具備選股與擇時能力。

關鍵字

條件模式 ； 公開資訊 ； 基金績效 ； 選股與擇時能力

並列摘要

This study explores the attributes for abnormal returns of mutual funds. We evaluate the performance of mutual fund by using unconditional four-factors model and conditional four-factors model. The four-factors model includes market factor, firm size, book to market and momentum. The samples cover six years, from July 1998 to June 2004. Finally we also analyze the selectivity and timing ability of mutual fund managers.
Our empirical results show that (1) The whole performance of open-end equity funds were lower than zero in both unconditional model and conditional model. (2) The conditional model outperforms unconditional model in explaining the variance of funds' returns. (3) The month of establish in investment trust Co., Ltd. is significantly negative correlated with mutual fund performance. (4) The managers have no market timing ability and market selectivity ability under conditional model and unconditional model.

並列關鍵字

Mutual fund ； Attribute ； Performance persistence ； Selectivity and timing ability

參考文獻

中華民國證券投資信託暨顧問商業同業公會

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