ETF成立的理論基礎探討

Research on Theoretical Principle of ETF

賴朝隆(Denny Lai)

《台北海洋技術學院學報》 2卷2期 (2009/09) Pp. 1-13

https://doi.org/10.29770/JTCMT.200909.0001

摘要

ETF的成立是基於有效市場理論和現代投資組合理論。但同時也存在許多不可辯駁的主動投資有效的反例。反對者甚至從理論假設的基礎上來進行反駁。但是支持者認爲，市場即便不是完全有效的、混沌的，股價也並非完全遵循隨機遊走過程，理論上講的超額收益如果不能大到足以在抵扣交易成本和管理費用之後還有正的收益，指數化投資仍將優於主動管理型投資。指數基金的理論基礎是有效市場理論和現代投資組合理論。有效市場理論認爲人們無法通過主動的研究和分析來發現價格被低估的股票，也就是不能持續獲得超過市場平均水準的收益。爲了證明指數化投資基金成立的合理性，首先需要分析資本市場有效性問題。其次，現代投資組合理論認爲具有最優風險－收益組合的投資組合就是市場投資組合，而能獲得市場投資組合收益的就是追蹤市場投資組合的指數基金。此，爲了解釋指數基金成立的理論依據，我們需要分析有效市場理論和現代投資組合理論，本文著重有效市場理論之探討。

並列摘要

The theoretical principle of ETF is based on Efficient Markets Hypothesis and Modern Portfolio Theory. However, there are some incontestable counterexamples of active investment and even its theoretical hypotheses are contradicted by some opponents. Nonetheless, supporters believe that the stock price does not follow Random Walk completely even though the market is ineffective and chaotic.
In theory, indexing investment is superior to active investment if there is no benefit when transaction costs and management expenses are subtracted from superior earnings. The theoretical principle of Index Funds is Efficient Markets Hypothesis and Modern Portfolio Theory. According to Efficient Markets Hypothesis, human beings cannot find the under-valued stocks by active research, so we cannot acquire benefits above the average level in market.
In order to demonstrate the rationality of ETF, we need to analyze the effectiveness of security market firstly. Then, in Modern Portfolio Theory, the market portfolio is optimal for risk-income., and it is the ETF following the market portfolio that is able to earn the income of market portfolio. In order to explain the theoretical basis of ETF, we need to make analysis of Efficient Markets Hypothesis and Modern Portfolio Theory. The former is in the focus of this paper.