台灣共同基金自1985年成立以來,已經成為台灣投資人很重要的投資工具,因此,評估基金的績效以及基金經理人的能力一直是投資人及學者所關注的焦點,而基金經理人的能力包括擇時及選股的能力,大多台灣的學者都著重在基金的績效,較少學者研究基金經理人的擇時選股能力,而基金經理人的能力對於基金的績效也有很顯著的影響。因此,本篇研究使用傳統模型(或稱非條件式的模型)以及條件式的模型並用月資料及週資料來分別檢視基金經理人的擇時及選股能力,研究樣本為台灣2005至2009年一般股票型的基金。研究結果顯示,不論是傳統模型或條件式模型皆顯示台灣基金經理人有顯著的選股能力,但顯著缺乏擇時的能力。
The evaluation of mutual fund performance and identification of successful fund managers are of great interest to both investors and academics. Two methods that fund managers are presumed to use for generating superior performance are market timing and stock selection. Many previous studies have emphasized the performance of mutual funds, but there has been little analysis of Taiwanese fund managers’ abilities. Therefore, this paper attempts to investigate the market timing and stock selection abilities of Taiwanese mutual fund managers using traditional as well as conditional approaches. With a sample of 77 Taiwanese mutual fund schemes and a study period from January 2005 to December 2009, using both traditional and conditional approaches, a lack of market timing ability and presence of stock selection ability are observed among the Taiwanese fund managers.