台灣開放式股票型基金超漲抗跌之實證研究—隨機β係數模式之應用

AN EMPIRICAL STUDY OF OUTPERFORMING AND BEATEN-DOWN OPEN-END EQUITY FUNDS IN TAIWAN—AN APPLICATION OF STOCHASTIC β PARAMETER MODELS

梁珍華(CHEN-HUA LIANG)

指導教授 ： 梁世安 ； 古永嘉

國立臺北大學/商學院/企業管理學系/碩士(2009年)

摘要

國內有許多文獻透過基金經理人的擇時與選股能力來評估基金的績效，然而過去研究多延續CAPM假設投資組合的系統風險為一固定常數或二項變數，但對共同基金而言，β風險係數應會依基金經理人對市場的預期而有所調整，故本研究應用隨機β係數，有助於擇時能力之篩選，以供投資人做為投資決策的參考。
本研究之對象為2003年7月至2008年7月滿五年之股票型基金，共154支，採用日資料，共計有1240筆。研究方法以Chen & Stockum(1986)的隨機參數模型為基礎，檢視β係數是否呈現隨機變動；並在隨機參數模型中加入市場多空的虛擬變數，研究每支基金選股與擇時能力的績效評估，是否有超漲抗跌之效果。
實證結果發現台灣股票型基金154支中(1)79%β係數會因擇時行為或非系統因素產生有隨機變動，(2)20%有顯著擇時能力；(3)全無顯著選股能力。(4)國內開放式股票型中，具有擇時能力者，大多在空頭時期表現較佳，具有抗跌效果。(5)擇時與選股能力在多頭時期為顯著負相關，在空頭時期為正相關。

關鍵字

共同基金 ； 擇時能力 ； 選股能力 ； 隨機貝他

並列摘要

Recent years, mutual funds have rapidly grown and become one of the most common investment tools in Taiwan. Two possible methods that are presumed to be used by fund managers for generating superior performance are identified as market timing ability and stock selection ability. Most domestic studies have assumed that astute managers ignore the strength of the market trend and create a binary portfolio beta with one value during up markets and a lower value during down markets.
In contrast, this paper assumes that superior managers should vary their betas gradually in accordance with their expectations of the extent of upcoming market moves. This paper applies a beta structure that adjusts day by day to changing market conditions.
This paper employs daily data from July 1, 2003, to July 31, 2008. The data consist of 154 Taiwan open-end Equity Funds for 1240 days in the period. The methodology this paper used is based on Chen & Stockum’s generalized varying parameter model (1986) to investigate the performance of mutual funds. The model allows beta nonstationarity to include both market timing and random beta behavior. In addition, this paper also utilizes a dummy variable test to examine the varying of each funds’ betas between bull and bear markets.
The Empirical results indicate that about 79 percent of the funds have time-varying betas, none of the funds show significant selection ability, 20 percent indicate significant , positive, market timing performance, and the performance of those superior funds in Taiwan under the bear market are better than bull market. Furthermore, the results show a negative correlation between timing and selection ability under the bull market and a positive correlation under the bear market.

並列關鍵字

mutual fund ； timing ability ； selection ability ； stochastic β

參考文獻

陳佳汎(2007)，台灣股票型共同基金績效之評估，台灣大學國際企業研究所未出版之碩士論文。

陳美雯(2007)，共同基金績效評估與持續性分析，台灣大學國際企業研究所未出版之碩士論文。

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