台灣股票型共同基金投資風格與投資績效之關聯性研究

The Relationship between Investment Style and Investment Performance for Taiwanese Stock Mutual Funds

10.6985/TBFQ.201106.0041

馬珂(Ke Ma)；黃明官(Ming-Guan Huang)；吳易修(I-Hsiu Wu)

股票型共同基金 ； 基金投資風格 ； 基金績效評估 ； Stock mutual funds ； Fund investment Style ； Fund performance evaluation

台灣金融財務季刊

12卷2期（2011 / 06 / 01）

41 - 71

繁體中文

隨著基金投資熱潮，近年來關於共同基金投資風格之研究議題亦廣受重視，因此，本研究中乃利用多面向之投資風格評估指標，廣泛且深入地分析與探討台灣股票型共同基金不同之投資風格與所獲致之投資績效間的關聯性。為達成此一研究目標，本研究乃利用縱橫資料迴歸模型以探究所建立之各項基金投資風格評估指標對於投資績效的關聯程度，並從中篩選出投資風格關鍵指標，除了全段研究期間外，本研究亦探討多頭與空頭期間之投資風格效應。實證結果顯示，在多頭期間中對於個股和產業應採行適度分散且平衡配置策略，空頭期間則應採行積極集中且不平衡配置策略。另一方面，實證結果亦呈現「漲時重勢、跌時重質」現象，在多頭期間中持有較多高貝它值與低EPS股票之基金其投資績效表現較佳，而空頭期間恰好與之相反，另外，從市價淨值比指標之實證結果觀察台灣投資人偏好成長型投資甚於價值型投資，高市價淨值比的股票在多頭與空頭期間中皆表現較佳，最後，公司規模與投資績效間之關聯雖並不特別顯著，然皆呈現負向影響，顯示中小型公司之股價表現仍略勝一籌。這些實證發現應可提供給基金經理人決定投資風格及基金投資人篩選共同基金時一定的參考價值。

With the boosting in funds investment, the study issues regarding investment style are followed with interest. Consequently, this study further extensively analyzes the impact relationship between investment style and investment performance for Taiwanese stock mutual funds. To this end, this study uses panel data regression to analyze the relationship between investment style variables considered in this study and investment performance and aim for finding the key impact variables. Besides the overall period, the bullish period and bearish period are also examined. The empirical study evidently indicates that the moderately distributed and unbalanced allocation among stocks and industries in bullish period may get the better investment performance. While, it should be preferable to extremely concentrated and balanced allocation among stocks and industries in bearish period. On the other hand, the investment performances of those funds, which hold a majority of higher beta and/or lower EPS stocks, are superior in bullish period, whereas an opposite outcome is found in bearish period. Additionally, the P/B ratio appears a significantly positive impact on the investment performance regardless of bullish or bearish periods. It implies that Taiwan investors commonly prefer the growth investment to the value investment. By contrast, the capital scale is lesser significance, but a negative effect is constantly revealed through overall period. Middle and small companies are slightly prominent to large companies in the performance of stock price. These empirical findings should render a valuable reference for fund managers in forming investment style and for investors in seeking out the stock mutual funds.

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