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

10.29963/TOJEB.200612.0003

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

條件模式 ； 公開資訊 ； 基金績效 ； 選股與擇時能力 ； Mutual fund ； Attribute ； Performance persistence ； Selectivity and timing ability

真理財經學報

15期（2006 / 12 / 01）

47 - 76

繁體中文

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。

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.

1. 中華民國證券投資信託暨顧問商業同業公會
2. Barber, B.M.,Lyon l D.(1997).Detecting long-run abnormal stock returns: The empirical power and specification of test statistics.Journal of Financial Economics,43,341-372.
3. Breusch, T.,Pagan, A.(1980).The LM Test and Its Applications to Model Specification in Econometrics.Review of Economics Studies,47,239-254.
4. Carhart, M. M.(1997).On persistence in mutual fund performance.Journal of Finance,52(1),57-82.
5. Chang, E.C.,Lewellen, W.G.(1984).Market Timing and Mutual Fund Investment Performance.Journal of Business,57(1),57-72.
6. Fama, E. F.,French, K. R.(1993).Common risk factors in the returns on stocks and bonds.Journal of Finance Economics,33(1),3-56.
7. Ferson W. E.,Schadt, R. W.(1996).Measuring fund strategy and performance in changing economic conditions.The Journal of finance,51(2),425-461.
8. Ferson W. E.,Warther, V. A.(1996).Evaluating fund performance in a dynamic market.Financail analysts journal,55(6),20-28.
9. Gallagher D. R.,Jamecic, E.(2002).The performance of active Australian bond funds.Australian journal of management,27(2),163-185.
10. Golec, J. H.(1996).The effects of mutual fund managers. characteristics on their portfolio performance, risk and fees.Financial Services Review,5(2),133-148.
11. Grinblatt, M.,Titman, S.(1994).A study of mutual fund returns and performance evaluation techniques.The Journal of Financial and Quantitative Analysis,29(3),419-444.
12. Henriksson, RD.(1984).Market Timing and Mutual Fund Performance An Empirical Investigation.Journal of Business,57(1),73-96.
13. Henriksson, RD.,Merton, RC.(1981).On Market Timing and Investment Performance.Journal of Business,54(4),513-533.
14. Ippolito, R A.(1989).Efficiency with costly information: a study of mutual, 1965-1984.Quarterly Journal of Economics,104(1),1-23.
15. Jan, Y. C.,Hung, M.W.(2003).Mutual fund attributes and performance.Financial Services Review,12(2),165-178.
16. Jegadeesh, N.,Titman, S.(1993).Returns to buying winners and selling losers implications for stock market efficiency.Journal of Finance,48(1),65-91.
17. Jensen, M. C.(1968).The performance of mutual funds in the period 1945-1964.Journal of Finance,23(2),389-416.
18. Maddala, G. S.(2001).Introduction to Econometrics.John Wiley & Sons Ltd.
19. Otten, R.,Barns, D.(2004).How to measure mutual fund performance: economic versus satistical relevance.Accounting and Finance,44(2),203-222.
20. Ramasamy, B.,Yeung, M. C. H.(2003).Evaluating mutual funds in an emerging market factors that matter to financial advisors.International Journal of Bank Marketing,21(3),122-136.
21. Ross, S. A.(1976).The arbitrage theory of capital asset pricing.Journal of Economic Theory,13(3),341-360.
22. Sharpe, W. F.(1966).Mutual fund performance.Journal of Business,39(1),119-138.
23. Treynor, J. L.,Mazuy, K. K.(1966).Can mutual funds outguess the market?.Harvard Business Review,44(4),131-136.
24. Treynor. J. L.(1965).How to rate management of investment funds.Harvard Business Review,43(1),63-75.
25. 吳慧君(2002)。碩士論文(碩士論文)。朝陽科技大學財務金融系。
26. 沈芳如(2005)。碩士論文(碩士論文)。政治大學行政管理。
27. 周萬順(2004)。碩士論文(碩士論文)。世新大學經濟學系。
28. 林景春(1995)。無基準投資組合績效評估模式－台灣地區共同基金實證研究。證券市場發展季刊，7(4)，83-114。
29. 邱顯比(1993)。基金績效評估之理論與實務。證券市場發展季刊，19，33-45。
30. 張中伍(2004)。碩士論文(碩士論文)。政治大學經營管理。
31. 許和鈞、巫永森、王綜瑜(1997)。共同基金的類型、規模與其操作績效關係之研究。交大管理學報，17(1)，91-112。
32. 陳安琳、洪嘉苓、李文智(2001)。共同基金經理團隊屬性與基金績效之研究。證券市場發展季刊，13(1)，1-27。
33. 陳哲瑜(2003)。碩士論文(碩士論文)。中正大學企業管理研究所。
34. 楊朝成(1993)。共同基金之績效評估－台灣證券市場之例。證券市場發展季刊，19，9-32。

1. 詹瓊玲、葉智丞(2015)。投資人的人格特質、投資策略、風險態度與心理偏誤：論影響基金績效關鍵因素。嶺東學報，37，151-179。
2. (2007)。運用隨機優勢理論及區別分析建構共同基金投資策略。德明學報，29，1-22。
3. (2008)。投信公司整體管理績效－代理關係及經營策略的觀點。臺灣銀行季刊，59(4)，58-77。