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    题名: 共同基金波動擇時能力之研究-台灣的實證
    作者: 劉進華
    贡献者: 杜化宇
    劉進華
    关键词: 隨機樣本
    隨機投資組合
    波動擇時能力
    報酬擇時能力
    基金績效測量
    波動選股能力
    日期: 2007
    上传时间: 2016-05-06 16:54:49 (UTC+8)
    摘要: 本研究以修改傳統 模型為出發點，探討基金經理人所具備的動態行為特質。傳統模型重點主要放在經理人對於市場報酬率走勢的預期，並未考慮到其對市場未來波動性走勢的預期能力。因此本文認為有失偏頗。故研究方法即加入波動擇時能力特質進入模型，希望能強化傳統模型的擇時能力表現，以更完整地建立有關經理人擇時能力的資訊。
    本研究採用三十支國內股票型共同基金為研究樣本。研究期間為2001//7/1~2005/6/30四年。利用日資料方法來補捉基金經理人每日動態特質，並且建立了隨機投資組合作為比較基準點，期望能更客觀的分析經理人是否具備優良從事交易策略的能力。
    研究結果發現，研究樣本的基金經理人，以三因子或單因子模型分析，多數經理人具備波動擇時能力，但是報酬擇時能力並不顯著。這說明國內共同基金經理人在面對股市的未來報酬高度不確定性，會重視高波動所帶來的高風險。故會在未來走勢高波動時，適時的減少市場風險曝露及投資部位。
    另外，研究結果也發現，當模型中異常報酬考慮到市場上波動時，基金經理人波動選股能力係數並不顯著，故無法說明其會隨著市場波動性改變，而運用選股能力強化績效，創造基金異常報酬。
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    二、英文部分(依作者姓氏字母順序排列)
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    描述: 碩士
    國立政治大學
    經濟學系
    93258032
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0093258032
    数据类型: thesis
    显示于类别:[經濟學系] 學位論文

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