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| Title: | 定期定額與單筆投資之投資績效比較：以台灣50ETF及VTI為例
A Comparison of the Performance for Dollar Cost Averaging and Lump Sum Investing: Evidence from Taiwan 50 ETF and VTI ETF |
| Authors: | 林世寰
Lin, Shr-Huan |
| Contributors: | 周冠男
林世寰
Lin, Shr-Huan |
| Keywords: | 總額投資
定期定額
定錨效應
過度自信
Dollar cost averaging
Lump sum
Anchoring effect
Overconfidence |
| Date: | 2021 |
| Issue Date: | 2022-02-10 13:02:33 (UTC+8) |
| Abstract: | 本研究旨在分析在對指數股票型基金進行投資時，分別以定期定額投資及整筆投資的情況下，績效是否會有差異。本研究針對國內指數股票型基金元大臺灣卓越50證券投資信託基金（以下簡稱“台灣50ETF”）及國外指數股票型基金Vanguard整體股市ETF（以下簡稱“VTI”），蒐集2006年1月至2020年12月之考量除權息後之每月末交易日還原股價，並設定不同投資期限，包括1年、5年、10年及15年，分別計算定期定額投資及單筆總額投資的持有期間年化報酬，後計算各投資期限下報酬之標準差，比較兩投資方式之間是否有差異。實證結果如下：
投資期間越長，單筆總額投資的年化報酬率勝過定期定額投資的比例越高。而單筆總額投資之年化報酬率標準差亦大於定期定額投資之年化報酬率標準差。而這樣的結果在台灣50ETF及VTI這兩個標的是相同的。
In this study, we compare the performance of exchange traded fund for dollar cost averaging（“DCA”）and lump sum（“LS”）investing.
This study uses Yuanta Taiwan Top 50 ETF（“Taiwan 50”）and Vanguard Total Stock Market ETF（“VTI”）as the target portfolios to calculate the investment performance. We use the monthly data （the ex-dividends adjusted closing price of the end day of each month）from January 2006 to December 2020 as the sample. Then we compare the annualized return and standard deviation of annualized return rate for DCA and LS for different investing period, including one, five , ten and fifteen years.
The result indicates the longer the investment period, the odds of the performance for LS is higher than the odds of the performance for DCA. At the same time, the standard deviation of annualized return rate for LS is higher than the standard deviation of annual return rate for DCA. The result of Taiwan 50 and VTI are same. |
| Reference: | 一、中文部分
1.劉偉健（2006），共同基金投資方法之比較：定期定額與單筆投資，亞洲大學國際企業學系碩士論文
2.朱盈儒（2011），定期定額與整筆投資績效之比較，逢甲大學財務金融研究所碩士論文
3.陳麗芝（2014），整筆投資與定期定額投資之績效基金特性的影響，國立高雄應用科技大學金融資訊研究所碩士班碩士論文
4.張智閎（2014），境外基金之定期定額與整筆投資績效探討，國立高雄應用科技大學金融系金融資訊碩士班碩士論文
二、英文部分
1.Tversky, A., Kahneman, D. （1974） “Judgement under uncertainty: heuristics and biases.” Science 185: 1124-1131.
2.Kahneman, D., Slovic, P., Tversky, A. （1982） “Judgement Under Uncertainty: Heuristics and Biases” Cambridge University Press, New York.
3.Northcraft, Gregory and Margaret Neale （1987）, “Expert, Amateurs, and Real Estate: An Anchoring-and-Adjustment Perspective on Property Pricing Decisions”, Organizational Behavior and Human Decision Processes, 39, 84–97.
4.Gervaris, S., Heaton, J. B. and Odean, T. （2002）“The Positive Role of Overconfidence and Optimism Investment Policy” working paper.
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7.Daniel, KD., Hirshleifer, D., and Subrahmanyam, A. （1998） “Investor Psychology and Security Market Under- and Overracations”, The Journal of Finance, Vol.53, 1839-1885
8.Williams, Richard E. and Peter W. Bacon （1993） “Lump Sum Beats Dollar-Cost Averaging”, Journal of Financial Planning, April, Vol. 6, No. 2, pp.64.
9.Rozeff, M. S. （1994） “Lump-sum investing versus Dollar-Averaging”, The Journal of Portfolio Management, 4, 45-50.
10.Israelson, Craig L. （1999） “Lumps Sums Take Their Lumps: Contrary to popular opinion, lump-sum investing doesn’t always result in superior returns over dollar-cost averaging” Financial Planning. January: 51-56.
11.Abeysekera, S.P. and Rosenbloom, E.S. （2000） “A simulation model between lump sum and dollar-cost averaging” Journal of Financial Planning, 13, 86-92. |
| Description: | 碩士
國立政治大學
經營管理碩士學程(EMBA)
109932135 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109932135 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202200056 |
| Appears in Collections: | [經營管理碩士學程EMBA] 學位論文
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