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| Title: | 共同基金經理人能力衡量方法 - 以台灣為例
Measuring skill in the mutual fund industry: A case study of Taiwan |
| Authors: | 蔡宜蓁
Tsai, Yi-Chen |
| Contributors: | 鍾令德
蔡宜蓁
Tsai, Yi-Chen |
| Keywords: | 共同基金
價值衡量
基金經理人
基金規模
散戶投資人報酬
Mutual fund
Value creation metric
Fund manager
Asset under management
Individual investors |
| Date: | 2022 |
| Issue Date: | 2022-07-01 15:58:31 (UTC+8) |
| Abstract: | 過往的財務文獻大多認為基金經理人並沒有能力在效率市場中透過選股以及資產配置來使得基金表現可以超越大盤。而傳統的基金績效評估方式如net alpha以及gross alpha等以報酬作為衡量準則往往支持這個觀點。然而，基金的過往表現能吸引投資者資金的流入進而影響基金的規模。在市場獲利空間有限之下，因基金基數較大，即使基金經理人的能力一致，規模較大的基金相較於規模較小的基金，將更難獲得同等的百分比報酬。因此Berk and van Binsbergen (2015)提出衡量基金經理人能力時應考量基金過往績效對基金規模的影響，並利用基金經理人在市場創造的價值來衡量基金經理人的能力。他們的研究發現美國基金經理人確實可以有效創造價值，且基金績效的持續性可達10年之久。目前國內鮮有文獻運用此方法於台灣市場，因此本文以台灣2003年6月30日至2021年12月31日期間的證券信託基金為樣本，運用價值衡量方法衡量台灣基金經理人的能力和基金績效的持續性。本研究發現在台灣的基金經理人可以有效地在金融市場創造價值，並且基金績效在至少6年的期間具有持續性。但基金經理人創造的價值大部分為其獲取的管理費用，因此造成散戶投資人的淨報酬為負。
In the classical finance literature, fund managers cannot outperform the market portfolio by stock picking and market timing under the efficient market hypothesis. Generally, mutual fund performance evaluations under the scope of net alpha and gross alphas support this view. Nevertheless, a fund`s past performance can attract fund inflows and thus has a profound impact on fund size. Since profitable market opportunities are scarce, it is more difficult for a large fund to achieve the same level of percentage return as a small fund, even when both fund managers are equally skilled due to the larger base value. Therefore, Berk and van Binsbergen (2015) propose a value creation metric for evaluating a fund manager`s ability that accounts for the scale effect on fund performances. They find that US fund managers can create values, and fund performance can persist for up to ten years. Currently, there is little domestic literature on evaluating fund managers` abilities in Taiwan with the new value metric. As a result, this paper fills in this gap by analyzing a sample of mutual funds in Taiwan from June 30, 2003 to December 31, 2021 to gauge the ability of fund managers in Taiwan and their performance persistence through the scope of value creation. This study finds that fund managers in Taiwan can create value in the financial market, and there is evidence that their fund performance can persist for at least six years. That said, further analysis shows that management fees collected by fund managers account for a significant portion of value creation, thus resulting in negative net returns to fund investors. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
109351001 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109351001 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202200572 |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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