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    Title: 公司債共同基金是否具有市場情緒擇時能力？
    Can Corporate Bond Mutual Funds Time Market Sentiment?
    Authors: 呂學靖
    Lu, Hsueh-Ching
    Contributors: 林建秀
    岳夢蘭
    Ling, Chien-Hsiu
    Yueh, Meng-Lan
    呂學靖
    Lu, Hsueh-Ching
    Keywords: 公司債共同基金
    投資者情緒
    情緒擇時
    基金特徵
    Corporate bond mutual funds
    Investor sentiment
    Sentiment timing
    Fund characteristics
    Date: 2023
    Issue Date: 2023-07-06 16:44:26 (UTC+8)
    Abstract: 本研究探討公司債共同基金對市場情緒的擇時能力，以Fama and French (1993) 五因子模型推導公司債共同基金的情緒擇時模型，實證結果顯示個別基金會根據市場情緒的高低調整系統性風險。若依基金類別單獨檢視，對市場情緒避險的投資級公司債共同基金展現較佳的績效，而高情緒曝險的高收益債券共同基金賺取較高的風險調整報酬。此外，公司債共同基金對市場情緒的曝險程度，隨基金年限與基金費用率而增加，而高情緒曝險的基金吸引較少的基金流量。

    為更進一步分析基金的擇時策略與相應的投資績效，本研究亦根據 (1)2008年金融海嘯事件與 (2)市場情緒高低進行子樣本分析。在金融海嘯發生前，投資級公司債共同基金面對上升的市場情緒時，傾向於提高基金的系統性風險，但金融海嘯過後多數的基金選擇對市場情緒進行避險，並且低情緒曝險的基金始能賺取較高的風險調整報酬。分市場情緒高低的子樣本分析則顯示，當市場處於高情緒狀態時，高收益債券共同基金容易受到投資情緒的影響而加入追逐市場情緒的行列，不過相較於低市場情緒狀態，高低情緒曝險基金投組縮小的績效差異，說明此時利用價格泡沫 (ridding the bubble) 的交易策略未能帶來較佳的績效。
    This paper examines the ability of corporate bond mutual funds to time aggregate investor sentiment. We develop a sentiment exposure model for corporate bond funds based on the five-factor model proposed by Fama and French (1993). The evidence at individual fund level suggests fund managers adjust their portfolios’ exposure to changes in market sentiment. By funds’ investment objective, we find that investment-grade bond funds with low sentiment exposure demonstrate superior performance, and that high-yield bond funds with high sentiment exposure earn higher risk-adjusted return. Moreover, our result shows the tendency of a corporate bond fund to chase sentiment increases with fund age and fund fees and decrease with fund flows.

    To further investigate the sentiment timing strategies and the corresponding fund performance, we split the full sample into two subsamples according to (1) the 2008 Financial Crisis and (2) the sentiment level. In the first setting, we find that investment-grade bond funds tend to chase sentiment before the Financial Crisis but opt to hedge against it thereafter. Moreover, low-sentiment-exposure funds significantly outperform high-sentiment-exposure funds after the Financial Crisis. The analysis in the second setting indicates more high-yield bond funds join the side of sentiment chasers during high sentiment periods. In contrast to the return spread between high- and low-sentiment-exposure funds in low sentiment periods, the narrowing return spread implies this bubble-riding type of sentiment trading doesn’t pay off for them.
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    Description: 碩士
    國立政治大學
    金融學系
    109352004
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0109352004
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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