考量流動性因子下的共同基金績效之評估

Abstract

本研究主要的目的是探討1988年1月至2008年12月間，國內股票型共同基金的績效。本研究首先利用資本資產單因子模型、Fama and French三因子模型、Carhart四因子模型與利用三因子模型加上週轉率因子的四因子模型，來衡量基金經理人的選股能力。其次，本研究進一步探討在不同景氣狀態下，共同基金的績效表現。最後，本研究使用情境分析方法，分析不同的因子計算比例、基金存續期間與樣本觀察期間對基金績效的影響。本研究之實證結果如下： 1、不論是否考量景氣狀態，不論是在資本資產定價模型下，或是三 因子模型與四因子模型，共同基金經理人不具有顯著的選股能 力，但在考量週轉率因子之四因子模型下，共同基金經理人具有 顯著的負向的選股能力。在操作策略方面，共同基金經理人傾向 投資公司規模較小、低淨值市價比與投資週轉率較高的股票。 2、情境分析結果顯示，因子的計算方式、基金本身存續期間的長短 與樣本觀察期間長短，並不會對基金經理人的績效及操作策略之 分析產生影響。

The purpose of this study is to explore from January 1988 to December 2008, the equity mutual funds performance in Taiwan. First, this study measures fund managers’ stock piching ability using CAPM model, Fama-French’s three-factor model, Carhart’s four-factor model, and Fama-French’s three-factor model augmented by the turnover rate. Second, this study takes business cycle into account and estimates if fund managers have good stock picking ability. Finally, scenario analysis is used to investigate fund performance under different factors computing methods, length of mutual fund survival period and sampling period. The empirical results are as follows: 1、Regard less of business cycle into consideration, CAPM model, Fama-French’s three-factor model and Carhart’s four-factor model show that fund managers do not have stock selection ability. The Fama-French’s three- factor model augmented by the turnover rate gives different result that fund managers do not have good stock selection ability. Besides, fund managers tend to invest in stocks with small capitalization, low book- to-market ratio, and high turnover rate. 2、The factor computing method, the length of mutual fund survival period, and the length of sampling period will not affect the performance of fund managers.