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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 邱顯比(Shean-Bii Chiu) | |
| dc.contributor.author | Hsiang-Yun Lo | en |
| dc.contributor.author | 羅翔耘 | zh_TW |
| dc.date.accessioned | 2021-06-15T11:10:48Z | - |
| dc.date.available | 2018-02-16 | |
| dc.date.copyright | 2017-02-16 | |
| dc.date.issued | 2016 | |
| dc.date.submitted | 2016-06-27 | |
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S&P Target Date Index Series Methodology, S&P Global, June 2016 Tang, N., & Lin, Y. T., 2015, The Efficiency of Target-Date Funds, Journal of Asset Management, 16(2), 131-148. Viceira, L. M., 2007, Life-Cycle Funds. Wermers, R., 1997, Momentum Investment Strategies of Mutual Funds, Performance Persistence, and Survivorship Bias, Unpublished Working Paper, University of Colorado, [downloaded from http://bus. colorado. edu/faculty/wermers/.] Wermers, R., 2000, Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses, The Journal of Finance, 55(4), 1655-1703. Yang, J., & Lutton, L. P., 2014 Target-Date Series Research Paper, Morningstar Yang, J., Acheson, L., Holt, J., Rupp, G., & Spica, K., 2015 Target-Date Fund Landscape, Morningstar Yuh, Y., Montalto, C. P., & Hanna, S. D., 1998, Are Americans Prepared for Retirement? Financial counseling and Planning, 9(1). Zheng, L., 1999, Is Money Smart? 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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/48880 | - |
| dc.description.abstract | 由於台灣新制勞工退休金可望於自選投資平台建立後，設定目標日期基金為預設標的，私校退撫儲金亦很可能成為台灣第一個以目標日期基金作為預設選擇的退休基金管理制度，故本研究希望藉由研究目標日期基金發展較為成熟的美國市場，了解目標日期基金之特色與運作模式、發展現況，並藉由橫斷式迴歸分析法，檢驗會顯著影響目標日期基金風險調整後報酬的基金特色變數。
實證結果發現，過去績效與前期配置於普通股之比率於三個目標日期區間的 目標日期基金中，均顯示對風險調整後報酬有1%顯著水準的正向關係。基金費用率、資產可配置於其他公司的比率，與前期淨流入資產比率亦於某些區間內與風險調整後報酬呈顯著關係。費用率、前期淨流入資產比率與風險調整後報酬分別呈5%顯著水準之正向關係與10%顯著水準之正向關係；資產可配置於其他公司之比率與風險調整後報酬呈10%顯著水準之負向關係。 本研究最後提醒投資人，在選擇目標日期基金時仍要考量本身的風險承受度與該目標日期基金滑行道的調整機制，並隨時注意本身的風險情況與市場風險的變化，才能挑選到最適合自己的目標日期基金。 | zh_TW |
| dc.description.abstract | Taiwan Labor Pension New Scheme may incorporate Target-Date Fund as its default fund after the member choice platform is set up, and the Retirement & Compensation Fund for Private Schools may also be the first pension fund plan in Taiwan to incorporate Target-Date Fund as its default choice. Therefore, in this study, we introduce the Target-Date Fund’s features, operation framework, and market development by researching on the relatively mature US market. We also apply cross-sectional regression to find out which fund characteristic shows significant effect on Target-date Fund's risk-adjusted performance.
According to our results, we find significantly positive relations at the 1% level between lagged risk-adjusted performance and risk-adjusted performance, and also lagged diversification and risk- adjusted performance among all three groups of Target-Date Funds. Expenses, open architecture and lagged inflows show significance in the results of some groups. We find significantly positive relations of expenses on risk-adjusted performance at the 5% level and lagged inflows on risk-adjusted performance at the 10% level. Yet open architecture shows a significantly negative relation on risk- adjusted performance at the 10% level. Finally, we suggest the investors that they should take their risk tolerance and the time-varying system of Target-Date glide path into consideration when choosing Target-Date Funds for retirement plan. They should also pay attention to the potential changes of their risk capacity and market condition, thus to find out the best fitted Target-Date Fund for themselves. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T11:10:48Z (GMT). No. of bitstreams: 1 ntu-105-R03723041-1.pdf: 1734185 bytes, checksum: 8261e2c11bab76d9f80c9916ee0baf20 (MD5) Previous issue date: 2016 | en |
| dc.description.tableofcontents | 口試委員會審定書 i
誌謝 ii 摘要 iii Abstract iv 目錄 v 圖目錄 vii 表目錄 viii 第一章 緒論 1 第一節 研究動機 1 第二節 研究目的 3 第三節 研究架構 4 第二章 文獻回顧 6 第一節 目標日期基金 6 第二節 共同基金績效分析 11 第三章 目標日期基金之介紹與市場現況 15 第一節 目標日期基金介紹 15 第二節 目標日期基金市場現況 20 第四章 樣本與研究方法 29 第一節 研究對象與樣本來源 29 第二節 變數定義 31 第三節 橫斷面迴歸法 34 第四節 本研究對橫斷面迴歸法之調整 36 第五章 研究結果分析 38 第一節 樣本敘述性統計結果 38 第二節 變數相關矩陣 44 第三節 目標日期基金2030之實證結果分析 46 第四節 目標日期基金2020與2040之實證結果分析 52 第五節 小結 56 第六章 結論與建議 57 第一節 結論 57 第二節 後續研究建議 59 參考文獻 61 附錄 66 | |
| dc.language.iso | zh-TW | |
| dc.subject | 橫斷面迴歸分析 | zh_TW |
| dc.subject | 目標日期基金 | zh_TW |
| dc.subject | 生命週期基金 | zh_TW |
| dc.subject | 共同基金績效分析 | zh_TW |
| dc.subject | Life-Cycle Fund | en |
| dc.subject | Cross Sectional Regression | en |
| dc.subject | Decomposition of Mutual Fund Performance | en |
| dc.subject | Target-Date Fund | en |
| dc.title | 影響目標日期基金績效之因素分析 | zh_TW |
| dc.title | Decomposition of Target-Date Fund Performance | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 105-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳明賢(Ming-Shen Chen),陳彥行(Yan-Shing Chen) | |
| dc.subject.keyword | 目標日期基金,生命週期基金,共同基金績效分析,橫斷面迴歸分析, | zh_TW |
| dc.subject.keyword | Target-Date Fund,Life-Cycle Fund,Decomposition of Mutual Fund Performance,Cross Sectional Regression, | en |
| dc.relation.page | 68 | |
| dc.identifier.doi | 10.6342/NTU201600500 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2016-06-27 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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