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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 沈中華(Chung-Hua Shen) | |
dc.contributor.author | Li-Wen Liu | en |
dc.contributor.author | 劉麗雯 | zh_TW |
dc.date.accessioned | 2021-05-17T09:21:46Z | - |
dc.date.available | 2017-03-19 | |
dc.date.available | 2021-05-17T09:21:46Z | - |
dc.date.copyright | 2012-03-19 | |
dc.date.issued | 2012 | |
dc.date.submitted | 2012-02-08 | |
dc.identifier.citation | References
English Bernstein, P.J. (2003). “Investing after 50”. Journal of Accountancy. June. pp.21-27. Constantinides G.M. (1979) “ A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy.” Journal of Financial and Quantitative Analysis, Vol.14, No.2 June, pp.443-450. Cohn, J.B., Zinbarg, E.D., & Zeikel, A., (1977) “Investment Analysis and Portfolio Management.” Irwin. GERSTEIN FISHER Research (2011 Fall) “Does Dollar Cost Averaging Make Sense For Investors? DCA’s Benefits and Drawbacks Examined.” Israelsen, C. L. (1999). “Lump sum take their lumps: Contrary to popular opinion, lump-sum investing doesn’t always result in superior returns over dollar-cost averaging”. Journal of Financial Planning. Jan. pp.51-56. Kahneman, D., & Tversky, A., (1979) “Prospect Theory : An Analysis of Decision Under Risk.” Econometrica 47, pp.263~291. Chen, K. (2007) “The Effectiveness of Dollar Cost Averaging – Summary and Critiques of the literature review.” A Dissertation for the degree of MA Finance and Investment in the University of Nottingham. Leggio, K. B., & Lien, D., (2001). “Does loss aversion explain dollar-cost averaging and random investment techniques”. Journal of Financial and Strategic Decisions. Vol.13. No.1. pp.87-99. Malkiel, B.G. (1975) “A Random Walk Down Wall Street.” New York: Norton. p. 242. Milevsky, M. A., & Posner, S. E., (2003). “A continuous-time re-examination of the inefficiency of dollar-cost averaging”. International Journal of Theoretical and Chinese Applied Finance. Vol.6. No.2. pp.173-194. Pye, G. (1971). “Minimax Policies for selling an asset and dollar averaging”. Management Science. Vol.17. pp.379-393. Statman, M. (1995) “A behavioural framework for dollar-cost averaging”. The Journal of Portfolio Management. Vol.22. No.1. pp.70-78. Tacchino, B. K., & Woerheide, J. W., (2005), “Ten retirement investment strategies”. Journal of Financial Service Professionals. pp.10-12. Thorley, S. (1994). “The Fallacy of dollar cost averaging.” Financial practice and education. Fall/winter. pp.138-143. William, R. E., & Bacon, P. W., (1993). “Lump sum beats dollar cost averaging”. Journal of Financial Planning. Vol.16. No.2. pp.64-67. Chinese 李憲良(2004) “共同基金在不同的投資模式下投資效益之研究—以定期不定額、定期定額及單筆投資為研究” 實踐大學企業管理研究所學位論文。 吳耀邦(2010) “ 從台股指數及台灣景氣信號分數判讀共同基金分期及分額投資之言就” 臺灣大學財務金融組學位論文。 孫立方(2006) “共同基金投資策略及投資組合之實證研究”高雄應用科技大學商務經營研究所學位論文。 張淑芬(2005) “定時定額投資停利策略之實證研究” 東海大學管理碩士專班學位論文。 傅茗蘭(2009)”共同基金投資法-單筆與定期定額比較” 臺灣大學財務金融學研究所學位論文。 誠富財務管理策略研究股份有限公司「限時限額加碼停利投資法」” http://www.edca.org/ 謝依芳(2007) “共同基金扣款時機、投資策略與報酬率關係之研究” 元智大學資訊管理研究所學位論文。 蕭信宏(2008) “投資定時定額策略與經濟指標選取之關係研究-以台灣股票型共同基金為例” 台北大學企業管理研究所學位論文。 薛品嶸(2009)”設置停損或停利對投資者行為之影響” 臺灣大學財務金融學研究所學位論文。 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/6940 | - |
dc.description.abstract | 共同基金是許多投資人喜愛的理財工具,其中定期定額方式更多數人在投資共同基金時考慮選擇之主流方式;而定期定額受歡迎之原因,除了透過小額定期扣款的機制可達成類似零存整付的強迫儲蓄功能外,定期定額投資不需要考慮進場時機,有效降低投資人對於做出錯誤投資決策的焦慮心理,亦可降低購買成本及風險,更重要的是投資時間越長,投資人越可享受時間的複利效果。
但本研究透過模擬定期定額投資台灣加權股價指數與其他共同基金的結果,證實多數投資人透過定期定額投資通常無法得到該基金所宣稱的獲利,同時在沒有適當機制管理定期定額投資的情況下,長時間定期定額投資的結果與投資人原先期待可以累積的財富有相當大的落差。而投資人對於定期定額投資的信心,事實上也受到投資過程中,投資部位所遭遇的損失幅度與其持續期間之影響,但一般投資人通常僅了解所投資基金過去的績效,並不會了解在投資之後可能須要忍受的最大損失程度,進而也影響了投資人在市場下跌時繼續堅持定期定額投資之意願。 本研究認為現有定期定額投資方式有其隱含的缺陷,譬如忽略了投資人投資生命與投資資本有限的事實,對於如何獲利缺乏明確的指引,同時也沒有可靠的方法協助投資人度過市場下跌的危機。故本研究重點在於提出改良式之定期定額投資方式,透過限時、限額、加碼、停利之核心概念,建構投資人可重覆執行之投資策略;主要在有限資本與時間的考量下,提高資金利用之效率,避免投資人因過早投入太多資金而造成資金短缺被迫須終止投資計畫,在市場下跌時積極增加投資部位並在適當時機停利,以確保投資期間累積之獲利可以真正實現,進而提升共同基金之投資績效。本研究以股票型基金進行模擬投資測試結果,證實改良式定期定額方式之內部投資報酬率均優於定期定額投資。 | zh_TW |
dc.description.abstract | Among the various financial instruments available in the market nowadays, mutual fund has become one of the most well-know and preferred investment choice for investors to manage their wealth. By investing in mutual fund, investors could enjoy the benefits of portfolio diversification, high liquidity of investment position, and professional management. Meanwhile, other factors such as the forceful marketing by banks, securities investment trust/consulting enterprises (SITE & SICE) or even financial consultants, as well as the convenient mechanism of application and redemption channel also contribute to the popularity of mutual fund investment.
Two main strategies are normally utilized in the mutual funds investment, Lump-Sum (LS) and Dollar-Cost-Averaging (DCA) strategy. Though the debate over which one has superior performance lingers for a long time and literatures in late period seem to prove that LS strategy could perform better, it’s undeniable that DCA is the mainstream strategy of mutual fund investment. Several reasons could explain why DCA becomes investors’ favorite investing strategy. First, the mechanism of regular deduction at agreed period resembles the concept of club deposit and it facilitates to achieve the forced saving plans. Second, monthly (or other regular intervals) contribution avoid the market-timing problem and also lessen the anxiety of making investment decisions. Then, based on the perception from most investors, DCA strategy could average the cost, reduce the investing risk, and the investing position could enjoy the power of compound interest over the long run. However, the generally accepted concept that investors could make profit or accumulate expected wealth simply by following current DCA strategy is questionable. According to the simulation results in this study, it proves that the mechanism of current DCA strategy is not sufficient to help investors to make profit, and it is also not an appropriate investing toll for long-term investment without proper management. When investor decides to utilize DCA to invest in mutual funds, the information he will receive usually is the fund performance in the past. But investors is totally unaware of the fact that before his investing portfolio could make expected profit, to what degree the volatility he needs to tolerate? Meaning what’s the maximum investment loss he might need to put up with? And how long will the investment loss last? These are important factors to impact investor’s attitude toward his investing plan and also affect investor’s faith to stick to the strategy, which happens to be the key to the success of DCA strategy. By simulating DCA in Taiwan Weighted Stock Index, this study believes that current DCA strategy contains some fallacy conception, such as negligence about the limits of investing life and capital constraints, lacking of clear method to realize profit, and being trapped in the bear market. To improve the investing strategy in mutual fund investment under the purpose of making profit, this study suggests the Enhanced Dollar-Cost-Averaging (EDCA®) strategy to make up for the deficiencies in current mechanism. Briefly speaking, EDCA requires investors to weight the investing duration and the available capital before deciding the monthly deduction amount. Then, sticking to the investing plan and increasing the monthly deduction amount in the bear market are crucial to accumulate investing position quickly and further lower the average cost. At last, redeeming the portfolio position at the set stop gain point is the key to the success of EDCA, since it prevents the profit from disappearing with market volatility and facilitates to accumulate wealth over the long run. This study utilizes historical data of different mutual funds to simulate the investing result between DCA and EDCA strategy and the results shows that regardless of the performance of individual mutual fund, EDCA does outperform DCA. | en |
dc.description.provenance | Made available in DSpace on 2021-05-17T09:21:46Z (GMT). No. of bitstreams: 1 ntu-101-R97749022-1.pdf: 3237239 bytes, checksum: ee2fd1448b99d6559270c9ccfbf10352 (MD5) Previous issue date: 2012 | en |
dc.description.tableofcontents | Table of Contents
Master Thesis Certification i Acknowledgement ii Abstract (Chinese) iii Abstract (English) iv Table of Contents vii List of Tables ix List of Figures x List of Appendix xi Chapter 1 : Introduction 1 Chapter 2 : Literature Review 5 2.1 The value of the DCA based on the analysis of investors’ psychology and behavioral pattern 5 2.2 The investment performance evaluation about DCA 9 2.3 Arguments about how to improve DCA’s mechanism to get better investing performances 14 Chapter 3 : Research Method 19 3.1 Investment dilemma – a comparison between LS and Periodic Strategies 20 3.2 Misconceptions about DCA strategy – by simulating DCA strategy on Taiwan Weighted Stock Index and Capital Marathon Fund 29 3.3 Analysis of the embedded pitfalls of current DCA strategy 34 A. Investing life is limited for individual investor 34 B. Limited capital for investment 35 C. Lack of clear instructions or methods to achieve the goal, make profit 38 D. Cannot overcome the challenge when bear market is coming 42 Chapter 4 : Enhanced DCA Strategy – a practical method to implement DCA strategy 49 4.1 Acceptable investing duration and capital constraint consideration 51 A. Acceptable investing time duration 51 B. Capital constraints 54 4.2 Increase the investing position and redeem at stop gain point 56 A. Increase the investing position while bear market is coming 56 B. Redeem when meeting the stop gain point 60 Ch5. Empirical simulation to test the EDCA strategy in mutual fund investment 69 5.1 The investing performance of DCA strategy in last 3, 5, 10 years 70 5.2 The investing performance of EDCA strategy in last 3, 5, 10 years 73 5.3 Comparison between the investing performance of DCA and EDCA strategy in terms of IRR 76 Ch6. Conclusion 79 References 82 Appendix 84 | |
dc.language.iso | en | |
dc.title | 改良式定時定額投資法-限時限額加碼停利 | zh_TW |
dc.title | Enhanced Dollar-Cost-Averaging - an improvement
for current mutual fund investment strategy | en |
dc.type | Thesis | |
dc.date.schoolyear | 100-1 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 李存修(Tsun-Siou Lee),毛治文(Chih-Wen Mao) | |
dc.subject.keyword | 定期定額投資,改良式定期定額投資,停利,波動度, | zh_TW |
dc.subject.keyword | Dollar-Cost-Averaging,Enhanced Dollar-Cost-Averaging,Stop gain,Volatitliy, | en |
dc.relation.page | 92 | |
dc.rights.note | 同意授權(全球公開) | |
dc.date.accepted | 2012-02-08 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 企業管理碩士專班 | zh_TW |
顯示於系所單位: | 管理學院企業管理專班(Global MBA) |
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