台灣股票型基金在多頭與空頭時期主要持股變化研究

Abstract

本研究旨在探討台灣股票型基金在面對多頭與空頭時期選股之改變。主要研究目的有三。一、台灣股票型基金在面對股市自多頭轉為空頭的期間，持股偏好有何改變，持股的改變是否可帶來超額報酬。二、持股偏好若是與某些財務指標有關，透過這些指標選股是否是在多頭市場或空頭市場取得超額報酬之關鍵。三、以模型檢驗超額報酬是來自選股或擇時能力。 本研究樣本蒐集期間為2006年6月至2008年12月，樣本為台灣股票型基金各月前五大持股與季總持股。由研究者採資訊分析法，將所有股票型基金各月前20大主要持股合為一個共同基金主要持股模擬投資組合，探討模擬投資組合面對多頭與空頭時期，各月持股變化之選股偏好與超額報酬，並以Chang與Lewellen (1984) 基金經理人擇時與選股能力模型，檢定該投資組合是否具有擇時與選股能力。 本研究發現一、股票型基金在多頭時期偏好大型、高本益比、低現金股利率與高股價淨值比之股票，空頭時期則相反。研究期間模擬投資組合具超額報酬。二、探討超額報酬原因，在多頭時期，高本益比與低現金股利率的股票確實表現較好，空頭時期低本益比與高現金股利率的股票表現較好。三、本研究透過Chang與Lewellen (1984)模型分析報酬，認為擇時能力是主要持股模擬投資組合具超額報酬的關鍵。經理人在多頭時期主要持有高本益比與低現金股利率之股票，這些股票同時具高系統風險，可在多頭時期賺取更多報酬；而在空頭時期持有低本益比與高現金股利率之股票則具低系統風險，在空頭時期相對抗跌。最後本文針對選股策略與其他議題等後續研究提出研究者的建言。

The objective of this research is to analyze how Taiwan equity fund top holdings change in bull markets and bear markets. There are three topics. First, this research study the changes of Taiwan equity fund managers’ stock selection preferences, and whether these changes could result in abnormal returns. Second, if preference changes are related to some financial indicators, whether selecting stocks by these indicators may lead to abnormal returns. Finally, this research test whether abnormal returns are from stock selection or time selection abilities by Chang and Lewellen method. Samples are monthly top 5 holdings and quarterly total holdings of all Taiwan equity funds from June 2006 to December 2008. I analyze the holding data to find top 20 holdings of Taiwan equity funds, and combined them to create one protfolio, called “Taiwan equity fund major holding portfolio.” This research explores the holdings change in both bull and bear markets, and test the stock selection and the time selection ability of this portfolio by Chang and Lewellen method. This research discovers three important points. First, equity funds prefer large, high P/E ratio, and low cash dividend ratio stock in bull markets, and they prefer the opposite characters in bear markets. Second, this research study the source of abnormal returns from the portfolio holdings, finding that high P/E and low cash dividend ratio stocks outperform in bull markets, and underperform in bear markets.. Third, this research find time selection ability is the key to earning abnormal returns. In bull markets, fund managers prefer high P/E ratio or low cash dividend ratio stocks, which also have higher β and result in higher profit. However, fund managers prefer low P/E ratio and high cash dividend stocks in bear markets, which also have lower β and result in lower downside scales. Finally this research gives some suggestions to the practice.