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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 邱顯比 | zh_TW |
| dc.contributor.advisor | Shean-Bii Chiu | en |
| dc.contributor.author | 徐士芳 | zh_TW |
| dc.contributor.author | Shih-Fang Hsu | en |
| dc.date.accessioned | 2023-07-19T16:40:51Z | - |
| dc.date.available | 2023-11-09 | - |
| dc.date.copyright | 2023-07-19 | - |
| dc.date.issued | 2023 | - |
| dc.date.submitted | 2023-06-12 | - |
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Mao, Mike Qinghao, and Wong, Ching Hin (2022).target-date funds performed better in the COVID-19 selloff than the 2008 selloff?, Journal of Banking and Finance, 135. Madrian, Brigitte C., and Shea, Dennis F. (2001). The Power of Suggestion: Inertia in 401(k) Participation and Savings Behavior. The Quarterly Journal of Economics, 116(4), 1149-1187. Merton, Robert C. (1969) Lifetime Portfolio Selection under Uncertainty The Continuous-Time Case. Review of Economics and Statistics, 51, 247-257. Mossin. Jan (1968) Optimal Multiperiod Portfolio Policies. Author(s), The Journal of Business, 41(2), 215-229. Rakowski, David, and Yamani, Ehab (2021). Endogeneity in the mutual fund flow– performance relationship: An instrumental variables solution. Journal of Empirical Finance, 64,247-271. Samuelson, Paul A. (1969). Lifetime portfolio selection by dynamic stochastic programming. The review of economics and statistics, 51(3), 239-246. Schultz, Theodore W. (1961). Investment in Human Capital. The American Economic Review, 51, 1-17. Shoven, John B., and Walton, David B. (2020). An Analysis of the Performance of Target Date Funds, Nber Working Paper Series, 27971. Sirri, Erik R., & Tufano, Peter (1998). Costly search and mutual fund flows. Journal of Finance, 53(5), 1589-1622. Wermers, Russ (2003). Is Money Really 'Smart'? New Evidence on the Relation between Mutual Fund Flows, Manager Behavior, and Performance Persistence. University of Maryland Working Paper. | - |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/87820 | - |
| dc.description.abstract | 台灣正面臨勞工保險破產的議題，隨著大退休潮即將來臨，未來退休基金將負擔更多的壓力，又台灣退休基金長期由政府統一管理、投資運用，收益表現並不可觀，再加上全球面臨低薪環境與通膨壓力，使得國人自主投資的意識抬頭。美國採用401(k)雇主退休金制度，由勞工自主選擇投資標的以累積退休財富，目前目標日期基金成為美國長期投資的主流，本研究希望效法美國採用目標日期基金作為退休基金的預設選項，並觀察其報酬表現與流量情形，再比較與同家投信所發行之目標風險基金兩者的差異，說明目標日期基金適合投資的原因。
本研究採用國泰、貝萊德與富蘭克林華美投信所發行之境內基金資料，包含九檔目標日期基金與六檔目標風險基金。研究分成四個部分，第一，比較台灣退休基金與目標日期基金過去的績效表現；第二，透過Fama and French(1993)、Carhart(1997)與Fama and French (2015)模型衡量個別基金之超額報酬，同時納入債券指數報酬；第三，跑面板數據回歸模型，比較目標日期與目標風險基金兩者整體報酬與流量的差異；最後，假設不同資產配置路徑，包含線性、指數型與階梯式路徑調整資產比例，模擬三十五年後的投資報酬與累積財富。 結果顯示，台灣發行之目標日期基金表現不如退休基金，其與同投信發行之目標風險基金皆受市場指數報酬顯著影響，且大多不存在顯著超額報酬，我們無法觀察到目標日期基金有較突出的績效表現，不過其存在顯著的超額正流量，且過去報酬表現較好的基金，傾向會產生較高的流量，代表投資人對於此種基金具有較高的信心，願意投入更多資金。此外，市面上大多目標日期基金採用線性遞減的方式，減少風險性資產的投資比例，但實證結果發現，其累積財富的速度最慢，因此若能改以指數型路徑取代，將可望提升目標日期基金的績效表現。 | zh_TW |
| dc.description.abstract | The United States implements a 401(k) retirement savings plan where employees have the autonomy to choose their investment targets to accumulate wealth for retirement. Target-date funds have gained popularity as a long-term investment option within this system. This research investigates the viability of introducing target-date funds as the default option for Taiwanese pension funds. The study examines the performance and flows of target-date funds in comparison to other target-risk funds offered by the same investment management companies.
The study utilizes data from nine target-date funds and six target-risk funds issued by Cathay, BlackRock, and Franklin Templeton SinoAm. It is divided into four sections : (1) a comparative analysis of the historical performance of Taiwanese pension funds and target-date funds; (2) an assessment of funds' excess returns using Fama and French (1993), Carhart (1997), and Fama and French (2015) models; (3) a panel data regression analysis to compare the flows of target-date and target-risk funds; and (4) a simulation of investment returns and accumulated wealth over a 35-year horizon under various asset allocation paths. The findings indicate that target-date funds underperformed pension funds in Taiwan. Both target-date and target-risk funds were significantly influenced by market index returns, with most funds exhibiting no excess returns. However, target-date funds showed significant positive flows, and those with a strong historical performance tended to attract higher flows, reflecting increased investor confidence. Additionally, the empirical results suggest that adopting an exponential path could enhance the performance of target-date funds. | en |
| dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2023-07-19T16:40:51Z No. of bitstreams: 0 | en |
| dc.description.provenance | Made available in DSpace on 2023-07-19T16:40:51Z (GMT). No. of bitstreams: 0 | en |
| dc.description.tableofcontents | 口試委員核定書 i
謝誌 ii 摘要 iii Abstract iv 圖目錄 vii 表目錄 viii 第一章 緒論 1 第二章 文獻回顧 5 第一節、台灣退休潮與勞保破產議題 5 第二節、台灣退休金制度發展現況 5 第三節、自主投資趨勢與目標日期基金 7 第四節、美國401(k)退休金制度發展 8 第五節、共同基金的績效表現與流量 9 第六節、改善目標日期基金績效表現 10 第三章 資料與研究方法 12 第一節、台灣退休基金與目標日期基金績效 12 第二節、台灣目標日期與目標風險基金績效 15 第三節、目標日期基金與目標風險基金流量的差異 17 第四節、調整目標日期基金資產配置比重 20 第四章 實證結果與分析 25 第一節、台灣退休基金與目標日期基金歷年平均績效 25 第二節、目標日期基金報酬與各因子之顯著性 26 第三節、目標風險基金報酬與各因子之顯著性 31 第四節、目標風險與目標日期基金流量比較 35 第五節、目標日期基金配置路徑的影響 39 第五章 結論與建議 43 第一節、結論 43 第二節、研究建議 45 參考文獻 46 中文文獻 46 英文文獻 47 | - |
| dc.language.iso | zh_TW | - |
| dc.title | 以美國 401(k) 退休金制度為例，探討台灣目標日期基金的報酬及未來發展性 | zh_TW |
| dc.title | The Performance and Development of Target-Date Funds in Taiwan with Reference to the 401(k) Plan | en |
| dc.type | Thesis | - |
| dc.date.schoolyear | 111-2 | - |
| dc.description.degree | 碩士 | - |
| dc.contributor.oralexamcommittee | 林姿婷;林修葳 | zh_TW |
| dc.contributor.oralexamcommittee | Tzu-Ting Lin;Hsiou-Wei Lin | en |
| dc.subject.keyword | 目標日期基金,目標風險基金,超額報酬,流量,指數型配置, | zh_TW |
| dc.subject.keyword | target-date,target-risk,returns,flows,exponential glide path, | en |
| dc.relation.page | 49 | - |
| dc.identifier.doi | 10.6342/NTU202300969 | - |
| dc.rights.note | 同意授權(限校園內公開) | - |
| dc.date.accepted | 2023-06-12 | - |
| dc.contributor.author-college | 管理學院 | - |
| dc.contributor.author-dept | 財務金融學系 | - |
| 顯示於系所單位： | 財務金融學系 | |
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