共同基金擇時與選股能力再探;Revisiting the Market Timing and Stock Selection Ability of Mutual Funds

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Title:	共同基金擇時與選股能力再探;Revisiting the Market Timing and Stock Selection Ability of Mutual Funds
Authors:	鄭子敬;Cheng, Tzu-Ching
Contributors:	財務金融學系在職專班
Keywords:	共同基金;擇時能力;選股能力;下方風險;詹森指數;mutual funds;market timing ability;selection ability;downside risk;Jensen index
Date:	2020-07-28
Issue Date:	2020-09-02 16:50:20 (UTC+8)
Publisher:	國立中央大學
Abstract:	國內共同基金自1985年成立以來，已成為國內投資人重要的投資工具，因此在基金經理人的能力不論是投資人或是學者都相當關注，而衡量基金經理人的能力則包括了選股能力以及擇時能力。本研究以2015年1月1日至2019年12月31日間，國內所發行之開放式股票型基金以投資台灣證券交易所上市股票之基金月報酬為研究樣本，將其分為三種類型，透過詹森指數(Jensen index)並加入虛擬變數來評估，探討大盤不同時間點下，台灣基金經理人之選股能力與擇時能力是否存在顯著差異。根據實證結果顯示，不論是何種類型的基金，有將近一半的樣本基金經理人有較差的或不具備選股能力與擇時能力，而一部分基金經理人僅具備其中一種，最後只有極少數基金經理人同時具備二種能力。而透過本研究的實證結果亦發現，在市場下跌時普遍基金承擔一單位的系統風險無法獲得相對的異常報酬，因此可能導致平均而言基金經理人沒有擇時能力之原因。 ;Since the establishment of the domestic mutual fund in 1985, it has become an important investment tool for domestic investors. Therefore, the ability of fund managers,whether investors or scholars, are very concerned, and the ability of fund managers includes stock selection and Market timing ability, this study took the monthly return of funds invested in stocks listed on the Taiwan Stock Exchange as a research sample from January 1, 2015 to December 31, 2019, and divided it into three This type is evaluated through the Jensen index and the addition of dummy variables to explore whether there is a significant difference between the stock picking ability and timing ability of Taiwan fund managers at different points in the market. According to the empirical results, no matter what type of fund, nearly half of the sample fund managers have poor or lack of stock selection and timing ability, and some fund managers only have one of them, and finally only a few funds A manager possesses two abilities at the same time. And through the empirical results of this research, it is also found that when the market declines, the general fund can not obtain relative abnormal returns when taking one unit of systemic risk, which may lead to the reason that fund managers have no timing ability on average.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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