研究生: |
唐詩雅 Tang, Shih-Ya |
---|---|
論文名稱: |
景氣衰退時期之防禦型策略-以臺灣基金為例 Defensive Strategy during Market Downturns-Taiwan’s Mutual Funds |
指導教授: |
賴慧文
Lai, Whuei-Wen |
學位類別: |
碩士 Master |
系所名稱: |
管理研究所 Graduate Institute of Management |
論文出版年: | 2020 |
畢業學年度: | 108 |
語文別: | 中文 |
論文頁數: | 29 |
中文關鍵詞: | 景氣衰退 、防禦型投資策略 、選股及擇時能力 |
英文關鍵詞: | Market downturns, Defensive strategy, Market timing and stock picking strategies, Fama-Macbeth |
DOI URL: | http://doi.org/10.6345/NTNU202000275 |
論文種類: | 學術論文 |
相關次數: | 點閱:144 下載:11 |
分享至: |
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
本文以國內股票型基金為研究標的,觀察1994-2010年景氣衰退期間基金經理人在選股時所參考的指標,讓投資大眾在面臨衰退時有參考的依據。研究中運用基金的日報酬率扣除無風險利率對五因子進行迴歸,以取得風險調整後報酬率,再將其進行排序以取得各期之贏家及輸家組合,觀察前一期所選變數之變動率對贏家及輸家經理人持股變動率的影響,並且運用Fama-MacBeth模型驗證變數在橫斷面及經長時間的顯著性。根據結果發現,股價淨值比是相對其他變數表現較為良好的指標,而輸家的基金經理人會透過營業毛利增加而提高持股比例,但因總體模型解釋力不高的結果,我們認為基金經理人在衰退時期並非有固定的決策準則。
The purpose of this research is to discover the defensive strategy of Taiwanese mutual fund managers during market downturns from 1994 to 2010. Hoping to provide the result as suggestion to investors when they confront recession. In the research, in order to obtain risk-adjusted rate of return, the daily rate of return of funds is used to deduct risk-free rate to regress five factors, then ranking risk-adjusted rate of return in each period to get winner and loser funds. Observe the impact of the rate of change of variables in the last period on the shareholding change rate of winners and losers. Fama-MacBeth model is used to examine the cross-section and over time significant level of variables. Overall, during market downturns, price to book ratio is a good indicator compare to other variables. Moreover, fund managers of the losers will increase the shareholding ratio because of increasing gross profit. However, due to the phenomenon of lower adjusted R square of whole model, the result revealed that the managers do not use the fixed strategy criteria during market downturns.
A Ang, G Bekaert, 2006, Stock return predictability: Is it there? ,The Review of Financial Studies.
A Estrella, FS Mishkin, 1998, Predicting US recessions: Financial variables as leading indicators, Review of Economics and Statistics, Working Paper 5379.
Altman, Edward I.,1968,Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The journal of finance 23.4: 589-609.
Basu, S. ,1977. Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of Efficient Market Hypotheses,Journal of Finance 32, no. 3: 663-682.
Bollen, Nicolas PB, and Jeffrey A. Busse.,2004,Short-term persistence in mutual fund performance.The Review of Financial Studies 18.2: 569-597.
DB Keim, RF Stambaugh, 2006, Predicting returns in the stock and bond markets, Journal of financial Economics 17, 357-390.
Dreman, D. ,1982. The New Contrarian Investment Strategy. New York, Random House.
EF Fama, 1975, Short-term interest rates as predictors of inflation, The American Economic Review, JSTOR.
EF Fama, KR French, 1992, The Cross-Section of Expected Stock Returns, The Journal of Finance 47, 427-465.
EF Fama, KR French, 2015, A five-factor asset pricing model, Journal of financial economics 116, 1-22.
Healy, Paul M., and James M. Wahlen.,1999,A review of the earnings management literature and its implications for standard setting." Accounting horizons 13.4: 365-383.
Jonathan Brogaard, Dan Li, Ying Xia, 2017, Stock liquidity and default risk, Journal of Financial Economics 124, 486-502.
Kacperczyk, M., S. V. Nieuwerburgh, and L. Veldkamp, 2014, Time-Varying Fund Manager Skill, The Journal of Finance 69, 1455-1484.
Maria Vassalou and Yuhang Xing, 2004, Default Risk in Equity Returns, The Journal of Finance 59, 831-868.
OPLER, Tim C.; TITMAN, Sheridan, 1994, Financial distress and corporate performance. The Journal of finance, 49.3: 1015-1040.
R Petkova, L Zhang ,2015, Is value riskier than growth? Journal of Financial Economics 78, 187-202.
San Ong, T., Yichen, Y. N., & Teh, B. H. , 2010,Can High Price Earnings Ratio Act As An Indicator Of The Coming Bear Market In The Malaysia?, International Journal of Business and Social Science, 1(1).
Wayne E. Ferson and Rudi W. Schadt, 1996, Measuring Fund Strategy and Performance in Changing Economic Conditions, The Journal of Finance 51, 425-461.
黃柏怡,張大成,江欣怡(2006),“考慮總體經濟因素之企業危機預警模型”,金融風險管理季刊,2(2),75-89
徐志宏、周大森(2010),“近期台灣景氣循環峰谷之認定”,經濟研究,第10期,1-34 頁,行政院經建會。