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系統識別號 U0026-2908201814021100
論文名稱(中文) 探討共同基金績效與基金持股特性之關聯性-以臺灣股票型基金為例
論文名稱(英文) A study of the Relationship between Mutual Fund Performance and Fund Holdings' Characteristics-Evidence from Taiwan Equity Funds.
校院名稱 成功大學
系所名稱(中) 財務金融研究所碩士在職專班
系所名稱(英) Graduate Institute of Finance (on the job class)
學年度 106
學期 2
出版年 107
研究生(中文) 顏嘉佑
研究生(英文) Chia-Yu Yen
電子信箱 ci6540366@gmail.com
學號 R87011037
學位類別 碩士
語文別 中文
論文頁數 25頁
口試委員 指導教授-顏盟峰
口試委員-林嘉慧
口試委員-許英麟
中文關鍵字 持股特性  基金特性  風險調整後報酬 
英文關鍵字 the characteristics of mutual fund portfolio holdings  fund characteristics  the risk-adjusted performance of mutual funds 
學科別分類
中文摘要 本研究彙總了2001年至2017年之基金資料,探討基金持股特性(投組股票的市值、投組股票的市價帳面價值比、投組中每支股票的前六個月報酬)與風險調整後基金績效之關係。我們發現基金投組中股票的市值愈高,風險調整後基金績效也愈高。市價帳面價值比過高或低,反而不會提升基金的績效,市價帳面價值比適中者,有最佳的績效。而基金持股的股票前六個月報酬在中間者,基金也會有較好績效。
研究結果發現基金投組股票的市值若愈大,則報酬率愈大;基金投組股票之市價帳面價值比若愈小,則報酬率愈大;基金投組持有之股票前六個月之報酬若愈大,則報酬率愈大。基金特性與報酬部分,當基金現金流量若愈小,即規模的變動率小,則報酬率愈大;基金規模若愈小,則報酬率愈大;家族規模愈大,可能具規模經濟,可降低成本,報酬率愈大;基金年數若愈長,則報酬率愈大;基金月平均費用率愈小,則報酬率愈大;週轉率愈小,基金的轉換頻率低,則報酬率愈大。
英文摘要 We use Carhart four-factor alphas as explained variables for estimating the relationships between fund returns and fund holdings' characteristics.

This study shows that alphas are statistically significant with stock characteristics in the cross section after adjusting for risk via factor models.
論文目次 目錄

摘要 I
EXTENDED ABSTRACT II
致謝 IX
目錄 X
圖表目錄 XI
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的與架構 3
第三節 研究流程 4
第二章 理論基礎與文獻探討 6
第一節 基金報酬之衡量 6
第二節 基金投組特性與報酬之關係 9
第三章 研究方法 11
第一節 研究方法及步驟 11
第二節 研究資料來源 13
第四章 實證結果分析 14
第一節 基金持股特性與風險調整後基金績效之敘述統計 14
第二節 基金持股特性分群與風險調整後基金績效之關係 16
第三節 基金持股特性、基金特性與風險調整後基金績效之關係 18
第五章 結論與建議 21
第一節 研究結論 21
第二節 研究限制與建議 22
參考文獻 23

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