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| 研究生： |
蘇詠竣 Su, Yong-Jun |
|---|---|
| 論文名稱： |
主動管理型基金在條件因子模型下的績效分析 Conditional Performance Analysis of Active Fund Management |
| 指導教授： |
鍾令德
Chung, Ling-Tak |
| 口試委員: |
傅浚映
Fu, Jyun-Ying 潘振宇 Pan, Chen-Yu |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 2026 |
| 畢業學年度： | 114 |
| 語文別： | 中文 |
| 論文頁數： | 60 |
| 中文關鍵詞： | 共同基金 、主動管理指標 、主動選股指標 、主動權重配置指標 、產業集中度指標 、有條件績效模型 |
| 外文關鍵詞： | Mutual Funds, Active Management, Active Share, Active Weight, Industry Concentration Index, Conditional Performance Model |
| 相關次數： | 點閱：39 下載：0 |
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本文檢驗臺灣共同基金主動管理程度是否具有區分未來基金績效之能力，並進一步判斷無條件模型下所觀察到之超額報酬，是否真正反映基金經理人之主動管理能力。本文以臺灣市場募集且主要投資國內之共同基金為樣本，建構共五項主動管理指標，並依各指標形成代表主動管理基金的投資組合，透過無條件績效模型、約束投資風格分析與有條件績效等模型進行檢驗。實證結果顯示部分主動管理指標在無條件模型下能有效預測基金的獲利能力，其中等值加權投資組合下的主動選股指標與市值加權投資組合下的主動權重配置指標較具代表性，而在納入前期資產定價因子載荷並控制排序投資組合之時變風格曝險後，多數指標關聯的超額報酬下降或顯著性減弱。整體而言，臺灣共同基金之主動管理指標雖具有部分績效資訊，但其資訊含量會因指標類型與績效評估模型而有所差異。
This paper tests whether active funds perform better in Taiwan and highlights the issue of measuring managerial ability with unconditional factor models. Using a large cross-section of domestic equity mutual funds, portfolios are constructed based on five fund-activeness measures for performance evaluations under unconditional factor models, Sharpe’s constrained style analysis, and conditional performance models. The empirical evidence suggests that Active Share and Active Weight signals pick funds with superior performance through the lens of unconditional performance models. However, after controlling for lagged factor loadings and time-varying style exposures, most abnormal returns decline and become statistically insignificant. Overall, active management measures convey limited performance-related information, especially when fund performance is evaluated conditionally.
1 緒論 1
1.1 研究背景與動機 1
1.2 研究目的 2
1.3 重點研究發現及貢獻 3
2 文獻回顧 5
2.1 基金績效評估與風格基準 5
2.2 主動管理指標與基金績效 6
2.3 臺灣共同基金市場相關研究 7
2.4 有條件基準與主動管理能力之再檢驗 8
3 研究方法 10
3.1 資料來源與樣本選取 10
3.2 變數定義 11
3.3 實證模型 14
4 實證結果 21
4.1 檢驗主動管理指標排序投資組合之無條件績效 21
4.2 五分位投資組合之超額報酬與信賴區間 29
4.3 多種績效評估模型下之五分位投資組合表現 35
4.4 共同基金放空限制下之 Sharpe 風格分析 41
4.5 有條件績效模型結果 46
5 結論與建議 55
5.1 結論 55
5.2 研究限制與建議 56
參考文獻 58
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全文公開日期 2031/06/22