南華大學機構典藏系統:Item 987654321/28829
English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 18278/19583 (93%)
造访人次 : 914630      在线人数 : 925
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://nhuir.nhu.edu.tw/handle/987654321/28829


    题名: 投資型保單基金績效持續性之研究
    其它题名: Performance Persistence in Mutual Funds of Investment-Linked Policy
    作者: 唐玲
    TANG, LING
    貢獻者: 財務金融學系財務管理碩士班
    賴丞坡
    LAI, CHENG-PO
    关键词: 投資型保單;基金績效;聰明錢
    Investment policy;Fund performance;Smart Money
    日期: 2021
    上传时间: 2022-08-16 13:23:47 (UTC+8)
    摘要: 　　本研究旨在針對保險公司之投資型保單所連結之共同基金商品，是否具有績效持續性的特徵及聰明錢效果。聰明錢效果(Smart money effect)係指基金流量高的共同基金未來報酬會大於基金流量低的未來報酬，投資人可依據近期的基金流量形成其投資決策，來獲取投資之超額報酬。研究期間為2008年10月至2016年5月國內投資型保單連結之台灣共同基金，採用原始報酬率及以CAPM、Fama and French(1993)之三因子模型與Carhart(1997)所提之四因子模型所估計之 α 值來做為基金持續績效之衡量指標，另以基金前期績效與基金流量進行零成本投資法分析聰明錢效果。研究結果如下：1.研究期間之基金績效不具有持續性，因為持有期六個月會出現贏家(W)變輸家(L)的反轉現象。2. 以1個月、2個月、3個月為主，買進贏家(W)賣出輸家(L)不同的投資組合報酬之設定，發現投資人存在正向回饋交易現象。3. 以原始報酬與各種流量指標配對比較，發現先以流量指標找出贏家(W)及輸家(L)後，再以原始報酬率大小分出贏家(W)及輸家(L)，發現此配對投資策略，具有聰明錢效果，能獲得更高的報酬。
    　　This research aims to focus on whether the mutual fund products linked to the investment policies of insurance companies have the characteristics of performance continuity and smart money effects. Smart money effect means that the future return of mutual funds with high fund flow will be greater than the future return of low fund flow. Investors can form their investment decisions based on recent fund flows to obtain excess return on investment. The research period is from October 2008 to May 2016 for domestic investment policy-linked Taiwan mutual funds, using the original rate of return and the three-factor model of CAPM, Fama and French (1993) and the four factors mentioned by Carhart (1997) The α value estimated by the model is used as a measure of the fund's continued performance, and the zero-cost investment method is used to analyze the effect of smart money based on the fund's previous performance and fund flow. The results of the research are as follows: 1. The fund performance during the research period is not sustainable, because there will be a reversal of the winner (W) to the loser (L) during the six-month holding period. 2. Based on 1 month, 2 months, and 3 months, buy the winner (W) and sell the loser (L) to set different portfolio returns. It is found that investors have a positive feedback transaction phenomenon. 3. Paired comparisons between the original rewards and various traffic indicators, and found that the winners (W) and losers (L) were first identified by the traffic indicators, and then the winners (W) and losers (L) were separated according to the original rate of return, and found this Matching investment strategy has the effect of smart money and can get higher returns.
    显示于类别:[財務金融學系(財務管理碩士班)] 博碩士論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    109NHU00304022-001.pdf597KbAdobe PDF89检视/开启
    index.html0KbHTML188检视/开启


    在NHUIR中所有的数据项都受到原著作权保护.

    TAIR相关文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈