Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23711
標題: 以三因子及四因子模型探討台灣共同基金聰明錢效果
Testing smart money effect in Taiwan mutual fund market by three factor and four factor models
作者: 劉赫
Liu, Her
關鍵字: Mutual fund
共同基金
smart money effect
the performance of mutual fund
聰明錢效果
基金績效
出版社: 財務金融系所
引用: 一、中文部分 蔡佳穎,2009,「投資人情緒與愚笨錢效果之研究」,國立彰化師範大學商業教育學系論文。 林煜恩,2006,「台灣共同基金聰明錢效果與動能投資策略」,國立東華大學企業管理學系碩士論文。 沈英和,2008,「投資人情緒、聰明錢效果與基金績效表現」,國立彰化師範大學企業管理系碩士論文。 孫偉傑,2008,「不同基金分類的動能策略與聰明錢效果」,私立中原大學企業管理研究所碩士論文。 二、西文部分 Aneel, K., David, S.,2008, “Which Money Is Smart? Mutual Fund Buys and Sells of Individual and Institutional Investors,” Journal of Finance, 63, 85-118. Bernhardt, D., Davies. R. J., 2008, “Smart Fund Manager? Stupid Money?” University of Illionis Working Paper Bilson, C., Frino, A., Heaney, R., 2005, “Australian Retail Fund Performance Persistence,” Accounting and Finance, 45, 25-42. Brown, S. J., Goetzmann, W. N., Ibbotson, R. G., and Ross, S. A., 1992, “Survivorship Bias in Performance Studies,” Review of Financial Studies, 5, 553-580. Brown, S. J., Goetzmann, W. N., 1995, “Performance Persistence,” Journal of Finance, 50, 679-98. Carhart, Mark M., 1997, “On Persistence In Mutual Fund Performance,” Journal of Finance, 52,57-82. Fama, E. F., French, K. R., 1993, “Common Risk Factors in the Return on Stocks and Bonds,” Journal of Financial Economics, 33, 3-56. Gruber, M. J., 1996, “Another Puzzle: The Growth in Actively Managed Mutual Funds,” Journal of Finance, 51,783– 810. Hendricks, D., Patel, J., Zeckhauser, R.J., 1993, “Hot Hands in Mutual Funds: Short-Run Persistence of Performance,” Journal of Finance, 48, 93–130. Jagadeesh, N., Titman, S., 1993, “Returns to Buying Winners and Selling Losers: Implication for Market Efficiency,” Journal of finance, 48, 65-91. Gruber, M. J., 1996, “Another Puzzle: The Growth in Actively Managed Mutual Funds,” Journal of Finance, 51,783– 810. Sapp, T., Tiwari, A., 2004, “Does Stock Return Momentum Explain the Smart Money Effect?” Journal of Finance, 59, 2605-2622. Sawicki, T., Finn, F., 2002, “Smart Money and Small Fund,” Journal of Business Finance and Accounting , 29, 825-846. Shu, P. G., Yeh Y. H. and Yamada T., 2002, “The Behavior of Taiwan Mutual Fund Investors-Performance and Fund Flows,” Pacific-Basin Finance Journal, 10, 583-600. Zheng, L., 1999, “Is Money Smart? A Study of Mutual Fund Investors’ Fund Selection Ability,” Journal of Finance, 54 , 901– 933.
摘要: We use mutual fund flow data to test the smart money effect. The smart money effect happens when a mutual fund receives higher inflow and then the mutual fund will perform well in the next period. We use Fama and French three factors model and Carhart four factors model to calculate the performance of mutual fund. And also use the two models to calculate the Alpha of portfolio. If the Alpha is significant greater than zero, we confirm the existence of smart money effect. If the Alpha is not significant greater than zero, we compare the Alpha between the portfolio made by inflow and portfolio made by fund value. If the Alpha of inflow portfolio is significant greater than the Alpha of fund value portfolio, we say the money of investors is comparatively smart. We use the monthly data from January 2001 to January 2010.The data set includes inflow of mutual fund, outflow of mutual fund, fund value of mutual fund and the net flow of mutual fund. The result shows that only the Alpha of equal weighted net flow portfolio is significant. The other results show that the money of investors is comparatively smart.
本文以共同基金流量資料進行聰明錢效果的研究。聰明錢效果是指,當期接受到基金流入量高的共同基金,其下期共同基金績效會表現良好。使用共同基金流量的資料當作選取投資組合的指標,再以三因子以及四因子模型檢驗共同基金績效,並且計算所選出的投資組合的Alpha,看是否有顯著性,如果Alpha顯著大於0表示聰明錢效果存在。如果顯著性不明顯,則比較以共同基金流量跟以共同基金市值所作的投資組合Alpha,比較其差異性,如果以共同基金流量所作的投資組合Alpha值,大於以共同基金市值所作的投資組合,表示投資人的投資金錢有相對的聰明錢效果存在。 本研究使用資料是從2001年1月到2010年1月總共109個月的月資料,使用共同基金流入量、共同基金流出量、共同基金市值、共同基金淨量進行研究,結果顯示只有使用共同基金淨量且等權平均的投資組合,具有統計上顯著的聰明錢效果,其他研究結果則是支持有相對聰明的效果存在。
URI: http://hdl.handle.net/11455/23711
其他識別: U0005-2106201015040700
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-2106201015040700
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