共同基金绩效-选股与择时能力探讨.PDF

共同基金績效-選股與擇時能力探討 蔡子皓 朱純慧 林韻茹 林容菁 楊美如 古雅竹 吳弘玲 元培科技大學財務金融系 摘 要 基金經理人具備專業能力與取得資訊上擁有優勢，因此經理人是否在市場中 具有選股、擇時之能力一直為研究關心的議題。本研究利用 Jensen 指標 和 Treynor Mazuy二次式迴歸模型來探討基金的選股能力及擇時能力表現。實證 結果得到以下結論：（1）就選股能力而言，85 支樣本基金中在投資績效共有 5 支基金具有正向選股能力、3支有負向選股能力，其餘基金皆不具有選股能力； （2）就擇時能力來看，85 支基金中在投資績效共有 0 支基金有正向擇時能力， 38 支為負向擇時能力，其餘基金皆不具有擇時能力。實證發現基金的正向擇時 能力是不容易具備的，有選股能力的基金遠比具有擇時能力基金容易尋找。 關鍵字： 共同基金績效、選股能力、擇時能力、投資績效 聯絡作者：朱純慧 元培科技大學財務金融系 新竹市元培街 306號 Tel: 0915807325 E-mail: judy001218@.tw The performance of mutual funds- the security selection and market timing ability Tzu-Hao Tsai, Chuen-Huei Ju, Yun -Ru Lin, Rong Jing- Lin, Mei-Ru Yang, Yai- Chu Gu,and Hong Ling Wu Department of Finance Yuanpei University Abstract In this paper, we study the performance of oversea mutual funds, by assuming the fund managers with superior performance than market index. We use Jensen index (1968) and Treynor and Mazuy (1966) regression to test the security selection and market timing abilities of the funds. The results shows: there are five funds have a better security selection in seventy tree samples; there are no funds have a market timing ability in seventy tree samples. These studies show that there are some funds could have better security selection ability then the market but there are few funds could have market timing ability. These interest findings are similar to the literature results. Keywords: Mutual fund achievements, Chooses the stock ability, Selects when