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題名 | 基金經理人存活時間的計量模型--臺灣的經驗=An Econometric Model of Survival Time of Fund Manager: The Experience of Taiwan |
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作者 | 莊忠柱; 王子湄; | 書刊名 | 管理與系統 |
卷期 | 9:2 2002.04[民91.04] |
頁次 | 頁195-222 |
分類號 | 563.55 |
關鍵詞 | 存活分析; 股票型基金; 債券型基金; 擇時能力; Survival analysis; Stock funds; Bond funds; Market timing; |
語文 | 中文(Chinese) |
中文摘要 | 本文藉著存活分析(survival analysis),利用1986年5月1日至2000年9月30日間國內存續的股票與債券型基金經理人的相關資料,除了分別探討股票型與債券型基金經理人存活時間的分配模型外,並同時利用基金經理特性(如學歷、經歷)及基金財務性(如基金績效、基金規模等),分別探討顯著影響基金經理人存活時間的決定因慌同時考慮股票型與債券型基金經理人時,其存活時間的分配模型以log-logistic模型最佳,基金經理人退出率為一倒U字型,基金經理人特性或基金財務特性中的解釋變數,都無法解釋經理人的存活時間,這可能是同時將投資風格迥異的股票型與債券型基金納入存活模型之故。股票型(債券型)基金經理人存活時間的分配模型以一般化Gamma模型(log-logistic模型)最佳,基金經理人退出率為一U字型(倒U字型)。股票型(債券型)基金經理人存活時間分別與基金財務特性中的基金規模、基金經理費率、傳統的Sharpe值及GARCH(1,1)修正Treynor and Mazuy模型後的擇時能力(與基金報酬波動性及GARCH(1,1)修正後Henriksson and Merton模型的擇時能力)呈現顯著相關。本研究發現無論是股票型或債券型基金經理人的教育程是否有管理基金的經驗,皆不會影響其存活時間。 |
英文摘要 | The related data of existing equity and bond funds and their managers from 1986/5/1 to 2000/9/30 are employed in this paper. An econometric survival analysis is proposed to respectively investigate the distributions of survival time of equity and bond fund manager. Meanwhile, on the fund manager characteristics (e.g., education background, experience) and fund financial characteristics (e.g., funds performance, funds size), what the statistically significant determinants affect the distributions of survival time of equity and bond fund managers are respectively discussed. The results show that when equity and bond funds are both included in the model. Log-logistic model is the optimal distribution of fund mangers' survival time and the shape of exit-rate of fund managers is like an inverted U type. The explanatory variables on the fund manager characteristics and funds financial characteristics can't explain fund managers' survival time, and it may be attributed to equity and bond funds with different investment style. Additionally, the generalized Gamma model (Log-logistic model) is the optimal distribution of equity (bond) fund managers' survival time and the shape of exit-rate of fund managers is like an U type (inverted U type). The survival time of equity (bond) fund managers is significantly related with fund size, fund management fee, traditional Sharpe's index and Treynor & Mazuy model index modified by GARCH (1,1) model (with return volatility and Henriksson & Merton model index modified by GARCH (1,1) model) of fund financial characteristics. Further survival time of equity and bond fund managers isn't affected by fund manager education background and experience in managing a fund. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。