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題 名 | 評估投資組合經理人的市場擇時能力--以開放型基金為例=Evaluating the Market Timing Ability of Portfolio Managers--Some Selected Evidence of Open-End Funds |
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作 者 | 張元; | 書刊名 | 中州學報 |
卷 期 | 19 2004.06[民93.06] |
頁 次 | 頁303-319 |
分類號 | 563.55 |
關鍵詞 | 市場擇時能力; 證券特徵線; 門檻模型; Market timing ability; Security characteristic line; Threshold model; |
語 文 | 中文(Chinese) |
中文摘要 | 本文隨選並檢定國內的五支基金其經理人是否具有市場擇時能力,而這能力通常表現在基金投組之市場模式的證券特徵線是否具有正的二次式係數或有區間轉換的現象。資料期間為1997至1999之全年共823筆日資料。經由迴歸分析與門檻模型的非線性估計結果得知,當市場超額報酬愈大時,大部分的基金經理人會有降低投資組合系統性風險即β值的表現,並且普遍存在一個顯著的門檻水準促使基金經理人這麼作。因此這五支基金皆沒有擇時能力的表徵,相反地,他們都具有保守傾向。 |
英文摘要 | This paper selects and examines the market timing ability of portfolio managers of five open-end funds in Taiwan from 1997 to 1999, based on daily data. While the upward curvature of security characteristic line (SCL) would be the evidence of timing ability, we use regression analysis of quadratic SCL equation of market model and estimating procedure of threshold model to find the possible non-linearity or regime-switching property of SCL. From our empirical results, when market excess return gets higher, the managers of the five funds will shift down the systematic risk, that's the β of the funds. Furthermore, there exist significant threshold levels that lead the managers to do so. Therefore, there has no clear evidence about timing ability of these five portfolios. Instead, their managers have the tendency to be conservative. |
本系統中英文摘要資訊取自各篇刊載內容。