博碩士論文 etd-0609119-114259 詳細資訊


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姓名 陳軒逸(Hsuan-Yi Chen) 電子郵件信箱 E-mail 資料不公開
畢業系所 管理學院高階經營碩士學程在職專班(College of Management (Executive Master in Business Administration))
畢業學位 碩士(Master) 畢業時期 107學年第2學期
論文名稱(中) 主動式基金與美國先鋒集團指數股票型基金(ETF)長期持有下交易成本與績效差異之研究-以投資美國市場為例
論文名稱(英) A Study on the Differences between Active Management Funds and Vanguard Group ETFs in Long-term Performance and Transaction Cost: The Case of the U.S.A. Investment Market
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    紙本論文:5 年後公開 (2024-07-09 公開)

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    摘要(中) 由於低利率時代的來臨,定存利息所得已無法大過通貨膨脹率,因而多元化的金融商品因應而生。在眾多的投資工具中,因共同基金具有分散、種類多、投資門檻低等優點,現今已是台灣投資人熟悉的投資工具之一。而自2003年首檔指數股票型基金 (Exchange-Traded Funds)寶來台灣卓越50基金成立至今,ETF也越來越受到台灣投資人的青睞。再加上全球資本市場發展日趨國際化,我國投資人可在銀行券商等通路中購買許多境外的金融商品。近年透過券商複委託(受託買賣外國有價證券業務)的方式投資海外股票與ETF的投資人日益增多,截至2018年6月為止已超過1.08兆台幣。國人已開始接受全球化布局的資產配置觀念,其中因海外指數股票型基金(Exchange Traded Funds)2017年6月~2018年6月年增率為64%,達到4521億,因此海外指數股票型基金(Exchange Traded Funds)已是投資人在追求穩定投資報酬的新選擇。
      本研究資料以投資美國市場之台灣市場上境外主動式股票型基金,及美國先鋒集團(Vanguard Group) 指數股票型基金(Exchange Traded Funds),並建立適切的衡量指標,以分析在長期持有並承擔相同風險下之績效差異,並探討交易成本對報酬的影響。第一部分是分別以平均報酬及Sharpe指標、Treynor指標、Jensen’s α來進行相關績效評估。第二部分是加入了申購及買回費用後再次進行上述的分析。
      歷史資料的取得與整理耗費許多時間。主要研究發現如下:
    1.主動式股票型基金與海外指數股票型基金在交易成本上海外指數股票型基金交易成本顯著較低。
    2.交易成本與績效呈現負相關聯性。
    3.主動式股票型基金與海外指數股票型基金納入交易成本後海外指數股票型基金在長期持有下績效表現較好。
    摘要(英) Due to the low interest rate era, the earning from the interest no longer beat the inflation rate, so diversified financial products have been developed. Among many investment tools, the mutual fund becomes a well-known tool to Taiwan investors since mutual funds have many advantages, such as dispersion, variety, and low entry level. After the first ETF, Bora Taiwan Excellence 50 Fund, was launched in Taiwan in 2003, the ETF has become more and more popular to Taiwan investors. With the internationalization of global capital markets, Taiwan investors can purchase foreign financial products through multi-channels, like banks and securities companies. In recent years, the number of investors who purchase overseas stocks and ETFs through the re-delegation of securities companies (entrust to buy and sell foreign securities business) have increased by more than 1.08 trillion NTD as of June 2018. This indicates that the concept of the asset allocation globally is acceptable to Taiwan investors. An annual growth rate of 64%, reaching 452.1 billion on the overseas index stock funds (Exchange Traded Funds) from June 2017 to June 2018 shows the same finding. Therefore, the overseas index stock funds (Exchange Traded Funds) becomes a new option to investors who seeks stability for the return on the investment.
    This study is to develop an appropriated metrics to evaluate long-term performance and explore the impact of the transaction costs and the returns based on overseas active equity funds in the Taiwan market and the Vanguard Group Index Trade Funds (Exchange Traded Funds). The first part is focused on the performance evaluation from the analysis of the average returns and Sharpe indicator, Treynor indicator, and Jensen’s α. The second part is to apply the same analystic model by adding the transaction costs.
    This study is time consuming on collecting and cleaning up the historical data. The main findings are as follows:
    1. Active Equity Funds and Index Equity Funds have significant differences in transaction costs
    2. Transaction costs and performance are negatively correlated
    3. The performance by adding transaction costs between Active Equity Funds and Index Equity Funds is significantly different
    關鍵字(中)
  • 交易成本
  • 共同基金
  • Exchange Traded Funds
  • ETF
  • 指數股票型基金
  • 關鍵字(英)
  • Mutual Funds
  • ETF
  • transaction costs
  • Exchange Traded Funds
  • 論文目次 論文審定書…………………………………………………………………………i
    誌謝…………………………………………………………………………………ii
    摘要…………………………………………………………………………………iii
    Abstract ………..………………………………………………………………..…iv
    目錄…………………………………………………………………………………v
    圖次…………………………………………………………………………………vi
    表次…………………………………………………………………………………vii
    第一章 緒論………………………………………………………………………01
    第一節 研究背景與動機……………………………………………………01
    第二節 研究目的……………………………………………………………03
    第三節 研究流程……………………………………………………………04
    第四節 研究範圍與限制……………………………………………………04
    第二章 產業概況…………………………………………………………………06
    第一節 台灣共同基金發展概況…………………………………………....06
    第二節 美國被動式基金發展概況……………………………….………...08
    第三章 文獻探討…………………………………………………………………10
    第一節 主被動式基金介紹…………………………………………………10
    第二節 主被動式基金交易成本…………………………………….……...14
    第三節 主被動式基金績效………………………………………………....15
    第四節 主被動式基金交易成本與績效……………………………………18
    第四章 研究設計…………………………………………………………………20
    第一節 研究結構……………………………………………………………20
    第二節 研究方法……………………………………………………………20
    第三節 研究方法說明………………………………………………………25
    第五章 實證分析…………………………………………………………………26
    第一節 基金交易成本與基金績效…………………………………………26
    第二節 基金績效……………………………………………………………32
    第六章 結論與建議………………………………………………………………37
    第一節 結論…………………………………………………………………37
    第二節 建議…………………………………………………………………37
    第二節 未來研究方向………………………………………………………38
    參考文獻  ..………………………………………………………………………39
    附錄   …………………………………………………………………………42
    參考文獻 一、中文
    王朝仕(2016)投資組合管理:理論與實戰,初版,台北:雙葉書廊出版社。
    林碧惠(2005)景氣循環與共同基金投資組合之研究。佛光人文社會學院經濟研究所碩士論文。
    王俊凱(2008)。新興市場股票型基金績效評估: 以國內投信發行為例。暨南大學財務金融學系碩士論文。
    杜玉雯(2009)。主被動式股票型基金長期績效持續性之研究─以美國為例。靜宜大學管理碩士論文。
    林佳靜(2004)。日本股票型基金與指數型金之分析。台灣金融財務季刊,5(3),143-158。
    邱顯比(1999)。基金理財的六堂課。台北:天下遠見出版社。
    理財工具及其應用編撰委員會(主編)(2002)。理財工具及其應用。台北市:財團法人台灣金融研訓院。
    陳信憲、黃美賢、潘麗卿(2005)。影響共同基金績效因素之效果探討。企業管理學報,66,101-131。
    劉天業、曾羚、徐曉薇(2008)。被動式管理投資策略在我國市場之應用分析。證交資料,552,6-77。
    劉宗聖(2009)。買指數型基金,就對了!。台北縣:大智通。
    賴昕祐(2002)。共同基金流量及手續費與績效之關係。成功大學會計學系碩士論文。
    駱武昌、陳琬琪(2010)。ETF 之間的價差套利。績效與策略研究,7(2),1-18。
    Arnott, R. D., Hsu, J. C., & West, J. M. (2008/2010)。The fundamental index: A better way to tnvest. 張竣堯(譯)。基本面指數投資策略:降低風險成本、增長投資回報的金融創新典範。台北:財信出版社。
    Bernstein, W. (2002/2009) 。 The four pillars of investing:Lessons for building a winning portfolio. 黃逸華(譯)。投資金律:建立獲利投資組合的四大關鍵和十四個關卡。台北:臉譜出版社。
    Berstein, W. (2000/2008)。The intelligent asset allocator. 駱武昌(譯)。智慧型資產配置。台北:寰宇出版社。
    Bogle, J. C. (1993/2002)。Bogle on mutual funds:New perspectives for the intelligent investor. 帛宏(譯)。柏格談共同基金—明智投資人的新觀點。台北:寰宇出版社。
    Malkiel, B. G. (2007/2008) 。 A random walk down wall street: The time-tested strategy for successful investing. 林麗冠、楊美齡(譯)。漫步華爾街:超越股市漲跌的成功投資策略。臺北:天下遠見出版社。
    Wiseman, R.(2007/2008)。Quirkology:How we discover the big truths in small things. 洪慧芬(譯)。讓你瞬間看穿人心的怪咖心理學—史上最搞怪的心理學實驗報告。臺北:漫遊者文化出版社。
    二、英文
    Bogle, J. C. (1998). The implications of style analysis for mutual fund performance evaluation. Journal of Portfolio Management, 24(4), 34-42.
    Bogle, J. C. (2002). An index fund fundamentalist. Journal of Portfolio Management, 28(3), 31-38.
    Brown, S. J., & Goetzmann, W. N.(1995). Performance persistence. Journal of Finance, 50(2), 679-698.
    Carhart, M. M.(1997).On persistence in mutual fund performance. Journal of Finance, 52(1),57-82.
    Chan, H. W. H., Faff, R. W., Gallagher, D. R., & Looi, A.(2009). Fund Size, Transaction costs and performance: Size matters!. Australian Journal of Management, 34(1),73-96.
    Droms, W. G., & Walker, D. A.(1995).Determinants of variation in mutual fund returns. Applied Financial Economics, 5(6),383-389.
    Droms, W. G., & Walker, D. A.(1996). Mutual fund investment performance.
    Quarterly Review of Economics & Finance, 36(3),347-363.
    Elton, E. J., Gruber, M. J., & Blake, C. R.(1996). The persistence of risk-adjusted mutual fund performance. Journal of Business, 69(2), 133-157.
    Elton, E. J., Gruber, M. J., & Busse, J. A.(2004). Are investors rational? Choices among index funds. Journal of Finance, 59(1), 261-288.
    Guercio, D. D., & Tkac, P. A.(2008). Star Power: The effect of morningstar ratings on mutual fund flow. Journal of Financial & Quantitative Analysis, 43(4), 907-936.
    Ippolito, R. A. (1989). Efficiency with costly information: A study of mutual fund performance, 1965-1984. Quarterly Journal of Economics, 104(1), 1-23.
    Livingston, M., & O'neal, E. S.(1998). The cost of mutual fund distribution fees. Journal of Financial Research, 21(2), 205-218.
    Malkiel, B. G. (1995). Returns from investing in equity mutual funds 1971 to 1991. Journal of Finance, 52, 549- 572.
    Malkiel, B. G. (2005). Reflections on the efficient market hypothesis: 30 years later. Financial Review, 40(1), 1-9.
    Massa, M., & Patgiri, R.(2009). Incentives and mutual fund performance: Higher performance or just higher risk taking?. Review of Financial Studies, 22(5), 1777-1815.
    Rich, F., Stuart M., 2002. “Indexing versus Active Mutual Fund Management.” Journal of Financial Planning, Sep. Vol. 15 Issue 9, p82-94.
    Sharpe,W. F.(1966). Mutual fund performance. Journal of Business, 39(1), 119-138.
    三、網路
    Investment Company Factbook: A Review of Trends and Activities in the Investment Company Industry. 2019. Investment Company Institute. https://www.ici.org/pdf/2019_factbook.pdf
    Investment Company Factbook: A Review of Trends and Activities in the Investment Company Industry. 2018. Investment Company Institute. https://www.ici.org/pdf/2018_factbook.pdf
    Investment Company Factbook: A Review of Trends and Activities in the Investment Company Industry. 2017. Investment Company Institute. https://www.ici.org/pdf/2017_factbook.pdf
    Investment Company Factbook: A Review of Trends and Activities in the Investment Company Industry. 2016. Investment Company Institute. https://www.ici.org/pdf/2016_factbook.pdf
    晨星(2010)。晨星新聞。上網日期:2010 年 9 月 13 日,取自http://tw.morningstar.com/ap/articles/default.aspx?activetab=fview
    口試委員
  • 陳世哲 - 召集委員
  • 黃明新 - 委員
  • 林豪傑 - 指導教授
  • 口試日期 2019-05-17 繳交日期 2019-07-09

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