全權委託績效評估與風格型態分析

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姓名

許仁綜(Jen-Tsung Hsu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

全權委託績效評估與風格型態分析
(Investment Performance Measurement and Style Analysis: Evidence from Taiwan Discretionary Account Business Market)

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摘要(中)

全權委託投資業務實施將近有7年的時間，然而學術界對全權委託績效評估的研究仍相當稀少，本文主要目的乃是對全權委託投資業務進行系統性的研究。首先，根據美國投資管理與研究協會(AIMR)所公布的國際投資績效準則(GIPS)，選定合適地投資績效評估指標來估算全權委託投資報酬。進一步探討全權委託市場的各種現象，研究發現：1.在契約委託金額方面，委託金額較大的契約其投資績效會顯著優於委託金額較小的契約；2.在委任公司類別的投資績效評比方面，委由投信公司操作的委託契約其操盤績效顯著優於投顧公司的操盤績效；3.從投信公司所有委託契約與共同基金之投資績效評比發現，投信公司旗下的共同基金的投資績效是顯著優於全權委託的投資績效；4.由四大基金委外代操的契約之投資績效會顯著優於非四大基金的委託契約。其次，以Sharpe (1988,1992)所提出的風格型態分析模型探討全權委託投資契約的投資風格型態，有63.16%的委託契約之投資風格型態是以小型公司(small size)之投資風格，另外有25.44%是屬於綜合型的投資風格型態。最後，探討全權委託投資人之投資行為是否具有處分效果的現象，研究發現在全權委託投資業務中，投資人的投資行為並不存在有處分效果。

摘要(英)

The Discretionary Account Business (DAB) has implemented nearly 7 years but there are few academic researches to survey the investment performance of DBA. The main purposes of this research systemically survey the investment measure of DAB. According to the Global Investment Performance (GIPS) that stated by Association for Investment Management and Research (AIMR), we select suitable investment measures to calculate the contracts’ performance of DAB. We find the following interesting results. 1. For the fund’s size of DAB contracts, the investment performances of big size funds are greater than those of small size funds. 2. For the authorizing companies, the investment performances of the contracts that authorized by the securities investment trust company are greater than those that authorized by the securities investment consulting company. 3. Comparing the performance between mutual funds and contracts of DAB in the same investment trust company, we find that the performance of mutual funds is greater than the contracts of DAB. 4. Comparing the performance between government funds and non-government funds, the performance of the government funds is greater than non-government funds. Using style analysis model provided by Sharpe (1998, 1992), there are 63.16% contracts that their investment style is small-cap investment style and 25.44% contracts that their investment style is mix investment style. Finally, we investigate that the investors’ behaviors of DAB accounts and examine investors’ behaviors whether existing disposition effect. We find that the investors’ behaviors of DAB are not existing disposition effect.

關鍵字(中)

★ 風格型態分析
★ 規模效果
★ 處分效果
★ 全權委託投資業務
★ 投資績效評比

關鍵字(英)

★ Style Analysis
★ Investment Performance Measurement
★ Size Effect
★ Disposition Effect
★ Discretionary Account Business (DAB)

論文目次

目錄
目錄……………………………………………………………………Ⅰ
圖目錄…………………………………………………………………Ⅲ
表目錄…………………………………………………………………Ⅳ
第一章緒論……………………………………………………………1
第一節研究背景與動機…………………………………………1
第二節研究目的…………………………………………………6
第三節研究限制…………………………………………………7
第四節研究架構…………………………………………………7
第二章全權委託投資業務管理架構與文獻探討…………………9
第一節全權委託投資業務管理架構……………………………9
第二節全權委託投資績效評估指標……………………………11
第三節風格分析與處分效果……………………………………15
第三章全權委託投資績效評估………………………………………21
第一節績效評估指標與研究假說………………………………21
第二節樣本選取與資料來源…………………………………25
第三節實證結果與分析…………………………………………26
第四節本章小結………………………………………………49
第四章全權委託投資風格分析與處分效果之探討…………………51
第一節風格型態分析模型設定與資料來源……………………51
第二節全權委託投資業務風格型態分析………………………59
第三節全權委託投資業務處分效果之探討……………………70
第四節本章小結…………………………………………………74
第五章結論與建議…………………………………………………76
第一節結論………………………………………………………76
第二節研究建議…………………………………………………79
參考文獻……………………………………………………………80
圖目錄
圖1-1 全權委託投資業務統計表(2001-2007)………………………2
圖2-1 委託人、投信投顧業者與保管機構三方管理架構圖………10
圖4-1 10種分類資產指數月報酬率走勢圖 ………………………54
圖4-2 台灣50指數風格特性序列(2004,01-2007,12：24個月觀察區間)……………………………………………………57
圖4-3 台灣50指數與風格標竿指數報酬率之比較………………58
表目錄
表3-1 三種投資績效評估指標之比較……………………………22
表3-2 全權委託投資型態、委託人類別與投資區域之統計表……27
表3-3 全權委託投資報酬率、委託金額與委託期間統計表………28
表3-4 全權委託投資績效與加權指數報酬率差異之檢定………30
表3-5 委託金額、委任公司與持續或終止委託之投資績效統計表.32
表3-6 全權委託投資契約月報酬率差異性檢定……………………35
表3-7 全權委託投資業務收費標準(A投信公司)…………………36
表3-8 小型全權委託契約與大型全權委託契約月報酬率差異性檢定…………………………………………………………38
表3-9 投信公司全權委託契約與投顧公司全權委託契約月報酬率差異性之檢定……………………………………………………41
表3-10 共同基金投資報酬率與全權委託契約投資報酬率差異之檢定………………………………………………………………43
表3-11 投信公司旗下共同基金投資報酬率與全權委託契約月報酬率差異之檢定……………………………………………………45
表3-12 四大基金與非四大基金全權委託契約報酬率差異之檢定…46
表3-13 四大基金委託契約與非四大基金委託契約月報酬率差異之檢定…………………………………………………………48
表4-1 台灣50指數之風格型態分析(2004.01-2007.12)…………56
表4-2 風格型態分析模型之複判定係數統計表……………………60
表4-3 全權委託投資風格型態分析統計表…………………………61
表4-4 全權委託契約月報酬率………………………………………62
表4-5 委託契約數與委託金額統計表………………………………63
表4-6 經理人選股能力、委託契約平均報酬率與Jensen’s α…64
表4-7 經理人選股能力之迴歸分析…………………………………65
表4-8 委託契約平均報酬率之迴歸分析…………………………67
表4-9 全權委託契約之迴歸分析…………………………69
表4-10 處分效果統計表( )………………………………………72

參考文獻

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指導教授

周賓凰、史綱
(Pin-Huang Chou、Gang Shyy)

審核日期

2008-6-20

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