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台湾共同基金投资策略之探讨-因子模型之应用

【中文摘要】:过去研究指出资本资产定价模型已经无法解释报酬型态的异象

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(anomalies),採用特定投资策略(例如:规模、价值、动能、短期反转和长期反转投资策略),能够获得正向的异常报酬。本研究评估从1992年到2012年间台湾共同基金的绩效,透过研究结果发现投资人採用某些因子投资策略会有提升投资报酬的现象,且更多基金经理人开始採用因子投资策略,也不因为基金经理人採用因子投资策略而使得因子投资策略无法产生超额报酬,本研究之结论如下:

1. 1992年至2012年基金经理人多採用市场因子策略,实证结

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果显示长期反转因子能够获得较高的超额报酬。

2. 2004年通过「证券投资信託及顾问法」后,并不影响因子投资策略的绩效结果;基金经理人可以透过买进长期反转因子的股票,卖出价值因子的股票以获得良好的超额报酬。

3. 基金经理人宜仅採用单一的因子投资策略,两至三种以上的策略将不利获得超额报酬。
【英文摘要】:Capital Asset Pricing Model (CAPM) couldn’t explain the anomalies phenomenon of performance. By adopting investment strategies, for example: small cap, value, momentum, short-term reversal and long-term reversal strategy can consistently earn positive abnormal returns. For this purpose we evaluate the performance of a large sample of Taiwan mutual funds over the period 1992 to 2012. We find evidence supporting the values added of fund managers adopting factor models. We also find that these excess returns are sustainable and have not disappeared after the public dissemination of the anomalies when more and more fund managers

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have started to adopt factor investment strategies.

Some findings of this study are as follow:

1. Fund managers always adopt market factor investment strategy over the period of 1992 to 2012. The results comes out long-term reversal factor could earn higher abnormal returns.

2. After passing through Securities Investment Trust and Consulting Act, it won’t affect the performance of factor investment strategy. Fund manager can buy the stock of long-term reversal, and sell the stock of value factor to earn abnormal returns.

3. Fund manager should adopt one-factor investment strategy, two or three more factors can’t earn abnormal returns.
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  • 来源:中山大学;作者:张珺岚
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