臺灣博碩士論文加值系統

本研究欲探討不動產共同基金是否導因於不動產市場存在資訊不對稱之問題，使得不動產基金之表現，並不同於一般股票型基金，而有超額報酬之績效。實證結果顯示，無論使用何種不動產指數為風險調整之市場指標，不動產基金皆具有顯著正超額報酬，顯示不動產基金之績效普遍擊敗大盤。我們藉由檢驗不動產基金經理人是否具有較佳之擇時與選股能力，與共同因子之橫斷面迴歸分析，和績效之持續性分析等，皆提供了不動產市場確實存在嚴重資訊不對稱的問題，導致不動產市場不效率的證據。

This study tests whether the information asymmetry of real estate market, causes the positive abnormal return of real estate mutual funds. Empirical result shows that no matter whatever real estate market index is used to calculate risk-adjusted return, the real estate mutual funds’ performance has positive abnormal return significantly. It means that the real estate mutual funds generally beat the market. We also examine the real estate mutual funds’ performance by using the timing and selectivity model, common factor’s cross-sectional regression, and the performance persistence model. All tests provide evidence that information asymmetric problems in deed exist in the real estate market seriously, resulting in the real estate market inefficiency.

目 錄
第壹章 緒論 ………………………………………………… 1
第一節 研究動機 …………………………………………… 1
第二節 研究目的 …………………………………………… 6
第貳章 文獻探討 …………………………………………… 9
第一節 共同基金績效衡量之模型探討 …………………… 9
第二節 共同基金績效衡量之實證研究 …………………… 13
第三節 不動產共同基金之績效研究 ……………………… 16
第參章 研究設計 …………………………………………… 23
第一節 研究假說 …………………………………………… 23
第二節 樣本描述與處理 …………………………………… 25
第三節 研究方法 …………………………………………… 28
第四節 研究限制 …………………………………………… 31
第肆章 實證結果與分析 …………………………………… 33
第一節 樣本之基本統計量分析 …………………………… 33
第二節 不動產基金之績效分析 …………………………… 34
第三節 不動產基金經理人擇時與選股能力之探討 ……… 38
第四節 不動產基金績效之橫斷面分析 …………………… 41
第五節 不動產基金績效之持續性分析 …………………… 44
第伍章 結論與建議 ………………………………………… 49
第一節 研究結論 …………………………………………… 49
第二節 對後續研究之建議 ………………………………… 50
參考文獻 ……………………………………………………… 53
英文部分 ……………………………………………………… 53
中文部分 ……………………………………………………… 56
圖 次
圖1-1 研究流程圖 …………………………………………… 8
表 次
表2-1 共同基金績效持續性分析相關文獻 ………………………20
表2-2 共同基金績效相關文獻 ……………………………………21
表2-3 不動產共同基金績效相關研究文獻 ………………………22
表3-1 Wells S&P500 REIT Index Fund 之公開說明書 ……… 32
表4-1 市場報酬率之基本統計量 …………………………………33
表4-2-1 各市場指標間之相關係數 ………………………………34
表4-2-2 各市場指標間之相關係數(續) …………………………34
表4-3 不動產基金超額報酬之績效分析 …………………………35
表4-4 子期間內不動產基金超額報酬之績效分析 ………………37
表4-5 使用TM模型檢驗基金經理人擇時及選股能力 ……………39
表4-6 使用HM模型檢驗基金經理人擇時及選股能力 ……………40
表4-7 各解釋變數之基本統計量 …………………………………41
表4-8 各解釋變數之相關係數矩陣 ………………………………41
表4-9-1 各不動產指數超額報酬之橫斷面分析 …………………43
表4-9-2 各不動產指數超額報酬之橫斷面分析(續) ……………44
表4-10 以六個月遞沿報酬檢驗不動產基金績效之持續性 …… 45
表4-11 以一年遞沿報酬檢驗不動產基金績效之持續性 ……… 46
表4-12 以二年遞沿報酬檢驗不動產基金績效之持續性 ……… 47

英文部分
1.Action, M. J., June 19, 1997, Taking the RAP(per) off real estate mutual funds, Bloomberg.
2.Bollen, Nicolas P. B. and Jeffrey A. Busse, 2001, On the timing ability of mutual fund managers, Journal of Finance 56, 1075-1094.
3.Brown, S. J. and W. N. Goetzmann, 1995, Performance Persistence, Journal of Finance 50, 679-698.
4.Carhart, Mark M., 1997, On persistence in mutual fund performance, Journal of Finance 52, 57-82.
5.Carlson, R. S., 1970, Aggregate performance of mutual funds, Journal of Financial and Quantitative Analysis 5, 1-31.
6.Chang, Eric C. and Wilbur G. Lewellen, 1984, Market timing and mutual fund investment performance, Journal of Business 57, 57-72.
7.Dybvig, Philip H. and Stephen A. Ross, 1985, Differential information and performance measurement using a security market line, Journal of Finance 40, 383-399.
8.Elton, Edwin J., Martin J. Gruber, and Christopher R. Blake, 1993, The performance of bond mutual funds, Journal of Business 66, 371-403.
9.Elton, Edwin J., Martin J. Gruber, and Christopher R. Blake, 2001, A first look at the accuracy of the CRSP mutual fund database and a comparison of the CRSP and Morningstar mutual fund database, Journal of Finance 56, 2415-2430.
10.Fabozzi, Frank J. and Jack C. Francis, 1979, Mutual fund systematic risk for bull and bear markets: An empirical examination, Journal of Finance 34, 1243-1250.
11.Fama, Eugene F. and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
12.Gallo, John G., Larry J. Lockwood, and Ronald C. Rutherford, 2000, Asset allocation and the performance of real estate mutual funds, Real Estate Economics 28, 165-184.
13.Goetzmann, William N. and Roger G. Ibbotson, 1994, Do winners repeat? , Journal of Portfolio Management 20, 9-18.
14.Goetzmann, William N., 2000, Monthly measurement of daily timers, Journal of Financial and Quantitative Analysis 35, 257-290.
15.Grossman, S., and J. Stiglitz., 1980, On the Impossibility of Informationally Efficient Markets, America Economic Review 70, 393-408.
16.Grinblatt, Mark and Sheridan Titman, 1993, Performance measurement without benchmarks: An examination of mutual fund returns, Journal of Business 66, 47-68.
17.Hendricks, Darryll, Jayendu Patel, and Richard Zeckhauser, 1993, Hot hands in mutual funds: Short-run persistence of relative performance, Journal of Finance 48, 93-130.
18.Henriksson, Roy D. and Robert C. Merton, 1981, On market timing and investment performance. II. statistical procedures for evaluating forecasting skills”, Journal of Business 54, 513-533.
19.Jensen, Michael C., 1968, The performance of mutual funds in the period 1945-1964, Journal of Finance 23, 389-416.
20.Kallberg, Jarl G., Crocker L. Liu, and Charles Trzcinka, 2000, The value added from investment managers: An examination of funds of REITs, Journal of Financial and Quantitative Analysis 35, 387-408.
21.Lehmann, Bruce N. and David M. Modest, 1987, Mutual fund performance evaluation: A comparison of benchmarks and benchmark comparisons, Journal of Finance 42, 233-265.
22.Myer, F. C. Neil and James R. Webb, 2000, Management styles of REIT funds, Journal of Real Estate Portfolio Management 6, 339-348.
23.O’Neal, Edward S. and Daniel E. Page, 2000, Real estate mutual funds: Abnormal performance and fund characteristics, Journal of Real Estate Portfolio Management 6, 239-247.
24.Roll, W. R., 1978, Ambiguity when performance is measured by security market line, Journal of Finance 33, 1051-1069.
25.Sharpe, William F., 1966, Mutual fund performance, Journal of Business 39, 119-138.
26.Sharpe, William F., 1992, Asset allocation: Management style and performance measurement, Journal of Portfolio Management 18, 7-19.
27.Treynor, Jack L., 1965, How to rate management of investment funds, Harvard Business Review 13, 63-75.
28.Treynor, Jack L. and Kay K. Mazuy, 1966, Can mutual fund outguess the market? , Harvard Business Review 44, 131-136.
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中文部分
1.陳漢洋，國內基金擇時及選股能力績效評估－時間數列分析TF、VARMA法之應用，淡江大學財務金融研究所未出版碩士論文，民國八十七年六月。
2.曾少芳，國內股票型基金風格與績效持續性之研究，國立台灣大學財務金融研究所未出版碩士論文，民國八十六年六月。
3.游吉盛，國內共同基金績效評估之研究，國立中興大學企業管理研究所未出版碩士論文，民國八十七年六月。
4.邱顯比，基金理財的六堂課，天下遠見出版股份有限公司，民國八十八年二月。
5.巫慧燕，基金百科，金錢文化企業股份有限公司，民國八十六年三月。