金融海嘯前後共同基金績效的持續性

Abstract

本篇論文主要的研究目的是檢視8種類型的共同基金績效的持續性。首先我們採用四種定價模型來衡量基金的績效，分別是CAPM、Fama & French三因子模型、Carhart四因子模型以及Pástor and Stambaugh五因子模型，分析過程中我們以金融海嘯為切點，分別探討海嘯前與海嘯後的績效變化是否有顯著差異。再來我們使用無母數模型(Cross-product ratio) 分析基金績效的持續性。從結果我們發現基金的屬性確實是會影響績效的表現，而受到金融海嘯的衝擊，績效前後期的表現也是呈現顯著差異。在海嘯後幾乎只有Sector Funds 與Income Funds能繼續呈現超額報酬存在。更進一步也指出，海嘯前只有Large Cap Funds會有長期正向持續存在，絕大部分的種類只有顯示短期正持續的傾向，而海嘯期間也僅有Sector Funds能繼續維持正向持續。

The purpose of this paper is to examine the persistence of performance for 8 kinds of mutual funds styles over 1998 to 2011. We use four models which have CAPM, Fama & French three-factor model, Carhart four-factor model and Pástor & Stambaugh five-factor model to measure performance. Also, we separate the sample into two portions of the Pre- Crisis and the Post- Crisis period to compare. Then, we utilize the nonparametric methodology Cross-product ratio to examine the persistence of performance. Our tests find that the performances of mutual funds indeed are dependent upon styles and the shock of financial crisis. Only Sector Funds and Income Funds almost indicate remarkable performance at Post-Crisis period. Furthermore, we suggest that only Large Cap Funds exhibit remarkable performance persistence in the long run, most of them merely exist for short-term. Also, only Sector Funds show positive persistence during crisis.