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    Title: 國內股票型基金不定期定額投資方法績效研究
    The analysis of investment effects of mutual fund under aperiodic with fixed-amount investment Strategy
    Authors: 吳惠君
    Wu, Hui Chun
    Contributors: 戚務君
    吳惠君
    Wu, Hui Chun
    Keywords: 基金績效
    投資策略
    不定期定額
    定期定額
    fund performance
    investment strategy
    value averaging
    dollar cost averaging
    Date: 2016
    Issue Date: 2016-07-01 15:04:51 (UTC+8)
    Abstract: 共同基金在國內已經發展三十餘年,已成為國人一項重要的投資理財工具。唯傳統的基金設計係以「定期定額」的方式來操作,而本研究目的在於設計一套「不定期定額逢低投資」的操作方式,並證實該方式的投資績效係顯著優於傳統的基金操作。具體而言,本研究以2011年1月至2015年12月合計五年之基金每日淨值歷史資料,藉以比較定期定額與不定期定額(實際策略為當台股加權指數跌幅大於前一日1.25%即自動進行定額投資)分別在一年期、三年前、五年期以及金融海嘯期間(2008年)的績效表現。調查結果證實,不定期定額的績效均顯著優於定期定額的表現。本研究的結論可以提供投信產業設計新穎的共同基金,以提供投資人差異化的理財策略選擇。本研究相信,「不定期定額逢低投資組合」相當適合資金較充裕的積極型投資者。
    Mutual funds have been developed in Taiwan for more than 30 years and are now an important investment and financial tools for the people. Nonetheless the practice of traditional funds was designed through “dollar-cost averaging” and the study intends to design a practice of “value averaging bargain investment” to prove that the investment performance of the practice is significantly better than the traditional funds practice. Specifically, this study selected five years of NAV information from January 2011 to December 2015 to compare the performance of dollar cost averaging and value averaging (actual strategy was automatic fixed-amount investment when Taiwan Stock Exchange Capitalization Weighted Stock Index dropped 1.25% lower than previous day) based on strategic investment holding periods of one year, three years, five years and during the financial crisis (2008). The result proved that the performance of value averaging was significantly better than dollar cost averaging. The conclusion of this study could provide differentiated fiscal strategy for investment trust industry to design new mutual funds for investors. The study states that “the combination of value averaging and bargain investment” is more suitable for active investors with sufficient funds.
    Reference: 一、中文文獻:
    伍忠賢 (2011),基金投資與管理,台北:五南圖書。
    李憲良(2005),「共同基金在不同的投資模式下投資效益之研究—以定期不定額、定期定額及單筆投資為研究」,私立實踐大學企業管理學研究所,碩士論文。
    吳耀邦(2010),「從台股指數及台灣景氣信號分數判讀共同基金分期及分額投資之研究」,臺灣大學財務金融組,碩士論文。
    邱顯比 (2005),基金理財的六堂課(二版),台北:天下遠見出版。
    林真如(1996),「投資持有期間與資產風險分散關係之研究」,國立台灣大學財務金融研究所,碩士論文。
    林寶珠 (2013),投資女王:賺錢基金尋寶圖,台北:原富傳媒。
    陳啟剛(2006),「股票型基金分級投資與定期定額投資酬之研究」,淡江大學企業管理學系碩士在職專班,碩士論文。
    張博皓(2001),「定期定額投資的特性及其績效表現之實證」,國立成功大學企業管理學系,碩士論文。
    孫立方(2006),「共同基金投資策略及投資組合之實證研究」,高雄應用科技大學商務經營研究所,碩士論文。
    莊麗蕙(2014),「共同基金投資方法之風險與績效研究:定期定額、定期不定額與單筆總額投資之比較」,國立臺北大學國際財務金融碩士在職專班,碩士論文。
    董慶輝(2009),「定期定額與總額投資策略績效之比較:以主動型與被動型基金為實證對象」,國立中正大學財務金融所,碩士論文。
    黃鏡宇(1998),「台灣股市投資期間效果之研究」,國立台灣大學商學研究所,碩士論文。
    黃麗娜(2010),「國內股票型基金投資效益比較─研究定期定額、單筆投資及定期不定額之投資方式」,國立臺北大學國際財務金融碩士在職專班,碩士論文。
    羅文奇(2005),「定期定額與買低賣高投資策略之比較」,逢甲大學統計與精算所,碩士論文。
    鍾佳瑋(2004),「股票型共同基金定期式投資策略之比較探討」,私立實踐大學企業管理學研究所,碩士論文。
    蔡穗馥、吳億亭(2013),「金融危機事件對台灣股票市場的報酬與波動性之影響」,東吳經濟商學學報,第八十一期,頁69-93。
    鄭琳晶(2016),「三個檢視重點 安心走過高波動試煉」,今周刊,993期,頁118-120。
    蕭碧燕 (2013),蕭碧燕教你 有錢退休,靠基金就對了,台北:Smart智富文化,城邦文化。
    蕭碧燕 (2011),蕭碧燕教你 靠基金,小錢也能變大錢,台北:Smart智富文化,城邦文化。
    中華民國證券投資信託暨顧問商業同業公會(2013),中華民國證券投資信託暨顧問商業同業公會展翼30專刊。

    二、英文文獻:
    Abeysekera, S. P., E. S. Rosenbloom (2000), ASimulation Model for Deciding Between Lump-Sum and Dollar-cost Averaging. Journal of Financial Planning, Vol. 13, 86-96.
    Cohen, J. B., E. D. Zinbarg, and A. Zeikel. (1977), Investment Analysis and Portfolio Management, Irwin.
    Constantindides, G. M. (1979), June, A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy. Journal of Financial and Quantitative Analysis, Vol. 14, No. 2, 443-450.
    Edleson, M. E. (1988), August, Value averaging: A new approach to accumulation, American Association of Individual Investors Journal, 11-14.
    Israelson, C. L. (1999), January, Lump Sums Take Their Lumps:Contrary to Popular Opinion, Lump-sum Investing Doesn’t Always Result in Superior Returns Over Dollar-cost Averaging, Financial Planning, 51-56.
    Kahneman, D., and A. Tversky (1979), Prospect Theory: An Analysis of Decision Making Under Risk, Econometric, 263-291.
    Leggio, K. B. and Lien, D. (2001), December, Does loss aversion explain dollar-cost averaging? Financial Services Review, Vol. 10, 117-127.
    Malkiel, B. G. (1975), A Random Walk Down Wall Street, New York, Norton.
    Meir, S. (1995), A Behavioral Framework for Dollar-Cost Averaging, The Journal of Portfolio Management, Vol. 22, No. 1, 70-78.
    Marshall, P. S. (2000), Spring, A Statistical Comparison of Value Averaging VS. Dollar Cost Averaging and Random Investment Technique, Journal of Financial and Strategic Decisions, Vol. 13, No. 1.
    Pye, G. (1971), March, Minimax Policies for Selling an Asset and Dollar Averaging, Management Science, Vol. 17, No. 7, 379-393.
    Rozeff, M. S. (1994), Spring, Lump-Sum Investing Versus Dollar-Cost Averaging, The Journal of Portfolio Management, 45-50.
    Stumpp, M. (1995), April, The Dollar Cost Fallacy, Forbes, Vol. 155, 59.
    Williams, R. E. and Bacon, P. W. (1993), Lump Sum Beats Dollar-Cost Averaging, Journal of Financial Planning, Vol. 6, No. 2, 64-67.
    三、網頁資料:
    1.中華民國證券投資信託暨顧問商業同業公會,http://www.sitca.org.tw/
    2.日盛投信,https://www.jsfunds.com.tw/default.aspx
    3.台灣經濟新報資料庫,http://www.tej.com.tw/twsite/
    4.台灣證券交易所,http://www.twse.com.tw/ch/
    5.兆豐國際投信,http://www.megafunds.com.tw/
    6.保德信投,http://www.pru.com.tw/
    7.國泰投信,http://www.cathaysite.com.tw/
    8.摩根投信,https://www.jpmrich.com.tw/
    9.復華投信,http://www.fhtrust.com.tw/
    10.富邦投信,https://www.fubon.com/
    11.維基百科,https://zh.wikipedia.org
    12.第一金投信,https://www.fsitc.com.tw/
    13.瀚亞投信,https://www.eastspring.com.tw/wps/portal
    14.群益投信,https://www.capitalfund.com.tw/
    Description: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    103932125
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103932125
    Data Type: thesis
    Appears in Collections:[經營管理碩士學程EMBA] 學位論文

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