臺灣股票基金與外資法人之績效：DEA方法之應用

• Main Author: 陳佳男
• Other Authors: 郭嘉祥
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/08893764926992326552

碩士 === 東吳大學 === 商用數學系 === 91 === The recent studies in finance show that size, book-to-market ratio, and momentum are the factors which can explain most of cross-sectional variations in stock returns. This paper incorporates these factors into the DEA method as the “inputs” and then attempt to evaluate the performances of Taiwan institutional investors (including Taiwan stock funds and QFIIs). However, this application of the DEA method is different from those in the literatures which use transaction costs, fund sizes, turnover ratios, or risk factors as the inputs. The concept in the thesis is an explanatory-type relation between the inputs and the output, rather than a production-type relation. This study also adopts the characteristic-based benchmark method developed by Daniel et al.(1997) which takes the three factors as stocks'' characteristics. We intend to compare the results derived from this method to those from the DEA method. Generally speaking, because of professional knowledge and long time experiences of QFIIs, it is thought that QFIIs may have better performances than domestic stock funds. This study also tries to examine whether QFIIs achieve better performances. The data include 120 Taiwan stock funds which exist at least for 3 and half years and the share holdings of all QFIIs as a portfolio. The estimation period is from April 1996 to September 2002 (six and half years totally). There are four primary findings in this paper : (1) The average share-holding characteristics of both domestic funds and QFIIs indicate above-median size and momentum but under-median book-to-market ratio. (2) The empirical results of the characteristic-based benchmark method show that most domestic funds have no selection abilities (Among 120 funds, there are 21 funds having statistically significant excess returns); the analysis of DEA method show that the efficiency measures for all institutional investors in the sample range from 0.57 to 0.73. (3) The difference between the performances of QFIIs and domestic funds is not statistically significant. (4) The efficiency values obtained from the DEA method and the excess returns derived from the characteristic-based benchmark method present moderate correlation. Key words: DEA、Characteristic-Based Benchmark Method、Fund、QFII