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研究生： 王文鋒
Wang, Wen-Feng
論文名稱： 401(K)計畫選單基金之特色—以基金積極比率和追蹤誤差來看
The Funds’ Characters of the 401(K) Plan Menu—Using the Fund’s Active Share and Tracking Error to View
指導教授： 賴慧文
Lai, Whuei-Wen
學位類別： 碩士
Master
系所名稱： 管理研究所
Graduate Institute of Management
論文出版年： 2016
畢業學年度： 104
語文別： 中文
論文頁數： 28
中文關鍵詞： 401(K) 、因素投資 、積極比率 、追蹤誤差
英文關鍵詞： 401(K), Factor Investing, Active Share, Tracking Error
DOI URL： https://doi.org/10.6345/NTNU202204579
論文種類： 學術論文
相關次數： 點閱：59  下載：7 
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    • 過去有不少針對確定提撥制（defined contribution plan；DC plan）中的投資標的做實證研究，結果發現確定提撥制的投資標的有低追蹤誤差的特性，而近年來市場開始關注因素投資(factor investing )策略，實務上的策略也開始使用因素投資，而以積極比率和追蹤誤差的基金分類當中，因素賭注(factor bets)和集中股票挑選(concentrated stock picks)類型的基金都有因素投資的成份，所以本次研究以此兩種類型股票為研究目標，分析是否為因素賭注和集中股票挑選類型的基金較易被納入401(K)計畫當中。本研究透過蒐集2013年至2015年的401(K)計畫選單投資標的和CRSP基金資料，並利用羅吉斯迴歸模型作為實證分析模型，結果顯示因素賭注和集中股票挑選類型的基金被納入401(K)計畫選單當中的機率較高。

    In the past, the research found that the investment targets in the defined contribution plan had the characteristic of low tracking error. In recent years, the investment market start following the factor investing strategy. And some investors start using the factor investing strategy in the practical. Funds can be used tracking error and active share to sort to four categories of funds. In these four categories, the factor bets and concentrated stock picks kinds of funds have the characteristic of factor investing. As a result, this research use these two kinds of funds to be the research object. And the purpose is to analyze weather the factor bets and concentrated stock picks kinds of funds have the high probability to be put in the 401(K) menu. This research collect the investment targets in the 401(K) menu and the CRSP fund data from 2013 to 2015. The result show that the factor bets and concentrated stock picks kinds of funds have the high probability to be put in the 401(K) menu.

    目錄 第一章、 緒論.............................................. 1 第一節、研究動機 .......................................... 1 第二節、研究目的 ...........................................2 第三節、研究架構 .......................................... 3 第二章、 文獻回顧與假說 ....................................5 第一節、確定提撥制（defined contribution plan；DC plan).....5 第二節、確定提撥制投資標的之特性 ...........................6 第三節、401(K)計畫選單 .................................... 7 第四節、因子投資策略(factor investing) .................... 8 第五節、假說 ..............................................10 第三章、研究方法及樣本 .....................................12 第一節、變數定義 .......................................... 12 第二節、模型 .............................................. 13 第三節、控制變數 .......................................... 15 第四節、樣本 .............................................. 16 第四章、 模型實證與資料分析 ................................17 第一節、敘述性統計 ........................................ 17 第三節、集中股票挑選(concentrated stock picks)類型基金之實證分析................................... ......................21 第五章、結論 .............................................. 23 參考文獻 .................................................. 24 附錄 ...................................................... 26 圖目錄 圖 1-1 研究架構 .............................................4 圖 2-1基金分類圖 (Cremers & Petajisto 2009)) ................9 表目錄 表 3-1 基金的分類 ..........................................12 表 4-1虛擬變數資料分布狀況 .................................17 表 4-2變數之統計量 .........................................18 表 4-3因素賭注(factor bets)類型基金羅吉斯迴歸分析結果 ......18 表 4-4集中股票挑選(concentrated stock picks)類型基金羅吉斯迴歸分析結果 ...................................................21

    英文文獻
    Bhattacharya, Utpal, Jung H. Lee, and Veronika K. Pool, 2013 , Conflicting family values in mutual fund families, The Journal of Finance 68.1: 173-200.

    Busse, Jeffrey A., T. Clifton Green, and Klaas Baks, 2007, Fund managers who take big bets: Skilled or overconfident.

    Chen, Hsuan-Chi, Christine W. Lai, and Sheng-Ching Wu, 2016, Mutual fund selection and performance persistence in 401 (k) Plans, North American Journal of Economics and Finance 35: 78-100.

    Sialm, Clemens, T. Starks, and Hanjiang Zhang, 2015, Defined contribution pension plans: Mutual fund asset allocation changes, American Economic Review 105: 432-436.

    Coggin, T., Fabozzi, F., & Rahman, S., 1993, The Investment performance of U.S. equity pension fund managers: An empirical investigation. Journal of Finance 48:1039-1055.

    Cremers KJ, Petajisto A., 2009, How active is your fund manager? A new measure that predicts performance. Rev Financ Stud 22:3329–3365

    Guercio, Diane Del, and Paula A. Tkac, 2002, The determinants of the flow of funds of managed portfolios: Mutual funds vs. pension funds, Journal of Financial and Quantitative Analysis 37.04: 523-557.

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    Elton, Edwin J., Martin J. Gruber, and Christopher R. Blake, 2007, Participant reaction and the performance of funds ordered by 401(k) plans, Journal of Financial Intermediation 16:249-271.

    Holmgren, Anton, and Oscar Sterndahlen, 2012, Active management–How actively managed are swedish funds? , Journal of Finance 50.2: 549-572.

    Horan, Stephen M., 1998,A comparison of indexing and beta among pension and Non-Pension assets, Journal of Financial Research 21.3: 255-275.

    Koedijk, Kees CG, Alfred Slager, and Philip A. Stork, 2013, Investing in systematic factor premiums, Revised version: European Financial Management Forthcoming

    Petajisto, Antti, 2013, Active share and mutual fund performance, Financial Analysts Journal 69.4 : 73-93.

    Sialm, Clemens, and Laura Starks, 2012, Mutual Fund Tax Clienteles, Journal of Finance 67: 1397-1422.

    Sialm, Clemens, Laura Starks, and Hanjiang Zhang, 2014, Defined contribution pension plans: sticky or discerning money? Journal of Finance, Vol. 70, No. 2: 805-838.

    Veronika K. Pool, Clemens Sialm, and Irina Stefanescu, 2015, It pays to set the menu:Mutual fund ivestment options in 401(k) plans, Working Paper

    中文文獻
    廖嘉珮，2008，The Determinants of Mutual Fund Lists in 401(k) Plan

    楊欣蓉，2009，Institutional Holdings and the Selection of Mutual Funds into 401(k) Plans

    其他參考文獻
    華爾街日報，2011，Here's What's Really Driving Your Returns

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