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研究生： 陳昱廷
Chen, Yu-Ting
論文名稱： 社會責任共同基金績效持續性之研究
A Study on the Performance Persistence of Socially Responsible Mutual Funds
指導教授： 顏盟峯
Yen, Meng-Feng
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2010
畢業學年度： 98
語文別： 中文
論文頁數： 45
中文關鍵詞： 社會責任共同基金 、道德基金 、績效持續性
外文關鍵詞： socially responsible mutual funds, ethical funds, performance persistence
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    • 本研究從晨星公司和社會投資論壇所提供的資料篩選出210支社會責任共同基金，並檢定從CRSP資料庫取得的月報酬來衡量社會責任共同基金的績效持續性。利用單因子模型、Fama and French (1993)三因子模型和Carhart (1997)的四因子模型，我們計算每支基金的alpha估計值，並分別利用迴歸分析和事件情況表來檢視績效持續性。實證結果發現，社會責任共同基金不具績效持續性。

    This study screens 210 socially responsible mutual funds from the lists provided by Morningstar, Inc. and Social Investment Forum and examines their monthly returns obtained from the CRSP US mutual fund database to see if socially responsible mutual funds perform consistently across time. Employing the single-factor model, the Fama and French (1993) three-factor model and the Carhart (1997) four-factor model, we calculate the alpha value of each single fund and adopt a regression-based method and a contingency table-based method, respectively, to investigate whether these funds’ performance persist. The empirical results of this study do not appear to show statistically significant evidence of performance persistence among those socially responsible mutual funds.

    摘要 I ABSTRACT II 誌謝 III 第一章 緒論 1 1.1 研究背景 1 1.2 研究動機與目的 3 第二章 文獻探討 5 2.1 社會責任共同基金相關研究 5 2.2 績效持續性檢定(performance persistence test) 11 2.2.1 無母數方法－事件情況表(Contingency Table) 11 2.2.2 參數方法－迴歸(Regression) 14 2.2.3 整體基金投組化後的絕對績效或相對績效檢定－因子模型法 16 第三章 研究方法 18 3.1 資料 18 3.2 績效衡量模型 20 3.2.1 因子模型 21 3.3 績效持續性檢定 22 3.3.1 事件情況表(Contingency Table) 22 3.3.2 簡單迴歸法(Simple Regressions) 23 3.3.3 量測誤差(Measurement Errors) 23 3.3.4 加權最小平方法(Weighted Least Squares Approach) 24 第四章 實證結果與分析 26 4.1 資料描述 26 4.2 估計社會責任共同基金的績效 26 4.3 績效持續性檢定 26 4.3.1 事件情況表 27 4.3.2 簡單迴歸法 30 4.3.3 加權最小平方法 31 第五章 結論 34 5.1 主要發現 34 5.2 研究限制與未來研究建議 34 參考文獻 36 附錄 A 39 附錄 B 42

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