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研究生： 張湘芸
Chang, Hsiang-Yun
論文名稱： 以逐步真實性檢定探討避險基金績效的有效性
A Stepwise Multiple Testing on Hedge Funds' Performance
指導教授： 顏盟峯
Yen, Meng-Feng Stephane
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： 2008
畢業學年度： 96
語文別： 英文
論文頁數： 58
中文關鍵詞： 資料探勘效應 、對沖基金 、七因子模型 、逐步真實性檢定
外文關鍵詞： data-snooping effect, seven-factor model, stepwise reality check, hedge fund
相關次數： 點閱：103  下載：4 
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    • 本研究將針對HFR(Hedge Fund Research Inc.)所提供全球對沖基金資料庫(Hedge Fund Database)中的7077支對沖基金(hedge fund)月報酬進行績效檢定，並配合Fung and Hsieh 所提出的七因子模型(seven-factor model)，透過線性迴歸求出對沖基金的超額報酬(alpha值)和其studentize後的t-ratio。最後，研究結果發現績效排名最優的前幾名對沖基金確實具有優異的投資操作表現。

    This paper intends to examine the monthly returns of 7,077 hedge funds from the HFR hedge fund database. We calculate the alpha value and its t-ratio for each fund based upon Fung and Hsieh’s (2004b) seven-factor model to get the alpha value. Moreover, we adopt Romano and Wolf’s (2005) stepwise reality check (SRC) to test the statistical significance of these funds controlling for effect of the data snooping. By this method, we can find out weather the fund managers of those outperforming hedge funds indeed possess superior investment skills or purely by luck. In the end, we do find some, though not many, hedge funds whose superior performance cannot be explained.

    ABSTRACT I 中 文 摘 要 II 誌 謝 III TABLE OF CONTENTS IV LIST OF TABLES VI LIST OF FIGURES VII CHAPTER 1 INTRODUCTION 1 CHAPTER 2 LITERATURE REVIEW 4 2.1 Reasons for choosing hedge funds 4 2.2 Abnormal returns of funds 5 2.3 Data-snooping bias tests 7 2.3.1 Bootstrap reality check 7 2.3.2 Bayesian analysis 10 2.4 Bootstrap methods 12 CHAPTER 3 METHODOLOGY 15 3.1 Data 15 3.1.1 Incubation bias 17 3.1.2 Backfill bias 17 3.1.3 Serial correlation 17 3.1.4 Size effect 20 3.2 Multifactor models 22 3.3 Controlling for the Data-Snooping Effect 27 3.4 Ranking the outperformers 31 CHAPTER 4 EMPERICAL RESULTS 32 CHAPTER 5 CONCLUSION 40 5.1 Main Findings 40 5.2 Research limitation 40 5.3 Further Study 41 APPENDIX A 43 APPENDIX B 46 APPENDIX C 47 APPENDIX D 48 REFERENCES 56

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