境內外高收益債券型基金技術效率與經理人特質之關聯性分析 - 設限變數與共同邊界資料包絡分析法之應用

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题名:	境內外高收益債券型基金技術效率與經理人特質之關聯性分析 - 設限變數與共同邊界資料包絡分析法之應用
其它题名:	The Relationship of Onshore and Offshore High-yield Bond Fund’s Technical Efficiency and Managers’ Characteristics Analysis – Application of Bounded-variable and Meta-frontier DEA Model
作者:	蔡明瑾 Tsai, Ming-Chin
贡献者:	蕭欽篤 Shiau, Chin-Du 高階經營管理碩士在職專班
关键词:	設限變數資料包絡分析法;基金經理人特性;高收益債券;共同邊界資料包絡分析法 the Meta-frontier DEA Model;the Bounded- variable DEA Model;Fund Managers' Characteristics;High-yield Bond Fund
日期:	2013
上传时间:	2014-02-17T08:35:33Z (UTC)
摘要:	本研究的目的為：（1）應用設限變數資料包絡分析法(Bounded-variable DEA)，分析境內、境外高收益債券型基金的技術效率，藉以提供投信或境外資產管理公司提升績效的參考資料。（2）應用共同邊界資料包絡分析法(Meta-frontier DEA)，比較分析境內、境外高收益債券型基金的技術效率(TE)、技術缺口比率(TGR)與共同邊界技術效率(MTE)，藉以提供投資人購買高收益債券型基金的參考資料。（3）應用Tobit迴歸模型，探討基金經理人特質對境內、境外高收益債券型基金技術效率值的影響，藉以提供金融業人力資源管理的參考資料。應用設限變數共同邊界資料包絡分析法進行研究，實證結果顯示：（1）境內高收益債券型基金的TE顯著高於境外高收益債券型基金。（2）境內高收益債券型基金的TGR與境外高收益債券型基金無顯著差異。（3）境內高收益債券型基金MTE顯著高於境外高收益債券型基金。應用Tobit迴歸模型進行分析，實證結果顯示：（1）基金經理人曾操作基金年資和是否擁有MBA學位對高收益債券型基金的TE、TGR和MTE皆沒有顯著的影響。（2）經濟成長率對高收益債券型基金的TE、TGR和MTE皆具有顯著負向影響。（3）匯率對高收益債券型基金的TE和MTE皆具有顯著正向的影響。（4）配息與否對高收益債券型基金的TE和MTE皆具有顯著負向的影響。 The purposes of this study are: (1) To analyze onshore and offshore high-yield bond fund’s technical efficiency by the application of the Bounded-variable DEA model as the references for investment management companies to improve their performance, (2) To analyze onshore and offshore high-yield bond fund’s technical efficiency (TE), Technical Gap Ratio (TGR) and Metafrontier Technical Efficiency (MTE) by the application of the Meta-frontier DEA model for investors references to buy high-yield bond funds, (3) To analyze the relationship between onshore and offshore high-yield bond fund technical efficiency and managers' characteristics by the application of Tobit regression model to be the references for human resource management of financial management companies.The empirical results of the application of the Bounded-Variable DEA show that：(1) Onshore high-yield bond funds’ TE is significantly higher than offshore high-yield bond funds’ TE, (2) There is no significant influence among onshore high-yield bond funds’ TGR and offshore high-yield bond funds’ TGR, (3) Onshore high-yield bond funds’ MTE is significantly higher than offshore high-yield bond funds’ MTE. The empirical results of the application of the Tobit regression model show that：(1) The fund manager’s seniority and MBA degree have no significant influence on high-yield bond fund’s TE, TGR and MTE, (2) The economic growth rate has the significant negative effect on high-yield bond fund’s TE, TGR and MTE, (3) The exchange rate has the significant positive impact on high-yield bond fund’s TE and MTE, (4) The yields paid or not has the significant negative effect on high-yield bond fund’s TE and MTE.
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