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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 邱顯比(Shean-Bii Chiu) | |
| dc.contributor.author | Siang-Ling Wang | en |
| dc.contributor.author | 王湘羚 | zh_TW |
| dc.date.accessioned | 2021-06-07T17:33:15Z | - |
| dc.date.copyright | 2020-07-02 | |
| dc.date.issued | 2020 | |
| dc.date.submitted | 2020-06-29 | |
| dc.identifier.citation | 池祥萱、林煜恩、周賓凰(2007). 基金績效持續與聰明錢效果: 台灣實證. 管理學報, 24(3), 307-330. 林佳穎(2015)。申購得獎共同基金之基金績效持續性研究。中興大學應用經濟學系所學位論文。 邱顯比、林清珮(1999)。共同基金分類與基金績效持續性之研究，中國財務學刊7:2民88.08 頁63-88。 郭維裕、李愷莉(2006). 台灣共同基金短期績效持續性的研究-以 “漂移者-停駐者” 模型為例. 經濟論文, 34(4), 469-504. 陳獻儀(2012)。基金獎之資訊內涵. 證券市場發展季刊, 24(1), 161-194.。 曾婷郁(2009)。得獎基金績效持續性分析。臺灣大學國際企業系研究所碩士論文。 Berk, J. B., Green, R. C. (2004). Mutual fund flows and performance in rational markets. Journal of Political Economy, 112(6), 1269-1295. Blake, C. R., Morey, M. R. (2000). Morningstar ratings and mutual fund performance. Journal of Financial and Quantitative Analysis, 35(3), 451-483. Bollen, N. P., Busse, J. A. (2005). Short-term persistence in mutual fund performance. The Review of Financial Studies, 18(2), 569-597. Brown, K. C., Harlow, W. V., Zhang, H. (2009). Staying the course: The role of investment style consistency in the performance of mutual funds. Available at SSRN 1364737. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82. Carlson, R. S. (1970). Aggregate performance of mutual funds, 1948–1967. Journal of Financial and Quantitative Analysis, 5(1), 1-32. Costa, B. A., Jakob, K., Porter, G. E. (2006). Mutual fund performance and changing market trends 1990-2001: Does manager experience matter?. The Journal of Investing, 15(2), 79-86. Del Guercio, D., Tkac, P. A. (2008). Star power: The effect of monrningstar ratings on mutual fund flow. Journal of Financial and Quantitative Analysis, 43(4), 907-936. Droms, W. G., Walker, D. A. (1996). Mutual fund investment performance. The Quarterly Review of Economics and Finance, 36(3), 347-363. Gerrans, P. (2006). Morningstar ratings and future performance. Accounting Finance, 46(4), 605-628. Golec, J. H. (1996). The effects of mutual fund managers' characteristics on their portfolio performance, risk and fees. Financial Services Review, 5(2), 133-147. Grinblatt, M., Titman, S. (1992). The persistence of mutual fund performance. The Journal of Finance, 47(5), 1977-1984. Huij, J., Verbeek, M. (2007). Cross-sectional learning and short-run persistence in mutual fund performance. Journal of Banking Finance, 31(3), 973-997. Jensen, M. C. (1968). The performance of mutual funds in the period 1945–1964. The Journal of Finance, 23(2), 389-416. Lou, D. (2012). A flow-based explanation for return predictability. The Review of Financial Studies, 25(12), 3457-3489. Pástor, Ľ., Stambaugh, R. F., Taylor, L. A. (2015). Scale and skill in active management. Journal of Financial Economics, 116(1), 23-45. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442. Sharpe, W. F. (1966). Mutual fund performance. The Journal of Business, 39(1), 119-138. Treynor, J. (1965). How to rate management of investment funds. Wermers, R. (2000). Mutual fund performance: An empirical decomposition into stock‐picking talent, style, transactions costs, and expenses. The Journal of Finance, 55(4), 1655-1695. Wermers, R. (2003). Is money really smart'? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence Yan, X. S. (2008). Liquidity, investment style, and the relation between fund size and fund performance. Journal of Financial and Quantitative Analysis, 43(3), 741-767. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/15359 | - |
| dc.description.abstract | 台灣每年各大基金獎項之得獎名單，廣受媒體、投信業者、投資人關注。作為一般大眾挑選共同基金標的之參考依據，獲獎基金是否在未來也能夠持續賺取更好的績效，成為值得討論的議題。過去雖有學者研究基金績效持續性相關議題，卻並未深入探索基金獎與未來績效的關聯。 本研究蒐集2008年至2016年傑出基金金鑽獎國內三年期獎項、晨星暨Smart智富台灣基金獎獲獎名單，使用國內股票型基金為樣本，以t檢定及迴歸方式探討共同基金獲獎次數多寡與未來六個月、一年期、二年期、三年期基金報酬率、Sharpe Ratio、Treynor Index的關係。 實證結果顯示，基金獲獎次數對於未來績效有顯著的正向影響，而且，基金獲獎次數愈多，未來三年期績效表現愈好。此外，本研究亦發現相較於金鑽獎，晨星暨Smart智富台灣基金獎的獲獎基金對未來績效的預測性更為明顯。 | zh_TW |
| dc.description.abstract | The winners of fund awards become the focus of the media, mutual fund companies, and investors in Taiwan. As these winners are one of the references for the general public when it comes to picking which funds to be invested in, whether the awarded funds can keep generating better performance in the future becomes an important issue. This study collects the winners of Taiwan’s Best Fund Awards, Morningstar and Smart Taiwan Fund Awards from 2008 to 2016. This paper develops regression models to identify the relationship between awarded funds and its future performance which is measured by net asset returns, Sharpe Ratio, and Treynor Index. The empirical result shows that the number of times mutual funds win the awards positively forecasts mutual fund’ s future performance. The study also finds that the relationship is stronger between the Morningstar and Smart Taiwan Fund Awards than Best Fund Awards. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-07T17:33:15Z (GMT). No. of bitstreams: 1 U0001-2706202018332400.pdf: 1408432 bytes, checksum: 636fa77e03d860d324414671580777df (MD5) Previous issue date: 2020 | en |
| dc.description.tableofcontents | 謝辭 i 中文摘要 ii 英文摘要 iii 目錄 iv 圖目錄 v 表目錄 v 第一章 緒論 1 第二章 文獻探討 4 第一節 共同基金績效評估 4 第二節 國外基金績效持續性與基金獎相關實證研究 5 第三節 國內基金績效持續性與基金獎相關實證研究 6 第三章 研究設計 8 第一節 研究期間與研究樣本 8 第二節 研究方法 9 第三節 變數處理 11 第四章 實證結果 14 第一節 基金歷年獲獎次數對未來績效的影響—— t檢定 16 第二節 基金歷年獲獎次數與未來績效之關係——迴歸式 19 第三節 同年度重複得獎與未來績效之關係 29 第四節 穩健性檢定 29 第五章 結論與建議 31 第一節 結論 31 第二節 研究建議 32 參考文獻 34 | |
| dc.language.iso | zh-TW | |
| dc.subject | 績效持續性 | zh_TW |
| dc.subject | 基金獎 | zh_TW |
| dc.subject | 得獎基金 | zh_TW |
| dc.subject | 基金績效 | zh_TW |
| dc.subject | fund performance | en |
| dc.subject | awarded fund | en |
| dc.subject | performance persistence | en |
| dc.title | 台灣得獎基金之未來績效持續性 | zh_TW |
| dc.title | Performance Persistence of Awarded Funds in Taiwan | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 108-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 張森林(San-Lin Chung),莊文議(Wen-I Chuang) | |
| dc.subject.keyword | 基金獎,得獎基金,基金績效,績效持續性, | zh_TW |
| dc.subject.keyword | awarded fund,fund performance,performance persistence, | en |
| dc.relation.page | 36 | |
| dc.identifier.doi | 10.6342/NTU202001163 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2020-06-29 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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