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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 郭震坤 | |
| dc.contributor.author | Chen-Wei Hsu | en |
| dc.contributor.author | 許真維 | zh_TW |
| dc.date.accessioned | 2021-06-08T00:27:03Z | - |
| dc.date.copyright | 2013-07-18 | |
| dc.date.issued | 2013 | |
| dc.date.submitted | 2013-07-11 | |
| dc.identifier.citation | 參考文獻
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/17639 | - |
| dc.description.abstract | 2008年金融海嘯後，對於理財專員之貢獻能力眾說紛紜。本研究參考Marc M. Kramer (2012)試圖測度台灣獨立投資人及專業理財人士投資台灣股票的績效。首先，我們先藉由Jensen’s Alpha比較不同專業理財顧問之間的投資績效，再藉由修改過的Fama French三因子模型解釋投資組合之間的差異。結果顯示：在總體經濟狀況穩定成長時，投資顧問操作的高風險股票投資表現優於大盤，此結果將協助台灣投資人衡量擁有理財顧問之必要性及提供金融機構測度其投資績效的方法。 | zh_TW |
| dc.description.abstract | After financial tsunami in 2008, there is a myth on the contributions of financial advisers. This research attempts to measure the investment performance of Taiwanese individual investors and financial advisers by reference to the Kramer (2012) study. First, we compare the performances of advised investment using Jensen's Alpha. Then we compare the performances between individual and advised using a revised Fama
French three factor model. The findings show that advised investment in high-risk stocks will have better performance when the economy is stable. The results will help Taiwan investors judge the necessity of financial advisers and financial institutions measure its own performance. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T00:27:03Z (GMT). No. of bitstreams: 1 ntu-102-R00724050-1.pdf: 1370185 bytes, checksum: c80be055384e131596a79cebcb039138 (MD5) Previous issue date: 2013 | en |
| dc.description.tableofcontents | 目錄
誌謝 i 中文摘要 ii Abstract iii 目錄 iv 圖目錄 v 表目錄 vi 第一章 緒論 1 第一節 研究動機與背景 1 第二節 研究目的 3 第三節 研究架構 4 第二章 文獻探討 6 第一節 財富管理與投資建議相關定義 6 一、財富管理 6 二、投資建議 7 第二節 投資建議與散戶之相關文獻 8 一、投資建議在資產組合中所扮演的角色 8 二、過去相關文獻研究 12 第三章 研究方法 22 第一節 投資組合績效評估 23 第二節 Fama French 三因子模型 24 第三節 時間序列收益分析模型 25 第四章 實證結果分析 27 第一節 資料來源及樣本選擇 27 一、資料來源 27 二、樣本選擇 31 第二節 敘述統計 39 第三節 迴歸結果 43 一、 基金個別績效分析 43 二、 時間序列分析 46 第五章 結論與建議 47 參考文獻 48 圖目錄 圖 1：研究分析架構 5 圖 2：時間序列模型比較 22 圖 3：VIX和大盤指數的關係 26 圖 4：大盤指數和基金報酬在樣本期間內的狀況 31 表目錄 表格 1：基金基本資料 28 表格 2：基金月收益 32 表格 3：基金Jenson’s Alpha績效評估資料之敘述統計 39 表格 4：基金以Fama French 評估資料之敘述統計 40 表格 5：時間序列收益模型評估資料之敘述統計 41 表格 6：17檔基金的Jenson’s Alpha 績效 43 表格 7：Fama French 三因子分析基金績效 45 表格 8：時間序列分析結果 46 | |
| dc.language.iso | zh-TW | |
| dc.title | 台灣專業投資績效的研究 | zh_TW |
| dc.title | A Study of Professional Investment in Taiwan | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 101-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 李顯峰,李志偉 | |
| dc.subject.keyword | 投資績效,Fama French 三因子模型,Jensen’s Alpha, | zh_TW |
| dc.subject.keyword | Investment Performance,Fama French three factor Model,Jensen’s Alpha, | en |
| dc.relation.page | 56 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2013-07-11 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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