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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 楊朝成(Chau-chen Yang) | |
dc.contributor.author | Huai-Wei Chen | en |
dc.contributor.author | 陳懷瑋 | zh_TW |
dc.date.accessioned | 2021-06-08T05:07:06Z | - |
dc.date.copyright | 2011-08-09 | |
dc.date.issued | 2011 | |
dc.date.submitted | 2011-06-27 | |
dc.identifier.citation | 一、 中文文獻
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Naik, 2000, Multi-period Performance Analysis of Hedge Funds, Journal of Financial and Quantitative Analysis, 35, 327-342. 2. Blake, C. R., J. E. Elton, and M. J. Gruber, 1993, The Performance of Bond Mutual Funds, Journal of Business, 66, 3, 371-404. 3. Blake, D. and Timmermann, 1998, Mutual Fund Performance: Evidence from the UK, European Review of Finance, 2, 55-77. 4. Bollen, N.P., and J. A. Busse, 2005, Short-Term Persistence in Mutual Fund Performance, Review of Financial Studies, 18, 569-597. 5. Brown, G., P. Draper, E. McKenzie, 1997, Consistency of UK Pension Fund Investment Performance, Journal of Business Finance & Accounting, 24, 155-178. 6. Brown, S. J. and W. N. Goetzmann, 1995, Performance Persistence, Journal of Finance, 50, 679-698. 7. Brown, S. J., W. N. Goetzmann, R. G. Ibbotson and S. A. Ross, 1992, Survivor Bias in Performance Studies, Review of Financial Studies, 5, 553-580. 8. Carhart, M. M., 1997, On Persistence in Mutual Fund Performance, Journal of Finance, 52, 57-82. 9. Carlson, R. S., 1970, Aggregate Performance of Mutual Funds, Journal of Financial and Quantitative Analysis, 5, 1-31. 10. Chang, E. C. and W. G. Lewellen, 1984, Market Timing and Mutual Fund Investment Performance, Journal of Business, 57, 57-72. 11. Daniel, K., M. Grinblatt, S. Titman and R. Wermers, 1997, Measuring Mutual Fund Performance with Characteristic-Based Benchmarks, Journal of Finance, 52, 1035-1058. 12. Droms, W. G. and D. A. Walker, 2001, Performance of Persistence of International Mutual Funds, Global Finance Journal, 12, 237-248. 13. Elton, J. E., M. J. Gruber and C. R. Blake, 1995, Fundamental Economic Variables Expected Returns and Bond Fund Performance, Journal of Finance, 4, 1229-1256. 14. Fabozzi, F. J. and J. C. Francis, 1979, Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination, Journal of Finance, 34, 1243-1250. 15. Fama, E. F. and K.R. French, 1993, Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, 33, 3-56. 16. Ferson, W. E. and R. W. Schadt, 1996, Measuring Fund Strategy and Performance in Changing Economic Conditions, Journal of Finance, 51, 425-461. 17. Fletcher, J. 1997, An Examination of the Cross-sectional Relationship of Beta and Return: UK Evidence, Journal of Economics and Business, 49, 211-221. 18. Fletcher, J., 1999, The Evaluation of the Performance of UK American Unit Trusts, International Review of Economics and Finance, 8, 455-466. 19. Goetzmann, W. N. and R. G. Ibbotson, 1994, Do Winners Repeat? Patterns in Mutual Fund Return Behavior, Journal of Portfolio Management, 20, 9-18. 20. Grinblatt, M. and S. Titman, 1989, Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings, Journal of Business, 62, 393-416 21. Grinblatt, M. and S. Titman, 1992, The Persistence of Mutual Fund Performance, Journal of Finance, 47, 1977-1984. 22. Grinblatt, M. and S. Titman, 1993, Persistence Measurement without Benchmarks: An Examination of Mutual Fund Returns, Journal of Business, 66, 47-68. 23. Gruber, M. J., 1996, Another Puzzle: The Growth in Actively Managed Mutual Funds, Journal of Finance, 5, 783-810. 24. Hendricks, D., J. Patel and R. Zeckhauser, 1993, Hot Hands in Mutual Funds: Short-run Persistence of Relative Performance 1974-1988, Journal of Finance, 48, 93-130 25. Herinksson R. D. and R. C. Merton, 1981, On Market Timing and Investment Performance II: Statistical Procedures for Evaluating Forecasting Skills, Journal of Finance, 54, 513-534. 26. Herinksson R. D., 1984, Market Timing and Mutual Fund Performance: An Empirical Investigation, Journal of Business, 54, 73-96. 27. Ippolito, R. A., 1989, Efficiency with Costly Information: A Study of Mutual Fund Performance 1965-1984, Quarterly Journal of Economics, 104, 1-23. 28. Jensen, M. C., 1968, “The Performance of Mutual Funds in the Period 1945-64, Journal of Finance, 23, 389-416. 29. Kahn, R. N. and A. Rudd, 1995, Does Historical Performance Predict Future Performance?, Financial Analysts Journal, 51, 43-52. 30. Lehmann, B. N. and D. M. Modest, 1987, Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons, Journal of Finance, 42, 233-265. 31. Maikiel, B. G., 1995, Returns from Investing in Equity Mutual Funds 1971 to 1991, Journal of Finance, 50, 549-572. 32. Mains, N. E., 1977, Risk the Pricing of Capital Assets and the Evaluation of Investment Portfolios: Comment, Journal of Business, 50, 371-384. 33. McDonald, J. G., 1974, Objectives and Performance of Mutual Funds 1960-1969, Journal of Financial and Quantitative Analysis, 9, 311-333. 34. Quigley, G. and R. Sinquefield, 2000, Performance of UK Equity Unit Trusts, Journal of Asset Management, 1, 72-92. 35. Sharpe, W. F., 1966, Mutual Fund Performance, Journal of Business, 39, 119-138. 36. Shawky, H.A., 1982, An Update on Mutual Funds, Journal of Portfolio Management, 8, 29-34. 37. Treynor, J. L. and K. K. Mazuy, 1966, Can Mutual Fund Outguess the Market?, Harvard Business Review, 44, 131-136. 38. Treynor, J. L., 1965, How to Rate Management of Investment Funds, Harvard Business Review, 13, 63-75. 39. Wermers, R., 2004, Is Money Really Smart? New Evidence on the Relation Between Mutual Fund Flows Manager Behavior and Performance Persistence, Working Paper, University of Maryland. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/23678 | - |
dc.description.abstract | 本文針對中國開放式股票型基金進行績效評估以及探討基金績效之持續性,以2008年1月至2010年12月為研究期間,對106支中國開放式股票型基金之月資料進行研究。第一部分利用Treynor指標、Sharpe指標及Jensen指標進行整體基金績效評估,並利用Treynor and Mazuy模型、Henriksson and Merton模型及Fabozzi and Francis模型來評估基金之選股能力與擇時能力。評估結果發現整體基金表現並沒有顯著優於市場投資組合。選股能力與擇時能力方面,實證結果顯示多數基金具有正向之選股能力,但無基金具有正向之擇時能力。
第二部分利用基金之相對績效及絕對績效進行績效持續性分析。實證結果發現,相對績效中,不論是以基金報酬率或超額報酬做為排序依據,短期內某些時期具有績效持續性,但長期而言整體績效不具持續性。在絕對績效中,實證結果顯示,長期而言,季度及半年度超額報酬不具績效持續性,但年度超額報酬具有顯著之績效持續性。 | zh_TW |
dc.description.abstract | This paper uses 106 China open-ended equity mutual funds over a 3-year period to measure fund performance and performance persistence. In the first part, this paper uses Treynor index, Sharpe index and Jensen index to examine the performance of mutual funds. And also estimate stock selection and market timing ability using Treynor and Mazuy model, Henriksson and Merton model and Fabozzi and Francis model. Our estimate provide evidence that there is no significant difference between the performance of mutual funds and the market portfolio. Moreover, our empirical results show that most mutual funds have stock selection ability but lack for market timing ability.
In the second part, we examine the performance persistence by the relative fund performance and the absolute fund performance. The empirical results show the relative performance persistence exist in some short-term periods, but it’s not significant in persistence in long-term. Moreover, the absolute performance lack for persistence in quarterly and semi-annually abnormal return, but it’s significant in persistence in annual abnormal return. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T05:07:06Z (GMT). No. of bitstreams: 1 ntu-100-R98723044-1.pdf: 431530 bytes, checksum: 6e74f6130bd838ac6956a09edaa07e32 (MD5) Previous issue date: 2011 | en |
dc.description.tableofcontents | 第一章 緒論 - 1 -
第一節 研究背景 - 1 - 第二節 研究動機 - 2 - 第三節 研究目的 - 3 - 第四節 研究架構 - 4 - 第二章 文獻探討 - 6 - 第一節 共同基金績效探討 - 6 - 第二節 共同基金績效相關實證研究 - 13 - 第三章 研究方法 - 19 - 第一節 研究樣本與研究期間 - 19 - 第二節 研究變數定義 - 20 - 第三節 資料來源 - 21 - 第四節 研究方法說明 - 21 - 第四章 實證分析 - 26 - 第一節 整體基金績效評估之實證結果 - 26 - 第二節 基金選股能力與擇時能力評估之實證結果 - 30 - 第三節 基金績效持續性之實證結果 - 34 - 第五章 結論與建議 - 40 - 第一節 結論 - 40 - 第二節 建議 - 41 - 參考文獻 - 42 - | |
dc.language.iso | zh-TW | |
dc.title | 中國開放式股票型基金績效評估與持續性分析 | zh_TW |
dc.title | An Analysis of Mutual Fund Performance and Performance Persistence of Equity Open-Ended Fund in China. | en |
dc.type | Thesis | |
dc.date.schoolyear | 99-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 陳勝源(Shen-Yuan Chen),周麗娟(Li-Chuan Chou) | |
dc.subject.keyword | 共同基金,績效評估,選股能力,擇時能力,績效持續性, | zh_TW |
dc.subject.keyword | Mutual funds,Mutual fund performance,Stock selection ability,Market timing ability,Performance persistence, | en |
dc.relation.page | 47 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2011-06-27 | |
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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