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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李存修 | |
| dc.contributor.author | Cheng-Li Chang | en |
| dc.contributor.author | 張正利 | zh_TW |
| dc.date.accessioned | 2021-06-13T00:27:04Z | - |
| dc.date.available | 2008-12-01 | |
| dc.date.copyright | 2007-07-27 | |
| dc.date.issued | 2007 | |
| dc.date.submitted | 2007-07-24 | |
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/28871 | - |
| dc.description.abstract | 本研究選取1999年到2006年間總計84檔國內股票型共同基金為研究對象，利用赫斯特指數及有效報酬為工具，從中挑選投資組合進行為期一年的投資，並且衡量績效表現。主要目的為修正傳統基金績效衡量指標的不足之處，例如在效率市場假說下報酬率為常態分配的假設、不具預測能力以及未能考量投資人風險趨避程度等缺陷，希望透過源自水文學的赫斯特指數及近期發展的有效報酬理論，試圖找出績效具持續性超額報酬表現，且更能貼近投資者心中真實報酬的投資組合。
實證結果顯示樣本資料的共同基金報酬率可能不為常態分配，因此利用夏普指數進行績效的衡量可能會有所偏誤。而依據本研究方法所篩選出的共同基金投資組合，報酬率的表現在統計上能夠打敗以夏普指數所挑選者，此外更發現由於有效報酬考量了獲利與損失不同的風險態度，因此能夠避免投資較會出現重大負報酬的共同基金。 | zh_TW |
| dc.description.abstract | This paper evaluates the performances of 84 Taiwanese stock mutual funds from 1999 to 2006. By using Hurst exponent (H) derived from rescaled range analysis (R/S analysis) and effective return, we compose mutual fund portfolios and invest them for one year. Then we compare the performances with those mutual fund portfolios selected by Sharpe Ratio.
The empirical results show that the performances of mutual fund portfolios selected by Hurst exponent and effective return statistically outperform those selected by Sharpe Ratio. Furthermore, our measures are also shown to be more robust against clustering of losses (maximum drawdown). | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T00:27:04Z (GMT). No. of bitstreams: 1 ntu-96-R94723087-1.pdf: 1032985 bytes, checksum: e1a615d6426b596062e1d8b9f8f0c929 (MD5) Previous issue date: 2007 | en |
| dc.description.tableofcontents | 1.緒論-------------------------------------------------- 1
2.文獻探討---------------------------------------------- 4 2.1. 效率市場假說與碎形市場假說---------------------- 4 2.2. 基金績效評估方法--------------------------------13 2.3. 赫斯特指數及有效報酬----------------------------19 3.研究方法----------------------------------------------26 3.1. 研究描述----------------------------------------26 3.2. 研究流程與架構----------------------------------27 3.3. 資料選取----------------------------------------28 3.4. 常態性檢定--------------------------------------28 3.5. 建立預測模式------------------------------------30 3.6. 數值計算----------------------------------------34 3.7. 投資組合篩選方式--------------------------------42 4.實證結果與分析----------------------------------------44 4.1. 常態分配檢定實證--------------------------------44 4.2. 數值計算結果------------------------------------46 4.3. 投資組合篩選結果--------------------------------58 4.4. 投資績效實證------------------------------------59 5.結論與建議--------------------------------------------65 5.1. 結論--------------------------------------------65 5.2. 建議未來研究方向--------------------------------67 參考資料------------------------------------------------69 附錄----------------------------------------------------73 | |
| dc.language.iso | zh-TW | |
| dc.subject | 有效報酬 | zh_TW |
| dc.subject | 共同基金績效 | zh_TW |
| dc.subject | 夏普指數 | zh_TW |
| dc.subject | 赫斯特指數 | zh_TW |
| dc.subject | R/S分析 | zh_TW |
| dc.subject | effective return | en |
| dc.subject | mutual fund | en |
| dc.subject | Sharpe Ratio | en |
| dc.subject | Hurst exponent | en |
| dc.subject | R/S analysis | en |
| dc.title | 利用赫斯特指數及有效報酬衡量國內股票型共同基金績效表現 | zh_TW |
| dc.title | The Evaluation of Taiwan Stock Mutual Fund Performance and Risk-Application of Hurst Exponent and Effective Return | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 95-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 邱顯比,王全三 | |
| dc.subject.keyword | 共同基金績效,夏普指數,赫斯特指數,R/S分析,有效報酬, | zh_TW |
| dc.subject.keyword | mutual fund,Sharpe Ratio,Hurst exponent,R/S analysis,effective return, | en |
| dc.relation.page | 72 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2007-07-26 | |
| 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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