請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/31240
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 邱顯比(Shean-Bii Chiu) | |
dc.contributor.author | Chia-Hung Chen | en |
dc.contributor.author | 陳嘉宏 | zh_TW |
dc.date.accessioned | 2021-06-13T02:37:50Z | - |
dc.date.available | 2012-08-09 | |
dc.date.copyright | 2011-08-09 | |
dc.date.issued | 2011 | |
dc.date.submitted | 2011-07-31 | |
dc.identifier.citation | 【中文參考文獻】
牛志東,2007,基金積極管理的度量及其與基金業績的相關性研究,中國北京大學光華管理學院金融學碩士論文。 方甌華,2008,開放式基金績效評估,中國復旦大學經濟學院金融學碩士論文。 方驕華,2010,我國基金經理投資績效評價方法的理論和實證研究,中國復旦大學經濟學院金融學碩士論文。 朱錦峰,2008,我國股票型基金影響因素研究,中國暨南大學金融學碩士論文。 【英文參考文獻】 Berk, Jonathan B., and Richard C. Green, 2004, Mutual Fund Flows and Performance in Rational Markets, Journal of Political Economy, 112, 1269-1295. Carhart, M., 1997, On Persistence in Mutual Fund Performance, Journal of Finance, 52, 57-82. Chen, Joseph, Harrison Hong, Ming Huang, and Jeffery Kubik, 2004, Does Fund Size Erode Performance? Organizational Diseconomies and Active Money Management, American Economic Review, 94, 1276-1302. Cremers, Martijn, Antti Petajisto, and Eric Zitzewitz, 2008, Should Benchmark Indices Have Alpha? Revisting Performance Evaluation. Working Paper, Yale University. Cremers, Martijn, and Antti Petajisto, 2009, How Active Is Your Fund Manage? A New Measure That Predicts Performance, The Review of Financial Studies, 22, 3329-3365. Cuthbertson, Keith, Dirk Nitzsche, and Niall O’Sullivan, 2008, UK Mutual Fund Performance: Skill or Luck, 2008, Journal of Empirical Finance, 15, 613-634. Daniel, Kent, Mark Grinblatt, Sheridan Titman, and Russ Wermers, 1997, Measuring Mutual Fund Performance with Characteristic-Based Benchmarks, Journal of Finance, 52, 1053-1058. Fama, Eugene, and Kenneth French, 1993, Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, 33, 3-56. Ferson, Wayne E., and Rudi W. Schadt, 1996, Measuring Fund Strategy and Performance in Changing Economic Conditions, Journal of Finance, 51, 425-461. Grinblatt, Mark, and Sheridan Titman, 1989, Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings, Journal of Business, 62, 393-416. Grinblatt, Mark, and Sheridan Titman, 1993, Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns, Journal of Business, 66, 47-68. Grinold, Richard C., and Ronald N. Kahn, 1999, Active Portfolio Management, 2nd ed., New York, McGraw-Hill. Hendricks, Darryll, Jayendu Patel and Richard Zechhauser, 1993, Hot Hands in Mutual Funds: Short-Run: The Persistence of Performance 1974-1988, Journal of Finance, 48, 93-130. Heriksson, Roy D., and Robert C. Merton, 1981, On Market Timing and Investment Performance: Statistical Procedure for Evaluation, Forecasts Skills, Journal of Business, 54, 217-235. Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to Buying Winners and Selling Losers: Implication for Stock Market Efficiency, Journal of Finance, 48, 65-91. Jensen Michael C., 1968, The Performance of Mutual Funds in the Period 1945-1964, Journal of Finance, 23, 389-416. Jiang, George, Tony Yao, and Tong Yu, 2007, Do Mutual Funds Time the Market? Evidence From Portfolio Holdings, Journal of Financial Economics, 86, 724-758. Jorion, Philippe, 2003, Portfolio Optimization with Tracking-Error Constraints, Financial Analyst Journal, 59, 70-82. Kacperczyk, Marcin, Clemens Sialm, and Lu Zheng, 2005, On the Industry Concentration of Actively Managed Equity Mutual Funds, Journal of Finance, 60, 1983-2011. Keswani, Aneel, and David Stolin, 2008, Which Money Is Smart? Mutual Fund Buys and Sells of Individual and Institutional Investors, Journal of Finance, 63, 85-118. Malkiel, Burton G., 1995, Returns from Investing in Equity Mutual Funds 1971 to 1991, Journal of Finance, 50, 549-572. Roll, Richard, 1992, A Mean/Variance Analysis of Tracking Error, Journal of Portfolio Management, 18, 13-22. Sharpe, William F., 1966, Mutual Fund Performance, Journal of Business, 39,119-138. Treynor, Jack L., 1965, How to Rate Management Investment Funds, Harvard Business Review, 43, 63-75 Treynor, Jack L., and Kay Mazuy, 1966, Can Mutual Funds Outguess the Market?, Harvard Business Review, 44, 131-136. Wermers, Russ, 2003, Are Mutual Fund Shareholders Compensated for Active Management Bets? Working Paper, University of Maryland. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/31240 | - |
dc.description.abstract | 本篇論文中,我們引入了積極比例 (Active Share) 做為衡量基金積極管理程度的量化指標之一,這項指標衡量了基金之資產組合偏離基準組合之資產組合的程度。同時我們將積極比例和傳統用以衡量基金積極管理程度的量化指標 - 追蹤誤差 (Tracking Error),共同放入159個大陸股票型共同基金的樣本,以衡量此兩種積極管理的量化指標是否能用以衡量及預測開放型股票共同基金之績效。我們採用基準組合調整後報酬、CAPM調整後報酬 (Jensen’s alpha)、三因子調整後報酬 (Fama-French Model) 以及四因子調整後報酬 (Carhart Model) 做為共同基金績效評估之方法。最後發現若採用基準組合調整後報酬和CAPM調整後報酬時,積極比例對於衡量和預測基金績效是有正向的顯著效果,追蹤誤差於當期的基金績效衡量上有顯著效果,但由於其缺乏持續性,因此無法採用追蹤誤差來做為預測基金績效之指標。 | zh_TW |
dc.description.abstract | In this paper, we introduce Active Share as one of the quantified measures for active management. Active Share measures to which extent that a fund’s portfolios deviate from its benchmark portfolio. We also use Tracking Error, a traditional measure of active management, with Active Share to examine if these two quantified measures for active management could evaluate and predict the open-ended equity mutual fund performance in China. We take benchmarked-adjusted return, CAPM-adjusted return (Jensen’s alpha), three factor-adjusted return (Fama-French Model), and four factor-adjusted return (Carhart Model) as the mutual fund performance measures. In terms of benchmarked-adjusted return and CAPM-adjusted return, we find that funds with higher current and previous Active Share significantly outperform other funds with lower Active Share, which means Active Share shows performance predictability. Funds with higher current Tracking Error significantly outperform other funds. However, Tracking Error does not show performance predictability due to its poor persistence. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T02:37:50Z (GMT). No. of bitstreams: 1 ntu-100-R98723007-1.pdf: 538367 bytes, checksum: 059ec5dacaced3e673a1a6cbebe2d194 (MD5) Previous issue date: 2011 | en |
dc.description.tableofcontents | 致謝 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 第二章 文獻回顧 2 2.1 基金績效表現之研究 2 2.2 基金積極管理之研究 3 第三章 資料來源與研究方法 6 3.1 樣本來源及選取方式 6 3.2 基金基準組合收益率與無風險收益率之設定 7 3.3 研究方法 8 3.3.1 基金積極管理之衡量方法 8 3.3.2 基金績效之衡量方法 9 第四章 實證分析與結果 13 4.1 大陸股市為牛市 (2005年12月 – 2007年12月) 14 4.2 大陸股市為熊市 (2008年6月 – 2010年6月) 19 4.3 全樣本之大陸股市 (2005年12月 – 2010年6月) 25 第五章 結論與建議 30 5.1 結論 30 5.2 研究限制與未來發展 31 附錄 32 參考文獻 35 | |
dc.language.iso | zh-TW | |
dc.title | 大陸開放型共同基金績效與積極管理之相關性研究 | zh_TW |
dc.title | An Empirical Study on Relationship between Fund Performance and Active Management – China Open-End Mutual Funds | en |
dc.type | Thesis | |
dc.date.schoolyear | 99-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 胡星陽(Shing-Yang Hu),陳明賢(Ming Shen Chen) | |
dc.subject.keyword | 積極管理,積極比例,追蹤誤差,基金績效衡量及預測, | zh_TW |
dc.subject.keyword | Active Management,Active Share,Tracking Error,Fund Performance Evaluation and Predictability, | en |
dc.relation.page | 37 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2011-08-01 | |
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 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-100-1.pdf 目前未授權公開取用 | 525.75 kB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。