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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 吳榮杰 | |
dc.contributor.author | Teng-Fan Hung | en |
dc.contributor.author | 洪登凡 | zh_TW |
dc.date.accessioned | 2021-06-15T13:07:11Z | - |
dc.date.available | 2026-06-30 | |
dc.date.copyright | 2016-07-25 | |
dc.date.issued | 2016 | |
dc.date.submitted | 2016-06-30 | |
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/50929 | - |
dc.description.abstract | 本篇論文以2006年第四季至2015年第三季,814支台灣境內外股票型基金為研究對象,探討主動式管理策略與基金績效之相關性。本研究採用Cremers與Petajisto(2009)提出之主動投資比率(Active Share)以及追蹤誤差(Tracking Error)為衡量指標,同時加入費用率、基金規模、基金持有股數、基金成立時間、資金淨流入、基準指數報酬率及超額報酬等控制變數,對風險調整後的基金績效進行迴歸分析。實證結果發現採取主動式管理策略確實可使基金得到較佳的績效,主動投資比率與追蹤誤差對於預測基金績效分別具有正負面影響。此外,本文亦將基金依照主動式管理策略之特性分為五個類型,研究結果發現不同類型之間存在績效差異,以及主動投資比率不可單獨運用,必須結合其他衡量指標。 | zh_TW |
dc.description.abstract | This paper examines the relationship between active management strategy and fund performance by studying 814 foreign and domestic equity funds available for sale in Taiwan from 2006Q4 to 2015Q3. This paper uses Active Share and Tracking Error as measures of active management strategy introduced by Cremers and Petajisto (2009), while controlling for other fund characteristics such as expenses, size and holdings in the panel regression, we examine using funds’ alpha. Empirical results indicate a significant relationship between active management strategy and fund performance, where Active Share has positive effect and Tracking Error has negative effect on future performance. This paper also separate funds into five types according to levels of active management strategy, results show difference in fund performances between strategy types, which further imply that Active Share must be combined with other measures of active management. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T13:07:11Z (GMT). No. of bitstreams: 1 ntu-105-R03627029-1.pdf: 1371749 bytes, checksum: b43d96ba6a49abbcbf0b00f4253be90c (MD5) Previous issue date: 2016 | en |
dc.description.tableofcontents | 第一章 緒論 1
第一節 研究動機與背景 1 第二節 研究目的 4 第三節 研究方法與流程 4 第二章 文獻回顧 6 第一節 主動式管理策略之文獻 6 第二節 其他控制變數之文獻 8 第三章 研究方法 9 第一節 衡量主動式管理策略 9 第二節 衡量基金績效 10 第三節 其他控制變數 11 第四節 迴歸模型建構 11 第五節 樣本資料來源 14 第四章 實證結果分析 15 第一節 描述性統計分析 15 第二節 主動式管理策略與基金績效之迴歸分析 23 第三節 主動式管理策略類型與基金績效之迴歸分析 28 第五章 結論與建議 30 第一節 結論 30 第二節 建議 31 參考文獻 32 | |
dc.language.iso | zh-TW | |
dc.title | 主動式管理策略與基金績效之相關性-以台灣境內外股票型基金為例 | zh_TW |
dc.title | The Relationship between Active Management Strategy and Fund Performance: Evidence from Equity Mutual Funds in Taiwan | en |
dc.type | Thesis | |
dc.date.schoolyear | 104-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 周百隆,陳信憲 | |
dc.subject.keyword | 基金績效,主動式管理,主動投資比率,追蹤誤差, | zh_TW |
dc.subject.keyword | Fund Performance,Active Management,Active Share,Tracking Error, | en |
dc.relation.page | 34 | |
dc.identifier.doi | 10.6342/NTU201600618 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2016-07-01 | |
dc.contributor.author-college | 生物資源暨農學院 | zh_TW |
dc.contributor.author-dept | 農業經濟學研究所 | zh_TW |
顯示於系所單位: | 農業經濟學系 |
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