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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 胡星陽 | |
| dc.contributor.author | Shih-Ying Cheng | en |
| dc.contributor.author | 鄭詩穎 | zh_TW |
| dc.date.accessioned | 2021-06-15T13:09:39Z | - |
| dc.date.available | 2021-07-04 | |
| dc.date.copyright | 2016-07-04 | |
| dc.date.issued | 2016 | |
| dc.date.submitted | 2016-06-28 | |
| dc.identifier.citation | [1] Berk, J. B. and Green, R. C. (2004). Mutual fund flows and performance in rational markets, Journal of Political Economy, 112, 1269-1295.
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/50968 | - |
| dc.description.abstract | 本文除了探討台灣共同基金市場是否具有聰明錢效果之外，亦欲進一步觀察市場波動是否影響聰明錢效果。本研究分為兩大步驟：（1）以基金流向與基金績效來檢驗台灣股票型基金是否具聰明錢效果；（2）加入市場波動因子，了解市場波動對聰明錢效果的影響。實證結果指出：（1）樣本期間顯示聰明錢效果不存在；（2）儘管聰明錢效果不存在，但加入六個月移動平均所建置的市場波動因子能提升基金投資組合的短中長期超額報酬。 | zh_TW |
| dc.description.abstract | The thesis investigates whether the smart money effect exists in the Taiwan mutual fund market. In addition, the paper examines whether market volatility affects the smart money effect. Here are two steps: (1) use fund flow and fund performance data of equity mutual funds in Taiwan to measure if the smart money effect exists; (2) consider market volatility factor to take a look at the relationship between the smart money effect and market volatility. This study shows that (1) the smart money effect does not exist over the sample period, and (2) although the smart money effect does not hold, market volatility raises the excess return of fund portfolios. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T13:09:39Z (GMT). No. of bitstreams: 1 ntu-105-R03723043-1.pdf: 3478020 bytes, checksum: 08d88510543a56dab0ad5cf27b1adf46 (MD5) Previous issue date: 2016 | en |
| dc.description.tableofcontents | 口試委員會審定書 #
中文摘要 i 英文摘要 ii 目錄 iii 圖目錄 iv 表目錄 v 第一章 研究動機與目的 1 第二章 文獻回顧 3 第一節 基金流向 3 第二節 聰明錢效果 4 第三節 聰明錢效果與市場波動 5 第三章 研究方法與假說 7 第一節 檢驗聰明錢效果 7 一、 每月報酬率 7 二、 每月資金流向 8 三、 形成基金投資組合 9 四、 計算基金投資組合之超額報酬 10 第二節 衡量市場波動 11 第四章 實證結果 13 第一節 敘述統計 13 一、 每月資金流向 13 二、 每月報酬率 14 第二節 模型檢驗 16 第三節 CAPM 18 第四節 三因子模型 19 第五節 四因子模型 25 第五章 結論 32 參考文獻 34 | |
| dc.language.iso | zh-TW | |
| dc.subject | 基金流向 | zh_TW |
| dc.subject | 市場波動性 | zh_TW |
| dc.subject | 聰明錢效果 | zh_TW |
| dc.subject | 基金績效 | zh_TW |
| dc.subject | 基金流向 | zh_TW |
| dc.subject | 共同基金 | zh_TW |
| dc.subject | 市場波動性 | zh_TW |
| dc.subject | 聰明錢效果 | zh_TW |
| dc.subject | 基金績效 | zh_TW |
| dc.subject | 共同基金 | zh_TW |
| dc.subject | Market Volatility | en |
| dc.subject | Fund Performance | en |
| dc.subject | Smart Money Effect | en |
| dc.subject | Market Volatility | en |
| dc.subject | Mutual Fund | en |
| dc.subject | Fund Flows | en |
| dc.subject | Mutual Fund | en |
| dc.subject | Fund Performance | en |
| dc.subject | Fund Flows | en |
| dc.subject | Smart Money Effect | en |
| dc.title | 聰明錢效果與市場波動－以台灣股票型基金為例 | zh_TW |
| dc.title | Smart Money Effect and Market Volatility－A study on Equity Mutual Funds in Taiwan | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 104-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳明賢,林岳祥 | |
| dc.subject.keyword | 共同基金,基金流向,基金績效,聰明錢效果,市場波動性, | zh_TW |
| dc.subject.keyword | Mutual Fund,Fund Flows,Fund Performance,Smart Money Effect,Market Volatility, | en |
| dc.relation.page | 36 | |
| dc.identifier.doi | 10.6342/NTU201600537 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2016-06-28 | |
| 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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| ntu-105-1.pdf 未授權公開取用 | 3.4 MB | Adobe PDF |
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