請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/45485完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 黃志典(Jyh-Dean Hwang) | |
| dc.contributor.author | Po-yueh Chen | en |
| dc.contributor.author | 陳伯岳 | zh_TW |
| dc.date.accessioned | 2021-06-15T04:22:49Z | - |
| dc.date.available | 2019-10-05 | |
| dc.date.copyright | 2010-01-11 | |
| dc.date.issued | 2009 | |
| dc.date.submitted | 2009-10-05 | |
| dc.identifier.citation | 中文部份
1. 林景春（1995），無基準投資組合績效評估模式-台灣地區共同基金實證研究，證券市場發展季刊，7（4），83-114。 2. 周萬順（2004），共同基金在景氣循環下操作績效之研究，世新大學經濟學系碩士論文。 3. 許和鈞、巫永森、王琮瑜（1997），共同基金的類型、規模與其操作績效關係之研究，交大管理學報，17（1），頁91-112。 4. 楊朝成（1993），共同基金之績效評估-台灣證券市場之例，證券市場發展季刊，19，9-32。 英文部份 1. Alexander, Gordon J., Jeffery V. Bailey and William F. Sharpe, 1998, Investments, Prentice Hall. 2. Baks, Klaas P., Andrew Metrick and Jessica Wachter, 2001, “Should investors avoid all actively managed funds? A study in Bayesian performance evaluation.”Journal of Finance 56, 45–86. 3. Bickel, Peter J. and David A. Freedman, 1984, “Some asymptotics on the bootstrap”, Annals of Statistics 9, 1196–1271. 4. Blake, David and Allan Timmermann, 1998, “Mutual fund performance: evidence from the UK”, European Finance Review 2, 57–77. 5. Blake, Christopher R. and Matthew R. Morey, 2000, “Morningstar ratings and mutual fund performance”, Journal of Financial and Quantitative Analysis 35(3), 451-483. 6. Carhart, Mark M., 1997, “On persistence in mutual fund performance”, Journal of Finance 52(1), 57–82. 7. Chang, Eric C. and Wilbur G. Lewellen, 1984, “Market timing and mutual fund investment performance”, Journal of Business 57(1), 57-72. 8. Chen, Hsiu-Lang, Narasimhan Jegadeesh and Russ Wermers, 2000, “The value of active mutual fund management: an examination of the stockholdings and trades of fund managers”, Journal of Financial and Quantitative Analysis 35, 343–368. 9. Cuthbertson, Keith, Dirk Nitzsche and Niall O'Sullivan, 2008, “UK mutual fund performance: skill or luck? ”, Journal of Empirical Finance 15, 613–634. 10. Daniel, Kent, Mark Grinblatt, Sheridan Titman and Russ Wermers, 1997, “Measuring mutual fund performance with characteristic based benchmarks”, Journal of Finance 52, 1035–1058. 11. Efron, Bradley and Robert J. Tibshirani, 1993, An Introduction to the bootstrap: monographs on statistics and applied probability, Chapman and Hall, New York. 12. Fama, Eugene F. and Kenneth R. French, 1992, “The cross-section of expected stock returns”, Journal of Finance 47(2), 427 -466. 13. Fama, Eugene F. and Kenneth R. French, 1993, “Common risk factors in the returns on stocks and bonds”, Journal of Finance Economics 33(1), 3-56. 14. Ferson, Wayne E. and Rudi W. Schadt, 1996, “Measuring fund strategy and performance in changing economic conditions”, Journal of finance 51(2), 425-461. 15. Grinblatt, Mark, and Sheridan Titman, 1992, “The persistence of mutual fund performance”, Journal of Finance 47, 1977–1984. 16. Grinblatt, Mark, Sheridan Titman and Russ Wermers, 1995, “Momentum investment strategies, portfolio performance and herding: a study of mutual fund behavior”, American Economic Review 85, 1088–1105. 17. Henriksson, Roy D. and Robert C. Merton, 1981, “On market timing and investment performance”, Journal of Business 54(4), 513-533. 18. Jarque, Carlos M. and Anil K. Bera, 1981, 'Efficient tests for normality, homoscedasticity and serial independence of regression residuals: Monte Carlo evidence', Economics Letters 7 (4), 313–318. 19. Jensen, Michael C., 1968, “The performance of mutual funds in the period 1945–1964”, Journal of Finance 23, 389–416. 20. Kosowski, Robert, Allan Timmermann, Hal White and Russ Wermers, 2006, “Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis”, Journal of Finance LXI (6), 2551-2595. 21. Leger, Lawrence A., 1997, “UK investment trusts: performance, timing and selectivity”, Applied Economics Letters 4(4), 207-10. 22. Merton, Robert C. and Roy D. Henriksson, 1981, “On market timing and investment performance: statistical procedures for evaluating forecasting skills”, Journal of Business 54, 513–533. 23. Porter, Gary E. and Jack W. Trifts, 1998, “Performance persistence of experienced mutual fund managers”, Financial Services Review 7(1), 57-68. 24. Treynor, Jack and K. Mazuy, 1966,”Can mutual funds outguess the market”, Harvard Business Review 44, 66–86. 25. Wermers, Russ, 2000, “Mutual fund performance: an empirical decomposition into stock picking talent, style, transactions costs, and expenses”, Journal of Finance 55, 1655–1703. 26. Wermers, Russ, 2003. “Is money really “smart”? New evidence on the relation between mutual fund flows and performance persistence”, Working paper, Department of Finance, University of Maryland. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/45485 | - |
| dc.description.abstract | 由於共同基金的績效無法維持一致的表現，因此本文探討共同基金的績效是來自於經理人的選股能力，或是運氣。本文利用三種模型估計1988年至2008年底的192檔國內股票型基金的績效指標，並以Bootstrap方法檢定這些基金的績效是來自基金經理人的選股能力還是運氣。本文發現，以CAPM模型衡量基金績效，績效優異的基金具有選股能力，大部分績效差的基金則是因為運氣較差，而不是因為選股能力較差，然而以三因子模型或四因子模型衡量基金績效，則會得到完全相反的結果。 | zh_TW |
| dc.description.abstract | This paper uses 192 domestic equity mutual funds as sample to examine if their investment performance comes from “luck” or otherwise. First, we use three models, namely CAPM, Fama and French`s 3-factor model and Carhart`s 4-factor model, to estimate the performance indicator （α） and the residuals of each fund. We then apply a Bootstrap analysis to examine if the investment performance comes from the funds` stock-picking ability or from luck.
We find（1）some of the out-performing funds, estimated by CAPM model , do have good stock-picking ability and most of the funds with poor performance are due to bad luck;（2）the findings are exactly opposite when Carhart 4-factor model or Fama and French model is used. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T04:22:49Z (GMT). No. of bitstreams: 1 ntu-98-R96724043-1.pdf: 733301 bytes, checksum: 006acff095fda9c3b75d459807bbfb16 (MD5) Previous issue date: 2009 | en |
| dc.description.tableofcontents | 中文摘要 I
Abstract II 目錄 III 第壹章 緒論 1 第一節 研究動機 1 第二節 研究目的 2 第三節 研究架構與流程 3 第貳章 文獻回顧 5 第參章 研究方法 8 第一節 共同基金的績效衡量 8 一、CAPM模型（單因子模型） 8 二、Fama and French 三因子模型 9 三、Carhart 四因子模型 10 四、Bootstrap方法 12 五、以Bootstrap方法分析共同基金的績效 13 六、基金報酬評估 16 七、依投資標的檢驗共同基金績效 17 第二節 敏感性分析 17 一、不同研究期間實證 17 二、不同基金報酬衡量期間 17 三、不同的因子計算方式 18 四、不同的基金存續時間 18 五、殘差與因子的重複抽樣 18 第三節 資料來源與變數定義 19 一、資料來源 19 二、變數定義 19 第肆章 實證結果分析 22 第一節 基金績效檢驗 22 一、基本型Bootstrap方法實證結果 22 二、基金報酬之估計 29 三、投資標的與績效之關係 33 第二節 敏感性分析 36 一、不同研究期間比較 36 二、不同基金報酬衡量期間 36 三、不同的因子計算方式 36 四、不同的基金存續時間 36 五、殘差與因子的重複抽樣 37 第伍章 結論與建議 38 第一節 結論 38 第二節 建議 39 第三節 研究限制 39 參考文獻 40 附錄 43 | |
| dc.language.iso | zh-TW | |
| dc.subject | Bootstrap分析法 | zh_TW |
| dc.subject | 運氣 | zh_TW |
| dc.subject | 選股能力 | zh_TW |
| dc.subject | 共同基金 | zh_TW |
| dc.subject | Fama and French三因子模型 | zh_TW |
| dc.subject | Carhart四因子模型 | zh_TW |
| dc.subject | CAPM模型 | zh_TW |
| dc.subject | Bootstrap | en |
| dc.subject | luck | en |
| dc.subject | stock-picking ability | en |
| dc.subject | Fama and French model | en |
| dc.subject | mutual funds | en |
| dc.subject | CAPM model | en |
| dc.subject | Carhart 4-factor model | en |
| dc.title | 是運氣還是能力?以Bootstrap方法分析國內股票型基金的投資績效 | zh_TW |
| dc.title | Can Mutual Fund “Stars” Really Pick Stocks? Evidence from Taiwan’s Equity Funds Using Bootstrap Analysis | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 98-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳明賢(Mingshen Chen),胡星陽(Shing-Yang Hu) | |
| dc.subject.keyword | 共同基金,選股能力,運氣,Bootstrap分析法,Carhart四因子模型,Fama and French三因子模型,CAPM模型, | zh_TW |
| dc.subject.keyword | mutual funds,stock-picking ability,luck,Bootstrap,Carhart 4-factor model,Fama and French model,CAPM model, | en |
| dc.relation.page | 51 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2009-10-06 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-98-1.pdf 未授權公開取用 | 716.11 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。