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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/38449


    Title: 台灣地區平衡型共同基金績效評估之研究
    Authors: 馮玲書
    Contributors: 郭維裕
    陳威光

    馮玲書
    Keywords: 共同基金
    Date: 2008
    Issue Date: 2010-04-09
    Abstract: 近年共同基金已經成為投資大眾的新寵兒,ㄧ般以基金之投資標的與投資風格來區分為各種基金型態,且關於不同基金之投資績效的研究便成為了學者鑽研的目標。投資人常常對於學者們所提出之績效衡量方法感到困惑,究竟是那一種衡量指標才是最正確的?或者是不論利用那ㄧ種指標皆可以得到相同的結果?此外,前期的投資績效與後期的投資績效間,兩者是否具有相關性,即表示以前好是否代表未來ㄧ定好。這些問題皆是投資共同基金之大眾所關注的焦點,本文依據此目的,著手進行研究,冀期為投資大眾帶來更精確的分析。
    本研究以國內平衡型基金作為研究主體,研究期間為2003年5月至2007年2月,並區分為績效排名前20名與隨機抽取20檔基金,種樣本進行試驗。關於本研究的結論,敘述如下:
    一、 在國內平衡型基金中,績效衡量方法具有一致性;
    二、 國內平衡型基金並沒有前後期績效的持續性;
    三、 國內平衡型之績效表現與大盤相比較不具投資效率。
    Reference: 一、中文部分
    1. 謝富全(1994),「我國共同基金績效及其績效持續性之研究」,國立台灣工業技術學院管理技術研究所未出版碩士論文。
    2. 楊晉昌(1995),「共同基金型態與操作績效之研究」,國立政治大學企業管理研究所未出版碩士論文。
    3. 彭文俊(1995),「債劵指數之建構與債劵型基金績效之研究」,國立中山大學財務管理學系未出版碩士論文。
    4. 游吉盛(1997),「國內共同基金績效評估之研究」,國立中興大學企業管理研究所未出版碩士論文。
    5. 張舜(1999),「Fama-French三因子模型下共同基金績效持續性研究」,中山大學企業管理研究所未出版碩士論文。
    6. 汪彥銘(2000),「台灣地區股票型共同基金之特色研究」,國立中山大學財務管理學系研究所未出版碩士論文。
    7. 陳馨宜(2001),「債券型共同基金績效及績效持續性研究」,淡江大學財務金融研究所未出版碩士論文。
    8. 蔡毓翔(2003),「台灣股票型共同基金績效之研究」,淡江大學財務金融研究所碩士論文。
    二、英文部分
    1. Carlson R.S. “Aggregate Performance of Mutual Funds, 1948-1967,” Journal of Finance and Quantitative Analysis 5, pp. 1-31, 1970
    2. Goetzmann,W.N. and R.G.Ibbotson, “Do Winners Repeat”, The Journal of Portfolio Management,20, pp.9-18, 1994
    3. Grinblatt,M. and S.Titman, “Mutual Fund Performance : An Analysis of Quarterly portfolio Holdings,” The Journal of Business 62, pp.394-
    415, 1989
    4. Grinblatt,M. and S.Titman, “Portfolio Performance Evaluation : Old Issues and New Insights,” Review of Financial Studies 2, pp.393-421, 1989
    5. Grinblatt,M. and S.Titman, “Performance Measurement Without Benchmark : An Examination of Mutual Fund,” Journal of Business66, pp.47-68, 1993
    6. Grinblatt, M. and S.Titman, “A Study of Monthly Mutual Fund Returns and Performance Evaluation Technique,” Journal of Financial and Quantitative Analysis 29, pp.419-444, 1994
    7. Jensen, M.C., “The Performance of Mutual Funds in Period 1945-64,”
    Journal of Finance 23, pp. 389-416, 1968
    8. Jensen, M.C., “Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios,” Journal of Business, pp. 167-247, 1969
    9. Mains, J.D., “Risk, the Pricing of Capital Assets, and the Pricing of Capital Assets, and the Evaluation of Investment Portfolio: Comment,” Journal of Business, pp. 371-384, 1977
    10. Robson, G.N., “The Investment Performance of Unit Trusts and Mutual Fund in Australia for the Period 1969 to 1978,” Accounting and Finance (Australia) 26, pp.55-79, 1986
    11. Sharpe, W.F., “A Simplified Model for Portfolio Analysis,” Manage-
    ment Science, pp. 277-293, 1963
    12. Sharpe, W.F., “Mutual Fund Performance,” Journal of Business 39, pp. 119-138, 1966
    13. Shawky, H.A., “An Update on Mutual Funds: Better Grades,” Journal of Portfolio Management 4(4), pp. 449-471, 1982
    14. Smith, K.V. and D. TiTo, “Risk-Return Measures of Ex-post Portfolio Performance,” Journal of Financial and Quantitative Analysis 4, pp.449
    -471, 1969
    15. Treynor, J.L., “How to Rate Management of Investment Funds,”
    Harvard Business Review 43, pp. 63-75, 1965
    16. Treynor, J.L., “Can Mutual Funds Outguess the Market,” Harvard Business Review 44, pp. 131-136, 1966
    17. Treynor, J.L., “The Invisible Costs of trading,” The Journal of Port-
    folio Management, pp. 71-78, 1994
    18. Williamson, J.P., “Measurement and Forecasting of Mutual Fund Performance: Choosing An Investment Strategy,” Financial Analysts Journal 28, pp. 78-84, 1972
    Description: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    90932215
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0090932215
    Data Type: thesis
    Appears in Collections:[經營管理碩士學程EMBA] 學位論文

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