English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 95905/126495 (76%)
Visitors : 31756988      Online Users : 386
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/69770


    Title: 台灣共同基金績效之評估及績效之決定因素
    Other Titles: Performance of Mutual Funds and Determinants of Performance: The Case of Taiwan.
    Authors: 徐燕山
    Contributors: 財務管理學系
    Keywords: 共同基金;擇時;資產配置;股票選擇
    Mutual fund;Market timing;Asset allocation;Stock selection
    Date: 1997
    Issue Date: 2014-09-10 17:47:44 (UTC+8)
    Abstract: 本研究使用持股變動法與績效決定因素法評估共同基金的管理績效。研究資料為投資於台灣股市的二十一檔共同基金,研究期間始自1993年六月至1996年12月。研究結果顯示,持股變動法與績效決定因素法的結果互相衝突;持股變動法的結果顯示,共同基金在擇時方面有正面績效,但整體績效及選股績效則不佳;相反地,績效決定因素法的結果顯示,共同基金在整體及選股方面有正面績效,但在擇時方面,則有負面績效;兩種評估方法的結果差異,主要是由標竿權重的不同所造成。<
    This paper employs both the Portfolio Change Measure and the determinants of performance approach to evaluate the performance of managed funds. First, we develop an improved version of Grinblatt and Titman's (1993) Portfolio Change Measure and design a market timing measure to evaluate the overall performance as well as the market timing performance of mutual funds in the Taiwan stock market. Next, we design an analysis framework similar to that of Brinson, Hood, and Beebower (1986) to examine the effects of policy asset allocation, market timing, and security selection on total portfolio returns. This research focuses on the period from June 1993 through December 1996. The preliminary results associated with the Portfolio Change Measure show that the managed funds, on average, earn negative but insignificant overall returns over the research period. However, the results show some weak evidence of market timing ability for the managed funds. On the other hand, the results associated with the determinants of performance approach show that the managed funds, on average, earn positive returns in overall performance and security selection. However, the managed funds earn negative returns in market timing. These contradictory results between the Portfolio Change Measure and the determinants of performance approach are mainly due to the choice of the benchmark weights used to compute the active returns.<
    Relation: 行政院國家科學委員會
    計畫編號NSC86-2416-H004-029
    Data Type: report
    Appears in Collections:[財務管理學系] 國科會研究計畫

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML802View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback