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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/86591


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/86591


    Title: 現代共同基金績效評鑑研究--台灣地區開放式股票型基金績效評比
    The modern mutual funds performance research on Taiwan`s open - end common stock mutual funds
    Authors: 詹硯彰
    Chan, Yen-Chang
    Contributors: 陳松男
    詹硯彰
    Chan, Yen-Chang
    Keywords: 共同基金績效評鑑
    選股能力
    擇時能力
    Mutual fund performance research
    Selecting ability
    Timing ability
    Lee-rahman
    Date: 1997
    Issue Date: 2016-04-27 14:56:20 (UTC+8)
    Abstract: 共同基金是未來投資理財約主流!專業法人機構在股市之投資比重日益提高，對國內證券市場生態產生結構性改變。展望未來趨勢，隨著股市發展成熟化、上市上櫃公司遽增與金融市場情勢連動關係複雜化等因素，專業投資理財時代的來臨必將成為事實。「專業、分工理財」投資型態將逐漸取代以往投資人自行下海操作之「自助式理財」型態。故共同基金操作績效正是進行本評鑑研究的最大動機，其中辨認基金經理人操作策略與績效顯現最具代表性的指標--選股能力與擇時能力．乃本研究所欲深入探討的主題。本研究模型之構建乃根據 Lee-Rahman (1990) 所提出之改良評鑑模式，簡言之，該模型的發展歷經早期 Treynor & Mazuy (1966) 的理論雛形，並經過 Jensen 針對評鑑擇時能力方面之改進，然後再經由 Bhattacharya & Pfleiderer (1983) 的進一步修正，產生了較完善的整體架構，最後經由 Lee-Rahman (1990) 針對評鑑過程中評鑑迴歸式之殘餘項異質性問題，作一根本的解決，建構完整的基金選股與市場擇時能力績效之評鑑模式。同時並運用幾個傳統績效評鑑指標 (即 Treynor、 Sharpe 與 Jensen 指標三種)，作為基金整體性績效之輔助研究。
    Mutual Funds Investment will be very popular! While the professional institutionalist`s participation being promoted, domestic stock market environment has beenchanged structurally. In the future, accompanied by several reasons such us the_maturationof stock market, dramatic increasing in listed company numbers and more complex correlation in international financial markets, the age stressing on professional financial adversary will come. "Professional financial investment and adversary" will substitute for"Self-adversary" investment. Therefore, measuring the mutual fund`s performance is the mailmotivation of my study`, and the insight in selectivity ability and market timing ability will bethe subject for further research.
    Description: 碩士
    國立政治大學
    金融研究所
    85352006
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002002070
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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