跳到主要內容

臺灣博碩士論文加值系統

(3.236.23.193) 您好!臺灣時間:2021/07/26 07:33
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

: 
twitterline
研究生:許常武
研究生(外文):Hsu, Chang-Wu
論文名稱:運氣好還是能力好?臺灣股票型共同基金的表現
論文名稱(外文):Luck or Skills? The Performance of Equity Mutual Funds in Taiwan
指導教授:賴慧文賴慧文引用關係
學位類別:碩士
校院名稱:國立臺灣師範大學
系所名稱:管理研究所
學門:商業及管理學門
學類:企業管理學類
論文出版年:2020
畢業學年度:109
語文別:英文
論文頁數:57
外文關鍵詞:Luck or SkillBootstrap simulations
相關次數:
  • 被引用被引用:0
  • 點閱點閱:27
  • 評分評分:
  • 下載下載:10
  • 收藏至我的研究室書目清單書目收藏:0
The performance of equity funds in Taiwan is better than the market portfolio, but not all of them can survive long enough. The size of most funds becomes smaller and smaller as time passes by. Bootstrap simulations suggest that most funds produce benchmark-adjusted expected returns sufficient to not only cover their cost but also outperform the market. Although adding back expense ratio does improve fund performance, the expense ratio data are questionable. Also, superior and inferior fund managers do exist in the real-world mutual fund.
Abstract I
Table of Contents II
List of Figures III
List of Tables IIV
Introduction 1
Motivation 1
Purpose 3
Structure 4
Literature Review 6
Factor Effect on Fund Performance 6
Size Effect 6
Book-to-market Ratio Effect 6
Monthly Momentum Effect 7
Evaluation of Fund Performance 8
Single Factor 8
Multi-Factor and The Three-Factor Model 9
The Four-Factor Model 10
Mutual Funds Abilities on Picking Stocks 10
Research Methodology 14
Subjects 14
Brief introduction of the classification of TEJ four factors 15
Brief Introduction of Evaluation Models 17
Evaluation of the Performance of Taiwan’s Equity Mutual Funds 17
A.The Regression Framework 17
B.Regression for VW and EW Portfolio of Active Funds 18
C.Measurement Tests on the Gross Returns 19
Bootstrapping Simulation 20
Brief Introduction of Bootstrapping 20
Bootstrapping Process 20
Evaluation of Funds with Random Alpha 22
Empirical Analysis 23
Conclusion 25
References
Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of financial economics, 9(1), 3-18.
Barr Rosenberg, K. R., & Lanstein, R. (1984). Persuasive evidence of market inefficiency. Journal of portfolio management, 11, 9-17.
Blake, D., & Timmermann, A. (1998). Mutual fund performance: evidence from the UK. Review of Finance, 2(1), 57-77.
Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57-82.
Chan, L. K., Jegadeesh, N., & Lakonishok, J. (1996). Momentum strategies. Journal of Finance, 51(5), 1681-1713.
Chang, E. C., & Lewellen, W. G. (1984). Market timing and mutual fund investment performance. Journal of Business, 57-72.
Chen, H.-L., Jegadeesh, N., & Wermers, R. (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(3), 343-368.
Chen, L.-H., & Chen, H.-H. (2017). Applying a bootstrap analysis to evaluate the performance of Chinese mutual funds. Emerging Markets Finance and Trade, 53(4), 865-876.
Cuthbertson, K., Nitzsche, D., & O'Sullivan, N. (2008). UK mutual fund performance: Skill or luck? Journal of Empirical Finance, 15(4), 613-634.
Daniel, K., Grinblatt, M., Titman, S., & Wermers, R. (1997). Measuring mutual fund performance with characteristic‐based benchmarks. Journal of Finance, 52(3), 1035-1058.
De Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact? Journal of Finance, 40(3), 793-805.
Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. Journal of Finance, 47(2), 427-465.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics.
Fama, E. F., & French, K. R. (2010). Luck versus skill in the cross‐section of mutual fund returns. Journal of Finance, 65(5), 1915-1947.
Grinblatt, M., & Titman, S. (1989). Mutual fund performance: An analysis of quarterly portfolio holdings. Journal of Business, 393-416.
Henriksson, R. D., & Merton, R. C. (1981). On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills. Journal of Business, 513-533.
Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48(1), 65-91.
Jensen, M. C. (1968). The performance of mutual funds in the period 1945–1964. Journal of Finance, 23(2), 389-416.
Kosowski, R., Timmermann, A., Wermers, R., & White, H. (2006). Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis. Journal of Finance, 61(6), 2551-2595.
Lehmann, B. N., & Modest, D. M. (1987). Mutual fund performance evaluation: A comparison of benchmarks and benchmark comparisons. Journal of Finance, 42(2), 233-265.
Lintner, J. (1965). Security prices, risk, and maximal gains from diversification. Journal of Finance, 20(4), 587-615.
Markowitz, H. (1952). The utility of wealth. Journal of Political Economy, 60(2), 151-158.
Merton, R. C. (1973). An intertemporal capital asset pricing model. Econometrica: Journal of the Econometric Society, 867-887.
Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society, 768-783.
Ross, S. (1976). The APT approach to strategic portfolio management. Financial Analysts Journal, 14-26.
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442.
Sharpe, W. F. (1966). Mutual fund performance. Journal of business, 39(1), 119-138.
Stattman, D. (1980). Book values and stock returns. The Chicago MBA: A Journal of Selected Papers, 4(1), 25-45.
Treynor, J. (1965). How to rate management of investment funds.
Treynor, J., & Mazuy, K. (1966). Can mutual funds outguess the market. Harvard business review, 44(4), 131-136.
Treynor, J. L. (1961). Toward a theory of market value of risky assets.
Wermers, R. (2000). Mutual fund performance: An empirical decomposition into stock‐picking talent, style, transactions costs, and expenses. Journal of Finance, 55(4), 1655-1695.
連結至畢業學校之論文網頁點我開啟連結
註: 此連結為研究生畢業學校所提供,不一定有電子全文可供下載,若連結有誤,請點選上方之〝勘誤回報〞功能,我們會盡快修正,謝謝!
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關論文
 
無相關期刊
 
無相關點閱論文