頁籤選單縮合
題 名 | 封閉型基金與開放型基金相對績效之研究--新績效評估指標=A Comparison of Relative Performance between Closed-End and Open-End Mutual Funds--A New Performance-Evaluation Index |
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作 者 | 許溪南; 呂鴻德; | 書刊名 | 交大管理學報 |
卷 期 | 20:1 2000.08[民89.08] |
頁 次 | 頁71-102 |
分類號 | 563.538 |
關鍵詞 | 封閉型基金; 開放型基金; 績效評估指標; Closed-end funds; Open-end funds; Performance-evaluation index; |
語 文 | 中文(Chinese) |
中文摘要 | 封閉型基金長期折價的現象由來已久。一般咸認為其績效必定較開放型基金為差,而政府政策似乎有意將封閉型基金轉型為開放型基金。封閉型基金的績效真的較差嗎?過去有關基金績效的評估研究,多半利用以CAPM為基礎的指標來衡量績效,但是這些指標都有實證上的缺陷,造成其準確性與適用性受到質疑。本研究以APT為基礎,發展出一個基金評估的新指標,結果發現,封閉型基金在評估各期中,其多數的績效排名,皆優於開放型基金,而且此一新指標與CAPM傳統指標間雖排名差異不大,但在基金排名競爭激烈的環境中,慎選績效評估指標是非常重要的。本研究對投資人、政策制訂者及學界,均提供一些涵義。 |
英文摘要 | It has long been known that the phenomenon of price discount is prevailing for closed-end funds. Averaged investors seem to think that the performance of closed-end funds is inferior to that of open-end funds and the SEC policy seems to direct the closed-end funds to transform to open-end funds. Are performance of closed-end funds really worsen than that of open-end fund? Most of past empirical studies on performance evaluation are based on the CAPM. However, the validity and accuracy of those CAPM-based performance-evaluation Indexes are seriously criticized. This paper, based on the arbitrage pricing model, develops a new performance-evaluation index. We find that, in the whole period and most of subperiods, most of closed-end funds performed better than open-end funds. Although the difference in ranking between the new index and those CAPM-based indexes are small, it is important to choose a right index in the competitive environment. This study provides many implications to investors, policy markers, and academic workers. |
本系統中英文摘要資訊取自各篇刊載內容。