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頁籤選單縮合
題名 | 臺灣證券市場股票型基金績效持續性之研究=Performance Persistence of Equity Mutual Funds in Taiwan Securities Market |
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作者姓名(中文) | 徐忠誠; 林珈如; 李權晃; 趙金芳; | 書刊名 | 嶺東學報 |
卷期 | 37 2015.06[民104.06] |
頁次 | 頁1-21 |
分類號 | 563.538 |
關鍵詞 | 股票型基金; 績效持續性; Equity mutual fund; Performance persistence; |
語文 | 中文(Chinese) |
中文摘要 | 投資人是否可利用過去的共同基金績效,做為對未來共同基金績效之推估,取決於共同基金的投資報酬是否具有持續性。本研究旨在探討臺灣證劵市場股票型基金前後期投資績效是否具有持續性之現象。本研究將十年研究期間平均劃分為前後二期,利用報酬率、報酬率標準差、夏普指標、詹森指標、崔納指標及資訊比率等指標,以結構方程模式進行分析股票型基金之績效。研究結果發現,臺灣證劵市場股票型基金前後期績效似乎存有持續性。 |
英文摘要 | Employing previous performance of mutual funds to estimate their future performance for investors depends on performance persistence. This study is to investigate whether return on equity mutual funds in Taiwan securities market shows persistence. Using these measures of return on investment, standard deviation, Sharpe index, Jensen's α, Treynor index, and information ratio, this study divides ten-year sample into two subsamples and applies structural equation modeling to examine performance persistence of equity mutual funds. The results suggest that return on equity mutual funds in Taiwan securities market seems to be persistent. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。