共同基金報酬持續性之探討

余嘉嘉

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共同基金報酬持續性之探討

RETURNS PERSISTENCE OF MUTUAL FUNDS

余嘉嘉 , Masters　　Advisor：陳瑞璽　　

繁體中文;英文

基金效率持續性；基金報酬持續性；資料包絡分析法；共同基金； Efficiency Persistence of Funds ； Returns Persistence of Funds ； Data Envelopment Analysis ； Mutual Funds

Abstract │ Reference (111) │ Altmetrics

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In recent years there has been much discussion of investment ideas regarding the many types of financial products available in Taiwan. Most investors spend a great deal of time studying past performance of mutual funds when considering investment. The purpose of this study was to investigate whether returns persistence exists among domestic mutual funds. If returns persistence of funds exists among domestic mutual funds that investor can follow it and chose the funds. A total of 113 domestic open-ended equity mutual funds available during Jan 1st, 2008 and Dec 31st, 2008 were selected as the research subjects. The research findings were summarized as follows: (1) Performance persistence of funds does not exist and we can find the situation for performance reversals. 
The evaluation of fund efficiency in this study demonstrates that there is sustainability in fund efficiency, and positive correlation between the fund efficiencies of earlier and later stages. Therefore, the performance evaluation should not only focus efficiency measurement, and effect and efficiency should be measured simultaneously, and then the effectiveness and accuracy of evaluation can be enhanced.

Reference ( 111 ) 〈TOP〉

Andersen, P. and N. C. Petersen. “A procedure for ranking efficient units in data envelopment analysis.” Management science 39, (1993):1261-1264.
連結：
Ang, J. S. and C. R. Chen. “Mutual Fund Manager’s Efforts and Performance.” Journal of Investing 7, no.4 (1998): 68-75.
連結：
Artzner, P., F. Delbaen, J. M. Eber, and D. Heath. “Coherent measures of risk.” Mathematical Finance 9, no.3 (1999): 203-228.
連結：
Banker, R. D., A. Charnes, and W. W. Cooper. “Some models for estimating technical and scale inefficiencies in data envelopment analysis.” Management Science 30, (1984): 1078-1092.
連結：
Banz, R. W. “The relationships between return and market value of common stocks.” Journal of Financial Economics 9, (1981): 3-18.
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