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題名 台灣地區共同基金績效持續性及證券投資信託事業開放影響之研究
The Study on Consistency of Mutual Fund`s Performance and on Impact of Security Investment Trust Open to Public (Taiwan)作者 徐嘉慶
Hsu, Chia Ching貢獻者 陳隆麒<br>楊子江
Chen,long chi<br>yang zi chian
徐嘉慶
Hsu,Chia Ching關鍵詞 共同基金
證券投資信託
績效評估
Mutual fund
Security Investment Trust
Performance Evaluation日期 1993 上傳時間 29-Apr-2016 16:40:59 (UTC+8) 摘要 本研究的主要目的在於引用學理上有關共同基金的績效評估模式，對投資 參考文獻 中文部份\n王俊華，台灣地區共同基金績效評估與研究，國立中山大學企業管理研究所碩士論文，民國78 年7 月\n尹衍樑，國內共同基金之研究，台北:台灣經濟研究叢書38，民國80年1月\n朱亞琳，共同基金績效評估之研究，私立輔仁大學管理學研究所碩士論文，民國77 年7 月。\n林炯垚，“法人機構投資者對證券市場結構的影響" 證券管理，台北:證管會，民國77 年2 月、3 月， pp.15-19 、33-38\n林煜宗，現代投資學--制度、理論與實證，修訂四版，作者自印，民國77 年\n李存修，”評估國內外共同基金之選股與擇時能力以及國際風險分散效果衡量" 台灣經濟金融月刊， 25 卷，十期，七十八年十月，頁26-40\n陳文燦，“ 共同基金( 受益憑證)之發展及其投資績效之評估" 產業金融，五十五期，七十六年六月，頁25 - 40\n陳春山，證券投資信託契約論，台北: 五南書局，民國76 年12 月\n英文部份\nBauer, R.J.,P .A. Hays & D.E. Upton, "Parameter Instability in Mutual Fund Portfolios: A Shifting Regimes Test," Quarterly Journal of Business & Economics ,Vo1.26, Winter 1987, pp.50-62 .\nBogle, J.C., "Mutual Fund Performance Evaluation" ,Financial Analysts Journal ,Nov. -Dec. 1970, pp.25-33,124.\nBrightman, J.S. & B.L. Hanslanger, "Past Investment performance Seductive but Deceptive" ,Journal of protfolio management , Vo1.6, No.4, Winter 1980, pp.43-45.\nBrown, K.C. & G.D. Brown, " Does the Composition of the Market Portfolio Really Matter?" ,Journal of Portfolio Management , Vol. 13 ., Winter 1987, pp.26-32.\nCarlson, R.S., "Aggregate Performance of Mutual Funds, 1948-1967" ,Journal of Financial and Quantitative Analysis ,Vo1.5, No.1, March 1970, pp.1-31.\nChang, E.C. & W.G. Lewellen, " An Arbitrage Pricing Approach to Evaluating Mutual Fund Performance" , Journal of Financial Research ,Spring 1985, pp .15-30.\nChang, E.C. & W.G. Lewellen, "Market Timing and Mutual Fund In vestment\nPerformance" ,Journal of Business ,Vo1.57, No.1, Part I, 1984, pp .57-72.\nChen, C.R. & S. Stockum, "Selectivity, Market Timing, and Random Beta Behavior of Mutual Funds: A Generalized Model" ,Journal of Financial Research ,Spring 1986, pp.87-96.\nConnor, G. & R.A. Korajczyk, "Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis" , Journal of Finacial Economics ,March 1986, pp.373-394.\nFama, E.F., Foundation of Finance ,New York, Basic Books, Inc. , Publishers,1976.\nFama, E.F., "Components of Investment Performance" , Journal of Finance ,Vo1.27, No .3, June 1972, pp.551 -567.\nFerri, M.G.,H .D. Oberhelman & R.L. Roenfeldt, "Market Timing and Mutual Fund Portfolio Composition " ,Journal of Financial Research ,Summer 1984, pp.143 -150.\nFreund, W .C., "The Historical Role of the Individual Investor in the Corporrate Equity Market" ,Journal of Contemporary Business , Winter 1974, pp.1-12.\nFriend, I.,M. Blume & J.Crockett, Mutual Funds and other Institutional Investors ,A Twentieth Century Fund Study , New York N.Y. : McGraw-hill, 1970.\nFriend, I . & D. Vickers, "Portfolio Selection and Investment Performance" ,Journal of Finance ,Vo1.20, No.3, Sep.1965, pp.395-403.\nFriend, I. & M. Blime, "Measurement of Portfolio Performance Under Uncertainty" ,American Economics Review ,Sep.1970, pp . 561-575 .\nFuller, R. & J.Farrel,Modern Investment and Security Analysis , McGraw-Hill ,1987.\nHenriksson, R.D. & R.C. Merton, "On Market Timing and Investment Performance II . Statistical Procedures for Evaluating Forecasting Skills" ,Journal of Business, Vo1.54, No.4, 1981, pp.513-533.\nHenriksson, R.D., "Market Timing and Mutural Fund Performance: An Empirical Investigation" ,Journal of Business ,January 1984, pp . 73 -96.\nIppolito, R.A., "Efficiency with Costly Information: A Study of Mutual Fund Performance,1965-1984" ,Quarterly Journal of Economics ,Vol.104, Feb.1989, pp.1-23.\nKim, T., "An Assessment of the Performance of Mutual Fund Management: 1969 -1975" ,Journal of Financial and Quantitative Analysis ,Vol.13, No.3, Sep.1978, pp.385-406.\nLee, C.F. & S. Rahman, "Market Timing, Selectivity, and Mutual Fund Performance: An Empirical Investigation" ,Journal of Business, Vo1.63, Apr.1990, pp.261 -278.\nLehmann, B.N. & D.M. Modest, "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons " ,Journal of Finace ,June 1987, pp.233-265.\nMains, N.E., "Risk ,the Pricing of Capital Assets, and Evaluation of Investment Portfolios: Comment" ,Journal OF Business ,Vo1.50, No.3, July 1977, pp .371-384.\nMadden, G.P.,K .P. Nunn & A. Wiemann, "Mutual Fund Performance and Market Capitalization" ,Financial Analysts Journal ,Vol.42, Jul.-Aug. 1986, pp.67-70.\nMarkowitz, H.M., "Portfolio Selection," ,Journal of Finance ,March 1952, pp.77-91.\nMartin,J .D., A.J. Keown & J.L. Farrel, "Do Fund Objectives Affect Di-versification Policies?" ,Journal of Portfolio Management , Winter 1982, pp .19-28 .\nMcdonald, J.G., "Objectives and Performance of Mutual Funds, 1960-1969" ,Journal of Financial and Quantitative Analysis ,Vo1 .9, No.2, June 1974, pp.311 -333.\nMiller, T .W. & N. Gressis, "Nonstationarity and Evaluation of Mutual Fund Performance" ,Journal of Financial and Quantitative Analysis ,Sep.1980, pp.639-654.\nMoses, E .A.,J .M. Cheyny & E.T. Veit, " A New and More Complete Performance Measure" ,Journal of Portfolio Management ,Vol. 13, No.2, Summer 1987, pp.24-33.\nRadcliffe, R.C., Investment: Concepts, Analysis, and Strategy ,3rd. ed., Glenview Ill.: Scott Foresman, 1989 .\nWest, R.R.," Institutional Trading and the Changing Stock Market" ,Financial Analysts.\nRobson, G.N., "The Investment Performance of Unit Trusts and Mutual Fund in Australia for the Period 1969 to 1978" , Accounting & Finance (Australia) ,Vol.26, Nov.1986, pp .55-79 .\nRugg, D.D., "Using Risk-Adjusted Performance to Select Top Mutual Funds" ,Journal of Financial Planning ,Vol.4, Oct. 1991, pp. 164-168.\nSharpe, W., "Mutural Fund Performanc" ,Journal of Business ,Vo1.39, No.1, Part II, Jan.1966, pp.119-138 .\nShawky, H.A ., "An Update on Mutual Funds: Better Grades " , Journal of Portfolio Management ,Vol.8, No.4, Winter 1982,pp.19-34.\nSmith, K.V. & D.A. Tito, "Risk-Return Measures of Ex Post Portfolio Performance" ,Journal of Financial and Quantitative Analysis Vol.4, Dec.1969, pp.449 -471.\nTreynor, J.L., " How to Rate Management of Investment Funds" Harvard Business Review ,Vo1.43, Jan.-Feb. 1965, pp.63-75.\nTreynor, J.L. & K.K. Mazuy, "Can Mutual Funds Outguess the Market? " Harvard Business Review ,Vo1.44,July-Aug . 1966,pp. 131-136.\nVeit, E.T. & J.M. Cheney, "Are Mutual Funds Market Timers ?" , Journal of Portfolio Management ,Vo1.8, No.4, Winter 1982, pp.38.\nWilliamson,J .P., "Measurement and Forecasting of Mutual Fund Performance: Choosing An Investment Strategy" , Financial Analysts Journal ,Vo1.28, No.6, Nov.-Dec. 1972, PP.78-84. 描述 碩士
國立政治大學
企業管理學系
G80355011資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004062 資料類型 thesis dc.contributor.advisor 陳隆麒<br>楊子江 zh_TW dc.contributor.advisor Chen,long chi<br>yang zi chian en_US dc.contributor.author (Authors) 徐嘉慶 zh_TW dc.contributor.author (Authors) Hsu,Chia Ching en_US dc.creator (作者) 徐嘉慶 zh_TW dc.creator (作者) Hsu, Chia Ching en_US dc.date (日期) 1993 en_US dc.date.accessioned 29-Apr-2016 16:40:59 (UTC+8) - dc.date.available 29-Apr-2016 16:40:59 (UTC+8) - dc.date.issued (上傳時間) 29-Apr-2016 16:40:59 (UTC+8) - dc.identifier (Other Identifiers) B2002004062 en_US dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=100833 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 企業管理學系 zh_TW dc.description (描述) G80355011 zh_TW dc.description.abstract (摘要) 本研究的主要目的在於引用學理上有關共同基金的績效評估模式，對投資 zh_TW dc.description.tableofcontents 第一章緒論\n第一節研究動機與目的．．．．．．．．．．1\n第二節研究範圍．．．．．．．．．．4\n第三節研究限制．．．．．．．．．．6\n第四節研究架構．．．．．．．．．．7\n第貳章文獻探討\n第一節共同基金簡介．．．．．．．．．．10\n第二節國外實證文獻．．．．．．．．．．12\n第三節國內實證文獻．．．．．．．．．．40\n第參章研究設計\n第一節研究假說與資料蒐集．．．．．．．．．．43\n第二節研究變數的操作性定義．．．．．．．．．．45\n第三節研究方法．．．．．．．．．．47\n第肆章實證結果與分析\n第一節市場模式適切性的檢定．．．．．．．．．．53\n第二節共同基金的績效評估．．．．．．．．．．57\n第三節共同基金相關的各種假說檢定．．．．．．．．．．64\n第四節有關績效持續性的檢定．．．．．．．．．．74\n第伍章新投信開放設立後的影響探討\n第一節台灣地區投信事業的現況．．．．．．．．．．77\n第二節新投信的分析．．．．．．．．．．86\n第三節新投信開放後的影響．．．．．．．．．．93\n第陸章結論與建議\n第一節結論．．．．．．．．．．99\n第二節建議．．．．．．．．．．105\n參考文獻\n中文部份．．．．．．．．．．107\n英文部份．．．．．．．．．．108 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004062 en_US dc.subject (關鍵詞) 共同基金 zh_TW dc.subject (關鍵詞) 證券投資信託 zh_TW dc.subject (關鍵詞) 績效評估 zh_TW dc.subject (關鍵詞) Mutual fund en_US dc.subject (關鍵詞) Security Investment Trust en_US dc.subject (關鍵詞) Performance Evaluation en_US dc.title (題名) 台灣地區共同基金績效持續性及證券投資信託事業開放影響之研究 zh_TW dc.title (題名) The Study on Consistency of Mutual Fund`s Performance and on Impact of Security Investment Trust Open to Public (Taiwan) en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文部份\n王俊華，台灣地區共同基金績效評估與研究，國立中山大學企業管理研究所碩士論文，民國78 年7 月\n尹衍樑，國內共同基金之研究，台北:台灣經濟研究叢書38，民國80年1月\n朱亞琳，共同基金績效評估之研究，私立輔仁大學管理學研究所碩士論文，民國77 年7 月。\n林炯垚，“法人機構投資者對證券市場結構的影響" 證券管理，台北:證管會，民國77 年2 月、3 月， pp.15-19 、33-38\n林煜宗，現代投資學--制度、理論與實證，修訂四版，作者自印，民國77 年\n李存修，”評估國內外共同基金之選股與擇時能力以及國際風險分散效果衡量" 台灣經濟金融月刊， 25 卷，十期，七十八年十月，頁26-40\n陳文燦，“ 共同基金( 受益憑證)之發展及其投資績效之評估" 產業金融，五十五期，七十六年六月，頁25 - 40\n陳春山，證券投資信託契約論，台北: 五南書局，民國76 年12 月\n英文部份\nBauer, R.J.,P .A. Hays & D.E. Upton, "Parameter Instability in Mutual Fund Portfolios: A Shifting Regimes Test," Quarterly Journal of Business & Economics ,Vo1.26, Winter 1987, pp.50-62 .\nBogle, J.C., "Mutual Fund Performance Evaluation" ,Financial Analysts Journal ,Nov. -Dec. 1970, pp.25-33,124.\nBrightman, J.S. & B.L. Hanslanger, "Past Investment performance Seductive but Deceptive" ,Journal of protfolio management , Vo1.6, No.4, Winter 1980, pp.43-45.\nBrown, K.C. & G.D. Brown, " Does the Composition of the Market Portfolio Really Matter?" ,Journal of Portfolio Management , Vol. 13 ., Winter 1987, pp.26-32.\nCarlson, R.S., "Aggregate Performance of Mutual Funds, 1948-1967" ,Journal of Financial and Quantitative Analysis ,Vo1.5, No.1, March 1970, pp.1-31.\nChang, E.C. & W.G. Lewellen, " An Arbitrage Pricing Approach to Evaluating Mutual Fund Performance" , Journal of Financial Research ,Spring 1985, pp .15-30.\nChang, E.C. & W.G. Lewellen, "Market Timing and Mutual Fund In vestment\nPerformance" ,Journal of Business ,Vo1.57, No.1, Part I, 1984, pp .57-72.\nChen, C.R. & S. Stockum, "Selectivity, Market Timing, and Random Beta Behavior of Mutual Funds: A Generalized Model" ,Journal of Financial Research ,Spring 1986, pp.87-96.\nConnor, G. & R.A. Korajczyk, "Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis" , Journal of Finacial Economics ,March 1986, pp.373-394.\nFama, E.F., Foundation of Finance ,New York, Basic Books, Inc. , Publishers,1976.\nFama, E.F., "Components of Investment Performance" , Journal of Finance ,Vo1.27, No .3, June 1972, pp.551 -567.\nFerri, M.G.,H .D. Oberhelman & R.L. Roenfeldt, "Market Timing and Mutual Fund Portfolio Composition " ,Journal of Financial Research ,Summer 1984, pp.143 -150.\nFreund, W .C., "The Historical Role of the Individual Investor in the Corporrate Equity Market" ,Journal of Contemporary Business , Winter 1974, pp.1-12.\nFriend, I.,M. Blume & J.Crockett, Mutual Funds and other Institutional Investors ,A Twentieth Century Fund Study , New York N.Y. : McGraw-hill, 1970.\nFriend, I . & D. Vickers, "Portfolio Selection and Investment Performance" ,Journal of Finance ,Vo1.20, No.3, Sep.1965, pp.395-403.\nFriend, I. & M. Blime, "Measurement of Portfolio Performance Under Uncertainty" ,American Economics Review ,Sep.1970, pp . 561-575 .\nFuller, R. & J.Farrel,Modern Investment and Security Analysis , McGraw-Hill ,1987.\nHenriksson, R.D. & R.C. Merton, "On Market Timing and Investment Performance II . Statistical Procedures for Evaluating Forecasting Skills" ,Journal of Business, Vo1.54, No.4, 1981, pp.513-533.\nHenriksson, R.D., "Market Timing and Mutural Fund Performance: An Empirical Investigation" ,Journal of Business ,January 1984, pp . 73 -96.\nIppolito, R.A., "Efficiency with Costly Information: A Study of Mutual Fund Performance,1965-1984" ,Quarterly Journal of Economics ,Vol.104, Feb.1989, pp.1-23.\nKim, T., "An Assessment of the Performance of Mutual Fund Management: 1969 -1975" ,Journal of Financial and Quantitative Analysis ,Vol.13, No.3, Sep.1978, pp.385-406.\nLee, C.F. & S. Rahman, "Market Timing, Selectivity, and Mutual Fund Performance: An Empirical Investigation" ,Journal of Business, Vo1.63, Apr.1990, pp.261 -278.\nLehmann, B.N. & D.M. Modest, "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons " ,Journal of Finace ,June 1987, pp.233-265.\nMains, N.E., "Risk ,the Pricing of Capital Assets, and Evaluation of Investment Portfolios: Comment" ,Journal OF Business ,Vo1.50, No.3, July 1977, pp .371-384.\nMadden, G.P.,K .P. Nunn & A. Wiemann, "Mutual Fund Performance and Market Capitalization" ,Financial Analysts Journal ,Vol.42, Jul.-Aug. 1986, pp.67-70.\nMarkowitz, H.M., "Portfolio Selection," ,Journal of Finance ,March 1952, pp.77-91.\nMartin,J .D., A.J. Keown & J.L. Farrel, "Do Fund Objectives Affect Di-versification Policies?" ,Journal of Portfolio Management , Winter 1982, pp .19-28 .\nMcdonald, J.G., "Objectives and Performance of Mutual Funds, 1960-1969" ,Journal of Financial and Quantitative Analysis ,Vo1 .9, No.2, June 1974, pp.311 -333.\nMiller, T .W. & N. Gressis, "Nonstationarity and Evaluation of Mutual Fund Performance" ,Journal of Financial and Quantitative Analysis ,Sep.1980, pp.639-654.\nMoses, E .A.,J .M. Cheyny & E.T. Veit, " A New and More Complete Performance Measure" ,Journal of Portfolio Management ,Vol. 13, No.2, Summer 1987, pp.24-33.\nRadcliffe, R.C., Investment: Concepts, Analysis, and Strategy ,3rd. ed., Glenview Ill.: Scott Foresman, 1989 .\nWest, R.R.," Institutional Trading and the Changing Stock Market" ,Financial Analysts.\nRobson, G.N., "The Investment Performance of Unit Trusts and Mutual Fund in Australia for the Period 1969 to 1978" , Accounting & Finance (Australia) ,Vol.26, Nov.1986, pp .55-79 .\nRugg, D.D., "Using Risk-Adjusted Performance to Select Top Mutual Funds" ,Journal of Financial Planning ,Vol.4, Oct. 1991, pp. 164-168.\nSharpe, W., "Mutural Fund Performanc" ,Journal of Business ,Vo1.39, No.1, Part II, Jan.1966, pp.119-138 .\nShawky, H.A ., "An Update on Mutual Funds: Better Grades " , Journal of Portfolio Management ,Vol.8, No.4, Winter 1982,pp.19-34.\nSmith, K.V. & D.A. Tito, "Risk-Return Measures of Ex Post Portfolio Performance" ,Journal of Financial and Quantitative Analysis Vol.4, Dec.1969, pp.449 -471.\nTreynor, J.L., " How to Rate Management of Investment Funds" Harvard Business Review ,Vo1.43, Jan.-Feb. 1965, pp.63-75.\nTreynor, J.L. & K.K. Mazuy, "Can Mutual Funds Outguess the Market? " Harvard Business Review ,Vo1.44,July-Aug . 1966,pp. 131-136.\nVeit, E.T. & J.M. Cheney, "Are Mutual Funds Market Timers ?" , Journal of Portfolio Management ,Vo1.8, No.4, Winter 1982, pp.38.\nWilliamson,J .P., "Measurement and Forecasting of Mutual Fund Performance: Choosing An Investment Strategy" , Financial Analysts Journal ,Vo1.28, No.6, Nov.-Dec. 1972, PP.78-84. zh_TW
