本研究主要在探討國內開放式股票型基金之市場風險 (異常報酬) 在空頭市場中的差異性。研究期間從2005年1月1日起到2010年12月31日底為止2005年1月起到2010年12月底為止，同時採用Treynor (1965)、Sharpe(1966)及Jensen(1968)等三種指標來進行基金績效評估。同時，也以市場模型(market model )及Bhardwaj and Brooks (1993) 所提出變動風險市場模型 (varying risk market model)來分別對共同基金的市場風險 (異常報酬) 與風險 (異常報酬) 在空頭市場中的變動程度進行評估。最後，經由實證後歸納主要結論為： (一) 發現以開放式中小型、開放式一般型和開放式科技類等三種類型的共同基金會有較佳的平均績效。(二) 發現開放式中概股的基金傾向具有較低的市場風險，(三) 發現基金若以市場模型所估計的平均異常報酬在多頭市場中會有低估的現象。然而，在空頭市場中大多數 (30家) 的基金的平均異常報酬為負，且若以市場模型所估計的平均異常報酬會有高估的現象。 最後，也發現多數的基金若以市場模型所估計的市場風險在多頭市場中會有高估的現象。然而，約三分之一樣本數的基金在空頭市場中的市場風險存在顯著的差異性，其中有9家 (2家) 的共同基金在空頭市場中的市場風險會顯著較多頭市場為大 (小)。 This study focuses on the domestic stock funds open to market risk (abnormal returns) in the bear market differences. During the study period from January 1, 2005 to play the end of December 31, 2010 until the January 2005 date to play the end of December 2010, while use of Treynor (1965) ratio, Sharpe (1966) ratio and Jensen (1968) ratio three kinds of indicators to the Fund Performance Evaluation. At the same time, by the market model and Bhardwaj and Brooks (1993) proposed the change risk market model to each of the market risk of mutual funds and risk in the bear market in the assessment of the degree of change. Finally, through empirical summarized the main conclusions are: (A) found that open small and medium sized, open-type and open the general categories such as science and technology are three types of mutual funds mean better average performance. (B) found that open-concept stocks in the fund tend to have lower market risk, (c) found that the fund estimated if the average market model abnormal returns in a bull market will be undervalued. However, most of the bear market (30) of the fund''s average abnormal return is negative, and if the average market model abnormal returns estimated there will be trades. Finally, also found that most of the funds if the market model the estimated market risk in the bull market will be overestimated in the phenomenon. However, about one-third of the number of samples in the bear market fund market risk significant differences exist, of which 9 (2) of the mutual fund market in the bear market will be significantly greater risk of the first market for large ( small).
