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    Title: 台灣地區共同基金績效與基金特徵
    Other Titles: Mutual Fund Performance and Fund Characteristics in Taiwan
    Authors: 顧廣平;李宣慧
    Contributors: 淡江大學財務金融學系
    Keywords: 共同基金;基金績效;基金特徵;Mutual fund;Fund performance;Fund characteristics
    Date: 2007-07
    Issue Date: 2014-02-12 00:02:35 (UTC+8)
    Abstract: 本研究以2001年7月至2006年6月,共計60個月,發行超過24個月以上之國內股票型開放式基金,期間所涵蓋之9,132支共同基金為研究樣本。研究方法以Fama and MacBeth(1973)之橫斷面迴歸方法,分析基金績效衡量指標與基金各項特徵值之間的橫斷面關係。本研究以五種因子模式衡量基金績效,並且將基金特徵歸納出六大類特徵,共計14個特徵變數。研究結果發現除了基金年齡變數外,其餘基金特徵對於基金績效皆具有解釋能力,當中基金單位淨值、基金淨資產、經理人年資、投信基金數、投信規模等五個特徵,對於基金績效,更兼具了預測能力。
    The study provides an analysis, FM cross-sectional regressions, of the interrelationship and impact of though list of fund-specific characteristics on performance. My fund database covers 9132 open-ended equity funds in Taiwan from July 1, 2006 to June 30, 2007. I employ five factor models to evaluate their performance estimates. There are six categories fund characteristics and amount to 14 characteristics valuables in my study. The study prove if fund characteristics are capable of predicting and explaining performance. The result show that 13 characteristics valuable are capable of explaining work except fund age valuable. Besides, in 13 characteristics, the five valuables: Net asset value, total net asset, manager's seniority, the numbers of fund in mutual fund company, the total net asset of mutual fund company, are capable of predicting work.
    Relation: 2007台灣財務工程學會年會暨台灣期貨交易所十周年國際研討會論文集,29頁
    Appears in Collections:[財務金融學系暨研究所] 會議論文

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