| dc.description.abstract | This study aims to examine the market timing ability of mutual funds with the three variables- market risk premium, size premium, and BV/MV ratio premium, submitted by Fama & French (1993), and with Teynor & Mazuy Model (1966). Meanwhile, combining the variable of turnover ratio which can verify the active level of mutual fund holding with the three variables mentioned above will mould the four-variable model to validate the characteristics of domestic mutual fund abnormal return. The managers of domestic stock mutual fund basically are not equipped with the ability of stock picking and market timing. Market risk premium, size premium, and BV/MV ration premium are able to indicate the abnormal return of domestic mutual funds. Domestic small & mid cap funds have more remarkable performance than stock funds and technology funds do on the basis of high risk premium, small size premium, and low B V/MV ratio premium, so as to help investors gain more return. However, for all domestic stock mutual funds, high turnover ratio with high transaction cost may eliminate their returns; hence, turnover ratio is not meant to be a main factor to domestic stock mutual funds.
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