台灣發行國際型基金績效評估之研究

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姓名

劉軒安(Husan-An Liu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

台灣發行國際型基金績效評估之研究
(Measuring the Performance of International Mutual Funds Raised in Taiwan)

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摘要(中)

爲了解台灣普遍的海外投資工具--國際型基金的績效表現，我們使用了各種績效衡量模型．過去4年的全球股市是一個熊市的市場，大多數的國際型基金並沒有表現的比台灣的股市來的好，只有一些基金可以提供給投資人分散風險．然而，很多國際型基金的基金經理人有良好的選股能力，尤其是太平洋型基金的經理人，但是絕大多數的基金經理人仍沒有擇時能力．我們另外比較在同一個摩根弗來明集團下的2種不同籌資方式的基金:跨國投資型基金與海外基金的績效表現差異．之後比較這一些國際型基金與台股，觀察他們對通貨膨脹避險效果．最後，在考量基金規模，費用率，週轉率，和成立時間長短這4個因子與績效表現的關係，來提供投資者一些選擇基金的建議．

摘要(英)

Using several measures of testing the performance of international funds in Taiwan, we try to help investors in Taiwan to examine how the popular investment tool, international mutual funds, work in the fund market. In the last 4 years, being in the bear stock market around the world, most of these international funds did not outperform the domestic market in Taiwan. Only few of the funds can help the investors to diversify their risks. However, many of the international fund managers are good at picking stocks, especially the Pacific Fund, although almost all of them are not market timers. We also compare the oversea and foreign funds in the JF Group. Then we compare the domestic stocks and international funds to see how they hedge against the expected and unexpected inflation risk. Finally, we provide the investors with some ideas how to choose a better international fund by considering 4 factors: asset size, total fees ratio, turnover rate, and length in the fund market.

關鍵字(中)

★ 基金特徵表現
★ 通貨膨脹避險
★ 分散風險效果
★ 擇時能力
★ 選股能力
★ 國際型基金

關鍵字(英)

★ investment performance
★ Inflation hedge
★ Diversification Effect
★ Market timing
★ Stock selection
★ International mutual funds

論文目次

Contents
Abstract
1.Introduction…………………………………………………………………….....1
2. Literature Review…………………………………………………………………5
(2.1)Mutual Fund Performance Measure…………………………….………......5
(2.2)International Mutual Funds…………...…………………………………….7
2.Data and Methodology…………………………………………………………....10
(3.1)Data Description……………………………………………………….……..10
(3.2)Methodology………………………………………………………….….......12
4.Empirical Results………………………………………………………………...16
(4.1)Overall Performance of International funds…………………………….16
(4.2)The market timing and residual tests ...……………………………….17
(4.3)The stock selection ability…………………………….…………….....18
(4.4)The timing and stock selection…………………………………………...18
(4.5)The performance of the international funds raised domestically and abroad in JF Group…………………………………………………………………….......19
(4.6)The diversification effects of internationalfunds……………………20
(4.7)The inflation hedge of international funds…………………………….21
(4.8)The effects of four characteristics on mutual fund performance.…22
5.Conclusion and Suggestions……………………………………………………..23
References……………………………………………………………………………..42

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指導教授

何中達(Chung-Da Ho)

審核日期

2004-6-21

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