| 摘要(英) |
Since the establishment of the domestic mutual fund in 1985, it has become an important investment tool for domestic investors. Therefore, the ability of fund managers,whether investors or scholars, are very concerned, and the ability of fund managers includes stock selection and Market timing ability, this study took the monthly return of funds invested in stocks listed on the Taiwan Stock Exchange as a research sample from January 1, 2015 to December 31, 2019, and divided it into three This type is evaluated through the Jensen index and the addition of dummy variables to explore whether there is a significant difference between the stock picking ability and timing ability of Taiwan fund managers at different points in the market.
According to the empirical results, no matter what type of fund, nearly half of the sample fund managers have poor or lack of stock selection and timing ability, and some fund managers only have one of them, and finally only a few funds A manager possesses two abilities at the same time. And through the empirical results of this research, it is also found that when the market declines, the general fund can not obtain relative abnormal returns when taking one unit of systemic risk, which may lead to the reason that fund managers have no timing ability on average. |
| 參考文獻 |
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