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題名：共同基金績效之衡量--模擬分析法之應用
書刊名：中山管理評論
作者：高蘭芬 引用關係／陳安琳 引用關係／湯惠雯 引用關係／曹美蘭
作者(外文)：Kao, Lanfeng／Chen, Anlin／Tang, Hui-wen／Tsao, Meilan
出版日期：2005
卷期：13:3
頁次：頁667-694
主題關鍵詞：共同基金；績效衡量；模擬分析；Fama-french模式；報酬動能；Mutual fund；Performance measure；Simulation；Fama-french model；Momentum
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(8) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:7
  • 共同引用共同引用:39
  • 點閱點閱:106
共同基金的績效衡量方式有Sharpe measure, Treynor measure, Jensen's α及appraisal ratio，這些衡量指標彼此之間對於基金之績效常有不一致的看法。本文以模擬分析法來探討共同基金績效指標的正確性。研究結果發現，衡量共同基金的風險─報酬比率的相對績效指標，如：Sharpe、Treynor、Appraisal等傾向於低估基金的風險─報酬比率。而絕對績效指標中，如不考慮基金的擇時能力，Jensen's α最能正確的衡量出共同基金的投資績效；而在考慮基金的擇時能力時，則以Carhart四因子模式α較能正確的衡量基金績效。而擇時模式通常低估基金的擇時能力被。另外，小規模股票基金及低淨值市價比股票基金有較佳之績效，而股票動能策略並不存在於台灣共同基金市場之中。
The literature about measurement of portfolio performance is exclusive but controversial. This paper employs a simulation approach to evaluate fund performance of randomly constructed portfolios and stylized portfolios. We find that without market-timing consideration Jensen's α measures fund performance precisely. On the other hand, under market-timing consideration, α under Carhart model does a better job in measuring fund performance. Furthermore, market-timing ability is typically under-estimated.
期刊論文
1.Treynor, Jack L.、Mazuy, Kay K.(1966)。Can mutual fund outguess the market?。Harvard Business Review，44(4)，131-136。  new window
2.Daniel, K.、Titman, S.(1997)。Evidence on the Characteristics of Cross Sectional Variation in Stock Return。The Journal of Finance，52(1)，1-33。  new window
3.許培基、陳軒基、杜明哲(20031000)。共同基金持股之績效解構與資訊內涵。證券市場發展，15(3)=59，1-25。new window  延伸查詢new window
4.Hameed, A.、Kusnadi, Y.(2002)。Momentum Strategies: Evidence from the Pacific Basin Stock Markets。Journal of Financial Research，25(3)，383-397。  new window
5.Kothari, Sagar P.、Warner, Jerold B.(2001)。Evaluating Mutual Fund Performance。Journal of Finance，56(5)，1985-2010。  new window
6.顧廣平、吳壽山、許和鈞(19950400)。漲跌幅與公司規模對股票報酬之影響--臺灣股票市場之實證研究。證券市場發展，7(2)=26，1-28。new window  延伸查詢new window
7.Loughran, Tim、Ritter, Jay R.(2000)。Uniformly Least Powerful Tests of Market Efficiency。Journal of Financial Economics，55(3)，361-390。  new window
8.Lee, C. F.、Jen, F. C.(1978)。Effects of Measurement Errors on Systematic Risk and Performance Measure of a Portfolio。Journal of Financial and Quantitative Analysis，13(2)，299-312。  new window
9.Dybvig, P. H.、Ross, S. A.(1985)。The Analytics of Performance Measurement Using a Security Market Line。Journal of Finance，40(2)，401-416。  new window
10.陳安琳、黎萬琳、陳振遠(20010400)。成長潛力、內部人交易與現金增資之宣告效果。中國財務學刊，9(1)，1-25。new window  延伸查詢new window
11.Malkiel, B. G.(1995)。Returns from Investing in Equity Mutual Funds 1971-1991。Journal of Finance，50(2)，549-572。  new window
12.Henriksson, Roy D.、Merton, Robert C.(1981)。On market timing and investment performance II: Statistical procedures for evaluating forecasting skills。Journal of Business，54(4)，513-533。  new window
13.Roll, Richard(1978)。Ambiguity When Performance Is Measured by the Securities Market Line。Journal of Finance，33(4)，1051-1069。  new window
14.Banz, Rolf W.(1981)。The Relationship Between Return and Market Value of Common Stocks。Journal of Financial Economics，9(1)，3-18。  new window
15.Fant, L. Franklin、Peterson, David R.(1995)。The Effect of Size, Book-to-market Equity, Prior Returns, and Beta on Stock Returns: January Versus the Remainder of the Year。Journal of Financial Research，18(2)，129-142。  new window
16.陳家彬(19990600)。臺灣地區股票報酬之橫斷面分析：三因子模式之實證。國立中興大學人文社會學報，8，213-236。  延伸查詢new window
17.Daniel, Kent、Titman, Sheridan(1998)。Characteristics or Covariances?。Journal of Portfolio Management，24(4)，24-33。  new window
18.Carhart, Mark M.(1997)。On persistence in mutual fund performance。The Journal of Finance，52(1)，57-82。  new window
19.Chan, Louis K. C.、Jegadeesh, Narasimhan、Lakonishok, Josef(1996)。Momentum Strategies。Journal of Finance，51(5)，1681-1713。  new window
20.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics，33(1)，3-56。  new window
21.陳安琳(20020600)。臺灣股票報酬之穩定因素--交叉確認、因素分析與模擬分析。管理學報，19(3)，519-542。new window  延伸查詢new window
22.Chan, Ka Keung Ceajer、Chen, Nai Fu(1991)。Structural and Return Characteristics of Small and Large Firms。Journal of Finance，46(4)，1467-1484。  new window
23.Malkiel, Burton G.、Xu, Yexiao(1997)。Risk and return revisited。The Journal of Portfolio Management，23(3)，9-14。  new window
24.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance，47(2)，427-465。  new window
25.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance，48(1)，65-91。  new window
26.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1994)。Contrarian Investment, Extrapolation, and Risk。Journal of Finance，49(5)，1541-1578。  new window
27.Rosenberg, Barr、Reid, Kenneth、Lanstein, Ronald(1985)。Persuasive evidence of market inefficiency。Journal of Portfolio Management，11(3)，9-16。  new window
28.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica，55(3)，703-708。  new window
29.Roll, R. C.(198109)。A Possible Explanation of the Small Firm Effect。The Journal of Finance，36，879-888。  new window
30.陳安琳、Tu, Eva H.(2002)。The Determinants for Stock Returns in Emerging Market: The Case of Taiwan。Studies in Economics and Finance，21(1)，61-80。  new window
31.Fong, W. M.、Lean, H. H.、Wong, W. K.(2005)。International Momentum Strategies: A Stochastic Dominance Approach。Journal of Financial Market，8(1)，89-109。  new window
32.Mills, H.(1970)。On the Measurement of Fund Performance。The Journal of Finance，25，1125-1131。  new window
33.Reinganum, M. R.(1981)。A New Empirical Perspective on the CAPM。Journal of Financial and Quantitative Analysis，16，439-462。  new window
會議論文
1.周賓凰、林淑惠、林美珍(1999)。Mutual Funds Styles, Performance Evaluation and Investment Horizons: Evidence from U. S. Mutual Funds。0。  new window
研究報告
1.林煜宗(1994)。市場型態、股價淨值比、本益比及公司規模對股票報酬率之影響。  延伸查詢new window
學位論文
1.胡玉雪(1994)。益本比、淨值/市價比及公司規模對股票報酬之影響：相似無關迴歸法之應用(碩士論文)。國立臺灣大學。  延伸查詢new window
2.黃昭祥(1992)。臺灣股市公司規模、本益比、殖利率與價格效應交互作用之實證研究(碩士論文)。國立中正大學。  延伸查詢new window
 
 
 
 
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