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題名：影響共同基金績效因素之效果探討
書刊名：企業管理學報
作者：陳信憲／黃美賢 引用關係／潘麗卿 引用關係
作者(外文)：Chen, Bryan H.／Huang, Mei-hsien／Pan, Li-ching
出版日期：2005
卷期：66
頁次：頁101-131
主題關鍵詞：共同基金；路徑分析；基金績效；Mutual fund；Path analysis；Fund performance
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(1) 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:1
  • 共同引用共同引用:24
  • 點閱點閱:19
本研究乃以2001－2004年美國股票型基金和債券型基金為研究樣本，以路徑分析法整合分析基金規模大小、基金家族規模大小、管理費用比例高低、基金週轉率高低、基金波動性大小、基金評比、詹森指標等因素和指標與基金績效的關係，進而提供投資者作為選擇基金之參考依據。研究結果發現基金評比、詹森指標與波動性對兩類基金績效均有影響力，而基金週轉率對兩類基金績效都沒有明顯的影響，其他因素則在不同類型基金有不同的影響效果。
Path analysis method is in use in this study to examine the relationships among the mutual fund performance, the fund size, fund family size, expense ratio, turnover rate, volatility, ranking and Jensen index. The research sampled 8,953 US equity and bond funds from 2001 to 2004. Our empirical results confirm that mutual fund ranking, Jensen index and volatility are key factors to affect equity and bond funds' performance and thus then could be useful indicators of funds selection. There is no significant relationship between turnover rate and the performance of equity funds or bond funds. Nevertheless, other factors show different impacts in various types of mutual funds.
期刊論文
1.Prather, Laurie、Bertin, William J.、Henker, Thomas(2004)。Mutual fund characteristics, managerial attributes, and fund performance。Review of Financial Economics，13(4)，305-326。  new window
2.Indro, Daniel C.、Jiang, Christine X.、Hu, Michael Y.、Lee, Wayne Y.(1999)。Mutual Fund Performance: Does Fund Size Matter?。Financial Analysts Journal，55(3)，74-87。  new window
3.Sharpe, W. F.(1996)。Mutual fund performance。Journal of Business，39(1)，119-138。  new window
4.劉文祺、張淑怡、張清鳳(20001200)。共同基金評選指標之實用性研究。產業金融季刊，109，60-80。  延伸查詢new window
5.Ahn, J.(2002)。Beyond Single Equation Regression Analysis: Path Analysis and Multi-Stage Regression Analysis。American Journal of Pharmaceutical Education，66，37-42。  new window
6.Chang, K. P.(2004)。Evaluating Mutual Fund Performance: an Application of Minimum Convex Input Requirement Set Approach。Computer & Operations Research，31，929-940。  new window
7.Chiang, K. C.、Kozhevnikov, K.、Wisen, C. H.(2005)。Ranking Properties of Momingstar Risk-adjusted Ratings。The Journal of Investing，14(1)，90-98。  new window
8.Gruber, M. J.(1996)。Another Puzzle: the Growth in Actively Managed Funds。Journal of Finance，51，783-810。  new window
9.Ippolito, R. A.(1993)。On Studies of Mutual Fund Performance。Financial Analysts Journal，49，42-50。  new window
10.Jones, M. A.、Lesseig, V. P.、Smythe, T. I.(2005)。Financial Advisors and Mutual Fund Selection。Journal of Financial Planning，18，64-70。  new window
11.Payne, T. H.、Prather, L.、Bertin, W.(1999)。Value creation and determinants of equality fund performance。Journal of Business Research，45(1)，69-74。  new window
12.Walker, G. A.(1997)。Testing the Predictability of Mutual Fund Returns。Review of Business，18(4)，10-15。  new window
13.徐清俊、姜志堅(2003)。基金績效持續性與基金類型之相關性研究。遠東學報，20(4)，785-798。  延伸查詢new window
14.陳安琳、洪嘉苓、李文智(20011000)。共同基金經理團隊屬性與基金績效之研究。證券市場發展，13(3)=51，1-27。new window  延伸查詢new window
15.Ang, J. S.、Chen, C. R.、Lin, J. W.(1998)。Mutual Fund Managers' Efforts and Performance。Journal of Investing，7(4)，68-75。  new window
16.Berkowitz, M. K.、Yehuda, K.(2002)。Managerial Quality and the Structure of Management Expenses in the U. S. Mutual Fund Industry。International Review of Economics and Finance，2，315-330。  new window
17.Elton, E. J.、Gruber, M. J.、Blake, C. R.(1993)。The Performance of Bond Mutual Funds。The Journal of Business，66(3)，371-403。  new window
18.Detzler, M. L.(1999)。The Performance of Global Bond Mutual Funds。Journal of Banking and Finance，23(8)，1195-1217。  new window
19.Droms, W. G.、Walker, D. A.(1996)。Mutual fund investment performance。Quarterly Review of Economics，36(3)，347-363。  new window
20.Droms, W. G.、Walker, D. A.(2001)。Persistence of mutual fund operating characteristics: Returns, turnover rates, and expense ratios。Applied Financial Economics，11(4)，457-466。  new window
21.Elton, E. J.、Gruber, M. J.、Blake, C. R.(1996)。Survivorship Bias and Mutual Fund Performance。Review of Financial Studies，9(4)，1097-1120。  new window
22.Goetzmann, W. N.、Ibbotson, R. G.(1994)。Do Winner Repeat? Patterns in Mutual Fund Performance。Journal of Portfolio Management，20(2)，9-18。  new window
23.Golec, J. H.(1996)。The Effects of Mutual Fund Managers' Characteristics on Their Portfolio Performance, Risk and Fees。Financial Services Review，5(2)，133-147。  new window
24.Ippolito, R. A.(1989)。Efficiency with Costly Information: A Study of Mutual Fund Performance, 1965-1984。The Quarterly Journal of Economics，104(1)，1-24。  new window
25.Jan, Y. C.、Hung, M. W.(2003)。Mutual Fund Attributes and Performance。Financial Services Review，12(2)，165-178。  new window
26.Jan, Yin-Ching、Hung, Mao-Wei(2004)。Short-run and Long-run Persistence in Mutual Funds。Journal of Investing，13(1)，67-71。  new window
27.Lemark, David J.、Satish, P. K.(1996)。Mutual Fund Performance and Managers' Term of Service: are There Performance Difference?。The journal of investing，5(4)，59-63。  new window
28.Philpot, J.、Hearth, D.、Rimbey, J. N.(2000)。Performance persistence and management skill in nonconventional bond mutual funds。Financial Services Review，9，247-258。  new window
29.Volkman, D. A.、Wohar, M. E.(1995)。Determinants of Persistence in Relative Performance of Mutual Funds。The Journal of Financial Research，18(4)，415-430。  new window
30.Malkiel, B. G.(1995)。Returns from Investing in Equity Mutual Funds 1971-1991。Journal of Finance，50(2)，549-572。  new window
31.Carhart, Mark M.(1997)。On persistence in mutual fund performance。The Journal of Finance，52(1)，57-82。  new window
32.Titman, Sheridan、Grinblatt, Mark(1992)。The Persistence of Mutual Fund Performance。The Journal of Finance，47(5)，1977-1984。  new window
33.Gallagher, D. R.、Martin, K. M.(2005)。Size and investment performance: A research note。Abacus，41(1)，55-65。  new window
34.Philpot, J.、Schulman, C. T.、Hearth, D.、Rimbey, J. N.(1998)。Active management, fund size, and bond mutual fund returns。The Financial Review，33(2)，115-126。  new window
35.Droms, W. G.、Walker, D. A.(1994)。Investment Performance of International Mutual Fund。Journal of Finance Research，17(1)，1-14。  new window
圖書
1.邱皓政(2004)。結構方程模式。台北：雙葉書廊有限公司。  延伸查詢new window
2.張紹勳(2000)。研究方法。臺中市：滄海。  延伸查詢new window
3.周文賢(2002)。多變量統計分析：SAS/STAT使用方法。智勝文化事業有限公司。  延伸查詢new window
4.吳明隆(2000)。SPSS統計應用實務。松崗。  延伸查詢new window
其他
1.林弘立(200503)。國內資產管理市場邁入新紀元（座談會），台北：金融研訓院。  延伸查詢new window
2.摩根富林明集團(200507)。JF台灣投資人信心調查--投資行為篇，http://wwwjfrichxom.tw/events/faith/0501chart.htm#cl0。  延伸查詢new window
 
 
 
 
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