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題名:基金投資績效評估模型之比較分析
書刊名:商學學報. 空大
作者:謝明瑞 引用關係段昌文 引用關係
作者(外文):Hsieh, Ming JuiTuan, Chung Wen
出版日期:1999
卷期:7
頁次:頁417-447
主題關鍵詞:共同基金投資績效擇時能力選股能力風險評估
原始連結:連回原系統網址new window
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     經濟愈發展的國家,其投資管道愈多,基金投資所扮演的角色也愈來愈重要。在 基金投資中,由於基金經理人的「擇時」與「選股」能力,為影響基金投資績效 的主要因素,因此,了解並衡量共同基金的投資績效十分重要。本研究主要即在 探討基金投資績效的評比,針對傳統績效評估模式,利用持股比率變動之績效評 估模型,利用資產規模費用率,以及週轉率等對基金績效之評估,以及基金績效 持續性研究等四個部分,就各種基金投資績效評估模型加以比較分析,結果發現 基金信託公司的「擇時」與「選股」績效,以及投資總績效等,均不如一般投資 人所預期的理想。因此,投資人在作基金投資時,必須慎選基金種類及其投資標 的。
期刊論文
1.Treynor, J. L.(1965)。How to Rate Management Investment Funds。Harvard Business Review,43,63-75。  new window
2.Moses, E. A.、Cheyney, J. M.、Viet, E. T.(1987)。A New and More Complete Performance Measure。Journal of Portfolio Management,13,24-33。  new window
3.Sharpe, W. F.(1996)。Mutual fund performance。Journal of Business,39(1),119-138。  new window
4.Malhotra, D.、McLeod, R.(1997)。An Empirical Analysis of Mutual Fund Expenses。Journal of Financial Research,20(2),175-190。  new window
5.Treynor, J. L.、Mazuy, K. K.(1966)。Can Mutual Funds Outguess the Market?。Harvard Business Review,44(4),131-136。  new window
6.Droms, William G.、Walker, David A.(1994)。Investment Performance of International Mutual Funds。Journal of Financial Research,17(1),1-14。  new window
7.Grinblatt, Mark、Titman, Sheridan(1989)。Mutual fund performance: an analysis of quarterly portfolio holdings。Journal of Business,62(3),393-416。  new window
8.Chen, R.、Stockum, S.(1986)。SELECTIVITY, MARKET TIMING, AND RANDOM BETA BEHAVIOR OF MUTUAL FUNDS: A GENERALIZED MODEL。Journal of Financial Research,9(1),87-96。  new window
9.Lee, Cheng F.、Rahman, Shaflgur(1991)。New Evidence on Timing and Security Selection Skill of Mutual Fund Managers。The Journal Portfolio Management,17(2),88-83。  new window
10.Daniel. K. M.、Titman, S.(1997)。Evidence of the Characteristic of Cross-sectional Variation in Common Stock Returns。Journal of Finance,52,1-33。  new window
11.Fable, F.、Francis, J.(1979)。Mutual Fund Systematic Risk for Bull and Bear Market: An Empirical Investigation。Journal of Finance,34,1243-1350。  new window
12.Fama, Eugene F.(1972)。Components of Investment Performance。Journal of Financial,27(3),551-567。  new window
13.Grinblatt, M.、Titman, S.(1993)。Performance Measurement without Benchmarks: An Examination of Mutual Fund Return。Journal of Business,66,47-68。  new window
14.Copeland, Thomas E.、Mayers, David(1982)。The Value Line Enigma (1965-1978): A Case Study of Performance Evaluation Issues。Journal of Financial Economics,10(3),289-321。  new window
15.Cornell, B.(1979)。Asymmetric Information and Portfolio Performance Measurement。Journal of Financial Economics,7(4),381-390。  new window
16.Grinblatt, M.、Titman, S.(1989)。Portfolio Performance Evaluation: Old Issues and New Insights。Review of Financial Studies,2,393-422。  new window
17.Fama, Eugene F.、French, Kenneth R.(1996)。Multifactor Explanations of Asset Pricing Anomalies。Journal of Finance,51(1),55-84。  new window
18.Carhart, Mark M.(1997)。On persistence in mutual fund performance。The Journal of Finance,52(1),57-82。  new window
19.Daniel, Kent、Grinblatt, Mark、Titman, Sheridan、Wermers, Russ(1997)。Measuring Mutual Fund Performance with Characteristic-based Benchmarks。Journal of Finance,52(3),1035-1058。  new window
20.Titman, Sheridan、Grinblatt, Mark(1992)。The Persistence of Mutual Fund Performance。The Journal of Finance,47(5),1977-1984。  new window
21.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
22.Jensen, Michael C.(1968)。The performance of mutual funds in the period 1945-1964。Journal of Finance,23(2),389-416。  new window
23.Grinblatt, Mark、Titman, Sheridan、Wermers, Russ(1995)。Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior。The American Economic Review,85(5),1088-1105。  new window
圖書
1.謝明瑞(1998)。金融市場。國立空中大學。  延伸查詢new window
2.謝明瑞(1996)。金融制度與管理。國立空中大學。  延伸查詢new window
3.謝明瑞(1997)。統計學概論。國立空中大學。  延伸查詢new window
4.謝明瑞(1998)。證券市場。國立空中大學。  延伸查詢new window
5.謝明瑞(1999)。期貨市場。國立空中大學。  延伸查詢new window
 
 
 
 
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