[[alternative]]Mutual Fund Performance and Fund Characteristics in Taiwan

計畫編號：NSC95-2416-H032-010研究期間：200608~200707研究經費：398,000[[abstract]]在台灣，共同基金已是家庭中重要投資工具之一。而隨著共同基金的快速成長，如何正確衡量績 效亦逐漸被重視。可是，對於如何辨識出最佳績效之基金仍是一個爭議性的課題，甚至經過數十年之 學術研究，其爭論仍無定論。 本研究使用一個沒有殘存抽樣偏誤的樣本，對共同基金進行全面性的分析。首先，探討各種績效 指標與標竿的適切性，本研究比較多種的績效指標與分析標竿的敏感度。接著，本研究分析一序列的 基金特徵對基金績效的交互關係與影響，其目的在確認與基金績效有關的基金特徵。最後，本研究也 在控制殘存偏誤與基金特徵下，分析基金績效的持續性。 In Taiwan, Mutual funds have become an important vehicle among households. With the rapid growth of mutual funds, increasing emphasis has been placed on the question of proper performance evaluation. However, the identification of superior performing funds remains a controversial topic, which evens the academic literature after several decades of debate has been unable to resolve. Using a sample free of survivor bias, I perform a comprehensive analysis of the mutual fund. Firstly, I address the question of proper measures and benchmarks. Different measures of performance are compared and benchmark sensitivity is analyzed. Then, this study provides an analysis of the interrelationship and impact of a thorough list of fund-specific characteristics on fund performance. The purpose of this study is to identify specific factors linked to fund performance. Finally, after controlling for survivorship bias and fund-specific factors, this study also provides an analysis of the persistence of mutual funds.[[sponsorship]]行政院國家科學委員會[[notice]]補正完