Taiwan and America Mutual Fund Short-term Performance Research

[[abstract]]台灣與美國共同基金績效的研究者常指出，選股或擇時能力無法影響績效。然而，台灣與美國之關係的實證研究仍相當缺乏，因此本研究旨在探討台灣和美國選股擇時、波動擇時與追蹤誤差間的關係。研究方法為Treynor and Mazuy (TM, 1966), Busse (1999) 和Ammann and Zimmermann (2001)模型，使用每日報酬比較台灣美國共同基金。研究樣本為216支台灣與美國1482支美國開放型基金。實證分析樣本方法包括敘述統計與OLS來展現兩國間的比較情況。研究結果顯示台灣除了單年的波動擇時能力比給美國好之外，其餘都是美國比台灣表現佳。總結而言，此研究希望能解釋兩國的共同基金經理人能力，投資者也可藉此進一步了解共同基金經理人工作能力。[[abstract]]Researchers of Taiwan and America mutual fund performance have often suggested that stock selection or market timing ability would not likely affect performance. However, research which has empirically documented the link between Taiwan and America is scant. Therefore, the aim of this article attempts to explore how Taiwan and America stock selection and market timing abilities, volatility timing and tacking error are compared. This research involved Treynor and Mazuy (TM, 1966), Busse (1999) and Ammann and Zimmermann (2001) models, comprised of Taiwan and America countries concerning mutual fund daily return. 216 Taiwan and 1482 America Open-End mutual funds participated in the study. The empirical analysis of the sets of samples was conducted through descriptive statistics and OLS in order to indicate the comparison between the two countries. Results of this study showed except check one year volatility timing Taiwan has fine than America. All of the results are America better than Taiwan. To conclude, this study may be of importance in explaining mutual fund managers’ ability between two countries, as well as in providing investors with a better understanding of mutual fund managers’ working ability.[[note]]碩