弱勢效率市場下共同基金績效之動態評估

• Main Authors: 王銘傑, Wang, Ming-Chieh
• Language: 英文
• Published: 國立政治大學
• Online Access: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G91NCCU2632012%22.

無 === Measuring Mutual Fund Strategies and Performance in Dynamic Economic Conditions Ming-Chieh Wang Department of International Trade National Chengchi University Abstract Using predetermined lagged variables to stand for public information is a new approach to measure mutual fund performance. This method is known as conditional performance evaluation (CPE) in the literature. Under the assumption of weak-form efficient market, this paper uses the CAPM and two other traditional timing models to examine the performance of open-end equity funds of Taiwan market in both conditional and unconditional ways. We find that although funds in our sample do not significantly outperform the market index, the conditional CAPM exhibits better performance than its unconditional version. In both market-timing models, the conditional versions also show signs of better market-timing capabilities than the unconditional ones. The advantage of considering public information into the evaluation models is justified with Taiwan's data.