| Summary: | 碩士 === 國防管理學院 === 資源管理研究所 === 88 === This article applies the benchmarks contructed by characteristic-based method published by Daniel et al. (1997) to evaluate the performance of stocks. The benchmarks are contructed from the returns of 36 passive portfolios on the basis of the market capitalization, book-to-market, and prior-year return characteristics of those stocks during formation period. Based on these benchmarks, and matched with portfolio weights, The "Characteristic Selectivity" measures are developed that detect, whether managers can select stocks that outperform the average stock having the same characteristics.
We study the data which conclude 50 equity funds published on TAIWAN from 4/30/1994 to 8/31/1999. Our results detects as follows:
1. Most of Taiwan equity mutual funds select the stocks with larger benchmarks.
2. Only parts of mutual funds exhibit some selectivity ability.
3. We compare the performance of every funds, open-end funds is somewhat better than the close-end funds, but the difference is not significant, the performance of mutual funds is better than that of retirement fund.
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