Measuring Mutual Fund Strategies and Performance in Dynamic Economic Conditions

• Main Authors: Wang Ming-Chieh, 王銘傑
• Other Authors: 郭維裕
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/53328219411327959187

碩士 === 國立政治大學 === 國際貿易學系 === 90 === 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.