The Application of Skewness-Adjusted t-statistic and VaR Adjusted Jensen Index to the Returns of High-Turnover Mutual Funds in Taiwan
碩士 === 實踐大學 === 企業管理研究所 === 92 === We apply the skewness-adjusted t-statistic and Jensen’s α of VaR to the returns of trading records high-turnover mutual funds in Taiwan. The skewness-adjusted t-statistic is used by Barber and Lyon(1997)and Kothari and Warner(1997) who argue that the long-run ab...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/61978856687776057027 |