The performance persistence and holding-period of stock mutual funds in Taiwan

• Main Authors: Shu-Fang Hsiao, 蕭淑芳
• Other Authors: Kuang-Ping Ku
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/89173851216408601883

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 95 === Past studies of mutual funds focused on the return of investment and risk, mostly evaluating funds performance by comparative performance. Recent studies turns to evaluate by funds managers’ abilities of security selection and market timing. However, these ways of evaluation are based on analysis of past operation records, and are not reflecting future funds performance trend and holding period. Thus, this research use sampling with no bias to analyze mutual funds comprehensively. First, the research is to discuss whether momentum strategy applies to equity mutual funds in Taiwan. It is then to further understand whether performance persistency exists in Taiwan, and last to empirically analyze whether there is positive correlation between performance persistency and holding time. Besides, this research uses Jegadeesh and Titman(1993) way of examination of momentum strategy to look for the best profitable holding period.The empirical result shows that momentum strategy based on funds prior return could result in an average return, and it also shows that there is a three-year performance persistency. In the momentum strategy, ranking period J=Information ratio (24 month)、holding period K=3 month, average return 0.7106%, is statistically significant. Thus, using Information ratio (24 month) to select funds could result in a better return