Performance Analysis of Stock Selection Based on Holdings and Trades of Taiwan Equity Funds

• Main Authors: Huang,Kai-Ju, 黃愷如
• Other Authors: Lee,Tsung-Pei
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/05705989557515501784

碩士 === 輔仁大學 === 金融研究所 === 98 === In recent years, the condition was fluctuational in Taiwan stock market, and it is difficult for investors to enter market in the right time or choose a stock which value was underestimated. In order to get the strategies of investing stocks, investors can have a consultation with specialists, or using the financial statements those companies provided to analyze the situation. Our study using another point of view-from the stockholdings of equity fund to have an analysis of stock value. This thesis using two measures- measure based on levels of holdings and measure based on changes in holdings, with three common mutual funds performance indices-Jensen’s α, Sharpe and Treynor, total six different ranks of stock value. After classifying the data into two groups, examining the difference of absolute return and abnormal return between groups, finally appraise the return of groups which based on different performance indices. Although the outcome is a little bit different from our expectation, through the correction of study, the result can still give investors new ideas of mutual funds and stocks.