Can Mutual Fund “Stars” Really Pick Stocks? Evidence from Taiwan’s Equity Funds Using Bootstrap Analysis
碩士 === 臺灣大學 === 國際企業學研究所 === 98 === This paper uses 192 domestic equity mutual funds as sample to examine if their investment performance comes from “luck” or otherwise. First, we use three models, namely CAPM, Fama and French`s 3-factor model and Carhart`s 4-factor model, to estimate the performanc...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/28278568419507764405 |
| Summary: | 碩士 === 臺灣大學 === 國際企業學研究所 === 98 === This paper uses 192 domestic equity mutual funds as sample to examine if their investment performance comes from “luck” or otherwise. First, we use three models, namely CAPM, Fama and French`s 3-factor model and Carhart`s 4-factor model, to estimate the performance indicator （α） and the residuals of each fund. We then apply a Bootstrap analysis to examine if the investment performance comes from the funds` stock-picking ability or from luck.
We find（1）some of the out-performing funds, estimated by CAPM model , do have good stock-picking ability and most of the funds with poor performance are due to bad luck;（2）the findings are exactly opposite when Carhart 4-factor model or Fama and French model is used.
|
|---|