Using Mean Reversion to Investigate Mutual Fund Risk Change in Taiwan
碩士 === 國立彰化師範大學 === 商業教育學系 === 100 === The empirical issue is whether a mutual fund’s change in risk is intentional or arises from risk mean reversion. The empirical results showed that, fist, the change of fund risk is mean reversion, but the fund that had intentional risk-adjust is not. Second, th...
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| Format: | Others |
| Language: | zh-TW |
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2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/35901935983548108395 |
| Summary: | 碩士 === 國立彰化師範大學 === 商業教育學系 === 100 === The empirical issue is whether a mutual fund’s change in risk is intentional or arises from risk mean reversion. The empirical results showed that, fist, the change of fund risk is mean reversion, but the fund that had intentional risk-adjust is not. Second, the relation between the change of fund risk and past performance is significantly negative. But the fund that had intentional risk-adjust is not. Third, the relation between fund manager’s risk-adjust behavior and market return is significantly positive.
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