Using Mean Reversion to Investigate Mutual Fund Risk Change in Taiwan

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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Main Author: 吳中瑜
Other Authors: 陳信憲
Format: Others
Language:zh-TW
Published: 2012
Online Access:http://ndltd.ncl.edu.tw/handle/35901935983548108395
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spelling ndltd-TW-100NCUE53160732015-10-13T22:12:40Z http://ndltd.ncl.edu.tw/handle/35901935983548108395 Using Mean Reversion to Investigate Mutual Fund Risk Change in Taiwan 以均數復歸探討台灣股票型基金風險變化 吳中瑜 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. 陳信憲 2012 學位論文 ; thesis 63 zh-TW
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language zh-TW
format Others
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description 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.
author2 陳信憲
author_facet 陳信憲
吳中瑜
author 吳中瑜
spellingShingle 吳中瑜
Using Mean Reversion to Investigate Mutual Fund Risk Change in Taiwan
author_sort 吳中瑜
title Using Mean Reversion to Investigate Mutual Fund Risk Change in Taiwan
title_short Using Mean Reversion to Investigate Mutual Fund Risk Change in Taiwan
title_full Using Mean Reversion to Investigate Mutual Fund Risk Change in Taiwan
title_fullStr Using Mean Reversion to Investigate Mutual Fund Risk Change in Taiwan
title_full_unstemmed Using Mean Reversion to Investigate Mutual Fund Risk Change in Taiwan
title_sort using mean reversion to investigate mutual fund risk change in taiwan
publishDate 2012
url http://ndltd.ncl.edu.tw/handle/35901935983548108395
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