An Analysis of the Influential Facts of Mutual Fund Performance - The Domestic Equity Fund in Taiwan
碩士 === 國立臺灣大學 === 國際企業學研究所 === 104 === This paper examines the impact of mutual fund indexes and characteristics in different periods on fund performance. A total of 125 domestic equity mutual funds from April 2011 to March 2016 (panel data) in accordance with selected time period and variables were...
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| Format: | Others |
| Language: | zh-TW |
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2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/89jdj4 |
| Summary: | 碩士 === 國立臺灣大學 === 國際企業學研究所 === 104 === This paper examines the impact of mutual fund indexes and characteristics in different periods on fund performance. A total of 125 domestic equity mutual funds from April 2011 to March 2016 (panel data) in accordance with selected time period and variables were used as research subjects. The empirical evidence from logistic regression indicates that: (1) Performance is less likely to outperform market benchmark if there are multiple fund managers in a certain period; (2) There is no effect on outperforming market benchmark if the fund is awarded in the previous period; (3) A fund is less likely to beat the market if its fund managers have greater seniority or job-hopping experiences; (4) A fund is more likely to beat the market if its managers have Economics-related degrees; (5) With higher Jensen Index in the previous period, a fund is less likely to defeat the market, the opposite would be the case for information ratio; (6) With higher Beta in the current period, a fund is less likely to surpass the benchmark.
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