Appraising the Taiwan Equity Mutual Funds Performance Incorporating Stock Liquidity Dimension
Date Issued
2009
Date
2009
Author(s)
Lo, Yu-Ting
Abstract
The purpose of this study is to explore from January 1988 to December 2008, the equity mutual funds performance in Taiwan. First, this study measures fund managers’ stock piching ability using CAPM model, Fama-French’s three-factor model, Carhart’s four-factor model, and Fama-French’s three-factor model augmented by the turnover rate. Second, this study takes business cycle into account and estimates if fund managers have good stock picking ability. Finally, scenario analysis is used to investigate fund performance under different factors computing methods, length of mutual fund survival period and sampling period. The empirical results are as follows:、Regard less of business cycle into consideration, CAPM model, Fama-French’s three-factor model and Carhart’s four-factor model show that fund managers do not have stock selection ability. The Fama-French’s three- factor model augmented by the turnover rate gives different result that fund managers do not have good stock selection ability. Besides, fund managers tend to invest in stocks with small capitalization, low book- to-market ratio, and high turnover rate.、The factor computing method, the length of mutual fund survival period, and the length of sampling period will not affect the performance of fund managers.
Subjects
Mutual funds
stock-selection ability
Three-Factor model
Four-factor model
liquidity
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-98-R96724013-1.pdf
Size
23.32 KB
Format
Adobe PDF
Checksum
(MD5):3f1ca8abe7897ee1e0f0244f2fb80b21