The traditional fund performance-evaluating measures rely on historical returns; however, this return-based performance measures are demonstrated with less precision but more biases than the holding-based measures by many studies. Therefore, the paper uses both return-based measure and holding-based measure by Cohen et al (2005).
The equity fund samples begin from January 2004 to December 2008 with monthly returns and seasonally holdings of equity funds. The purpose of the study is to compare the predicting ability and information-containing ability between the four models: CAPM alpha model, Fama & French alpha model, CAPM holding based alpha model, and Fama & French holding based alpha model. At the end, the study analyzes the stock selection ability of Taiwan equity funds with the model which has the best predicting and information-containing power.
The result shows that the best predicting power models are Fama & French model and CAPM model. Also, the best information-containing models for predicting future returns are Fama & French model and CAPM model. Thus, the study uses both Fama & French model and CAPM model to analyze the stock-picking ability of Taiwan equity funds. And we find that the funds have no stock selecting ability under Fama & French alpha model, but have the contrary results under CAPM alpha model. However, considering the number of the factors and the explanation of the two models, we conclude this paper with Fama & French model which shows Taiwan equity funds having no stock selection ability.
Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0618109-175038 |
Date | 18 June 2009 |
Creators | Lin, Wen-ni |
Contributors | Ming-Chi Chen, David S. Shyu, Miao-Ling Chen |
Publisher | NSYSU |
Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
Language | Cholon |
Detected Language | English |
Type | text |
Format | application/pdf |
Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0618109-175038 |
Rights | not_available, Copyright information available at source archive |
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