本研究的主要目的，在於探討中國大陸的得獎基金之績效持續性是否存在？本研究利用晨星與理柏兩家國際專業評級機構於2004年至2012年所頒發的中國大陸得獎基金為研究樣本（前者的樣本為41檔基金，後者的樣本為53檔基金），資料來源分別為晨星資訊（深圳）有限公司及新浪網。在分別採用累計淨值報酬率、Sharpe指標作為績效衡量指標，並使用Spearman等級相關檢定、績效二分法與迴歸分析，以驗證中國大陸得獎基金在頒發前後不同期間的績效表現是否具有持續性。研究結果發現，前兩種檢定方法皆呈現基金績效在短期（三個月及六個月）具有持續性，而在長期甚至出現績效反轉的現象。而迴歸模型分析的主要發現為，在控制其他變數後，獲得晨星中國基金獎之基金在短期才具持續性，在一年時出現績效反轉。而獲得理柏中國基金奬之基金，在六個月的評估期間就可能出現績效反轉的現象。 / The purpose of this study is to investigate whether the persistence of awarded funds’ performance exist in China. This study employs awarded funds of MorningStar award and Lipper award in China as the sample provided by Morningstar website in China and Sina website. Using accumulated rate of return and Sharpe index as the measurements of awarded funds’ performance and Spearman’s rank correlation coefficient, two-way table constructed by Goetzmann and Ibbotson (1994) and regression analysis as methodologies to analyze this issue in different before-and-after periods, the primary finding of this study is that the former two methodologies show that the performance persistence of awarded funds exist only in three- and six-month periods, and performance reversal appears in the long-run. According to regression analysis, this study suggests that MorningStar awarded funds might have persistent performance in the short-run, but performance reversal after 1-year period. However, Lipper awarded funds do not have persistent performance, but performance reversal after six-month period.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0100921210 |
| Creators | 林麗卿, Lin, Lee Ching |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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