How to evaluate mutual fund performance correctly and determine the investment targets of mutual funds are the important issues to investors. In this study, we apply an innovative bootstrap statistical technique, to solve the small sample size problem and the distribution assumption disturbance in previous research.
We examine the performance of domestic open-end mutual funds over the period from 1998 to 2003 using five performance measurement models. We further test the persistence of mutual fund performance. This study shows that¡G
1. On average, mutual fund managers do not own superior ability in stock selection. Most funds experiencing abnormal performance may simply result from good luck, since random selection also creates abnormal performance.
2. Mutual fund managers do not own market-timing ability. Classified further by investment objectives, the sample indicates that only the group of small-scale stocks shows significant market-timing ability.
3. Performance persistence does not exist no matter in long-term or short-term period.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0616105-150559 |
| Date | 16 June 2005 |
| Creators | Yu, Yu-hsin |
| Contributors | Ruey-Dang Chang, Chi-Jeng Wang, Anlin 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-0616105-150559 |
| Rights | campus_withheld, Copyright information available at source archive |
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