Evaluating Mutual Fund Performance with Active Peer Benchmarks: Empirical Evidence from Taiwan
| Autor: | Chao-Cheng Wang, 王朝正 |
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| Rok vydání: | 2015 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 103 This thesis uses data on domestic mutual fund in Taiwan over 1990-2014, including different funds with general, technical, small-business, OCT, and Chinese types. Applying approach by Hunter et al. (2014), this thesis uses Active Peer Benchmarks (APB) to supplement the traditional factor model in evaluating the fund performance. Empirical evidences indicate that all types of find performance are significantly negative at risk-adjusted returns over 1990-2014. Moreover, APB also explains significantly negative at risk-adjusted return for all types of funds. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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