Performance of Taiwanese Domestic Equity Funds during Quantitative Easing

• 발행기관: 한국유통과학회
• 저자명: Ö mer Faruk Tan
• 간행물 정보: 『KODISA ICBE (International Conference on Business and Economics)』2016 International Conference on Business and Economics (ICBE 2016), 391~393쪽, 전체 3쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2016.06.30

영문 초록

This study is the first analysis on the performance of Taiwanese domestic equity funds during the period of January, 2009 and October, 2014. For the period, quantitative redirected capital flowed toward developing economies and the Taiwanese Stock Exchange Weighted Index compounded at approximately12.9% annually. Adopting methods endorsed by earlier research, we evaluated 15 Taiwanese equity funds' performance relative to market averages using the Sharpe (1966) and Treynor (1965) ratios and Jensen's alpha method (1968). In testing market timing proficiency, we applied Treynor & Mazuy (1966) and Henriksson & Merton (1981) regression analysis methods. Jensen's alpha method (1968) was used to measure fund managers' stock selection skills. The results of this study show that funds under-performed Taiwan's average annual market return significantly and demonstrates no exceptional stock-selection skills and market timing proficiency during the era of quantitative easing.

목차

Abstract

1. Introduction

2. Methodology

3. Data

4. Conclusion

References

키워드

Performance Evaluation Quantitative Easing Equity funds Sharpe Ratio Jensen's alpha