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    ASIA unversity > 管理學院 > 財務金融學系 > 博碩士論文 >  Item 310904400/107600


    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/107600


    Title: Fund Style Investment And Systematic Risk
    Authors: Cheng, Yu-Chen
    Contributors: 財務金融學系
    Keywords: Ability of selectivity;,Market risk premium;Style investment;Size premium;Timing ability
    Date: 2017
    Issue Date: 2017-09-15
    Publisher: 亞洲大學
    Abstract: This paper investigates the determinants and systematic risk on the performance of domestic equity funds. Using the public listed equity funds between July 2000 and July 2016 in Taiwan, the empirical results show that the fund net assets, transaction expense, beneficiaries, the amount of repurchase, the cumulative selling turnover as well as monthly buying turnover positively affect the domestic equity fund’s ability of selectivity. In addition, the fund net assets and monthly buying turnover have positive impact on the timing ability of equity funds. The performance of style investment is positively affected by the fund’s net assets. Moreover, the risk-adjusted model presents that both ability of selectivity and the style investment are influenced by the positive impacts of the market risk premium and size premium. In summary, systematic risk, fund net assets and buying turnover are three main factors that affect the performance of domestic equity funds.
    Appears in Collections:[財務金融學系] 博碩士論文

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