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    Please use this identifier to cite or link to this item: http://chur.chu.edu.tw/handle/987654321/35688


    Title: 台灣共同基金短期績效持續性的研究－以「漂移者-停駐者」模型為例
    Authors: 李愷莉
    Li, Kai-Li
    Contributors: 財務管理學系
    Finance
    Keywords: 基金績效持續性;「漂移者—停駐者」模型
    performance persistence in mutual fund;mover-stayer model
    Date: 2006
    Issue Date: 2014-06-27 10:46:15 (UTC+8)
    Abstract: 本研究採用 Blumen，Kogan and McCarthy（1955）的「漂移者—停駐者」模型
    (the mover-stayer model)探討台灣開放式股票型基金績效持續性的動態特性，以改
    善過去文獻所採用的靜態分析模型，以期獲得有關基金績效持續性更詳細的資訊。
    我們利用Frydman（1984）所發展的最大概似法來估計此模型，並以概度比檢定檢
    驗「漂移者—停駐者」模型相較於單純馬可夫鏈模型的資料配適能力。主要的實證
    結果包括（1）基本上我們的實證結果支持基金具有某種程度的績效持續性，只是
    該持
    We employ the mover-stayer model developed by Blumen, Kogan, and McCarthy
    (1955) to study the dynamics of performance persistence of mutual funds in Taiwan. In
    comparison with the static analysis adopted by the literature, this model provides us with
    more
    Appears in Collections:[Department of Finance] Journal Articles

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