Reference: | 中文部份 王俊華,台灣地區共同基金績效評估與研究,國立中山大學企業管理研究所碩士論文,民國78 年7 月 尹衍樑,國內共同基金之研究,台北:台灣經濟研究叢書38,民國80年1月 朱亞琳,共同基金績效評估之研究,私立輔仁大學管理學研究所碩士論文,民國77 年7 月。 林炯垚,“法人機構投資者對證券市場結構的影響" 證券管理,台北:證管會,民國77 年2 月、3 月, pp.15-19 、33-38 林煜宗,現代投資學--制度、理論與實證,修訂四版,作者自印,民國77 年 李存修,”評估國內外共同基金之選股與擇時能力以及國際風險分散效果衡量" 台灣經濟金融月刊, 25 卷,十期,七十八年十月,頁26-40 陳文燦,“ 共同基金( 受益憑證)之發展及其投資績效之評估" 產業金融,五十五期,七十六年六月,頁25 - 40 陳春山,證券投資信託契約論,台北: 五南書局,民國76 年12 月 英文部份 Bauer, R.J.,P .A. Hays & D.E. Upton, "Parameter Instability in Mutual Fund Portfolios: A Shifting Regimes Test," Quarterly Journal of Business & Economics ,Vo1.26, Winter 1987, pp.50-62 . Bogle, J.C., "Mutual Fund Performance Evaluation" ,Financial Analysts Journal ,Nov. -Dec. 1970, pp.25-33,124. Brightman, J.S. & B.L. Hanslanger, "Past Investment performance Seductive but Deceptive" ,Journal of protfolio management , Vo1.6, No.4, Winter 1980, pp.43-45. Brown, K.C. & G.D. Brown, " Does the Composition of the Market Portfolio Really Matter?" ,Journal of Portfolio Management , Vol. 13 ., Winter 1987, pp.26-32. Carlson, R.S., "Aggregate Performance of Mutual Funds, 1948-1967" ,Journal of Financial and Quantitative Analysis ,Vo1.5, No.1, March 1970, pp.1-31. Chang, E.C. & W.G. Lewellen, " An Arbitrage Pricing Approach to Evaluating Mutual Fund Performance" , Journal of Financial Research ,Spring 1985, pp .15-30. Chang, E.C. & W.G. Lewellen, "Market Timing and Mutual Fund In vestment Performance" ,Journal of Business ,Vo1.57, No.1, Part I, 1984, pp .57-72. Chen, C.R. & S. Stockum, "Selectivity, Market Timing, and Random Beta Behavior of Mutual Funds: A Generalized Model" ,Journal of Financial Research ,Spring 1986, pp.87-96. Connor, G. & R.A. Korajczyk, "Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis" , Journal of Finacial Economics ,March 1986, pp.373-394. Fama, E.F., Foundation of Finance ,New York, Basic Books, Inc. , Publishers,1976. Fama, E.F., "Components of Investment Performance" , Journal of Finance ,Vo1.27, No .3, June 1972, pp.551 -567. Ferri, M.G.,H .D. Oberhelman & R.L. Roenfeldt, "Market Timing and Mutual Fund Portfolio Composition " ,Journal of Financial Research ,Summer 1984, pp.143 -150. Freund, W .C., "The Historical Role of the Individual Investor in the Corporrate Equity Market" ,Journal of Contemporary Business , Winter 1974, pp.1-12. Friend, I.,M. Blume & J.Crockett, Mutual Funds and other Institutional Investors ,A Twentieth Century Fund Study , New York N.Y. : McGraw-hill, 1970. Friend, I . & D. Vickers, "Portfolio Selection and Investment Performance" ,Journal of Finance ,Vo1.20, No.3, Sep.1965, pp.395-403. Friend, I. & M. Blime, "Measurement of Portfolio Performance Under Uncertainty" ,American Economics Review ,Sep.1970, pp . 561-575 . Fuller, R. & J.Farrel,Modern Investment and Security Analysis , McGraw-Hill ,1987. Henriksson, R.D. & R.C. Merton, "On Market Timing and Investment Performance II . Statistical Procedures for Evaluating Forecasting Skills" ,Journal of Business, Vo1.54, No.4, 1981, pp.513-533. Henriksson, R.D., "Market Timing and Mutural Fund Performance: An Empirical Investigation" ,Journal of Business ,January 1984, pp . 73 -96. Ippolito, R.A., "Efficiency with Costly Information: A Study of Mutual Fund Performance,1965-1984" ,Quarterly Journal of Economics ,Vol.104, Feb.1989, pp.1-23. Kim, T., "An Assessment of the Performance of Mutual Fund Management: 1969 -1975" ,Journal of Financial and Quantitative Analysis ,Vol.13, No.3, Sep.1978, pp.385-406. Lee, C.F. & S. Rahman, "Market Timing, Selectivity, and Mutual Fund Performance: An Empirical Investigation" ,Journal of Business, Vo1.63, Apr.1990, pp.261 -278. Lehmann, B.N. & D.M. Modest, "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons " ,Journal of Finace ,June 1987, pp.233-265. Mains, N.E., "Risk ,the Pricing of Capital Assets, and Evaluation of Investment Portfolios: Comment" ,Journal OF Business ,Vo1.50, No.3, July 1977, pp .371-384. Madden, G.P.,K .P. Nunn & A. Wiemann, "Mutual Fund Performance and Market Capitalization" ,Financial Analysts Journal ,Vol.42, Jul.-Aug. 1986, pp.67-70. Markowitz, H.M., "Portfolio Selection," ,Journal of Finance ,March 1952, pp.77-91. Martin,J .D., A.J. Keown & J.L. Farrel, "Do Fund Objectives Affect Di-versification Policies?" ,Journal of Portfolio Management , Winter 1982, pp .19-28 . Mcdonald, J.G., "Objectives and Performance of Mutual Funds, 1960-1969" ,Journal of Financial and Quantitative Analysis ,Vo1 .9, No.2, June 1974, pp.311 -333. Miller, T .W. & N. Gressis, "Nonstationarity and Evaluation of Mutual Fund Performance" ,Journal of Financial and Quantitative Analysis ,Sep.1980, pp.639-654. Moses, E .A.,J .M. Cheyny & E.T. Veit, " A New and More Complete Performance Measure" ,Journal of Portfolio Management ,Vol. 13, No.2, Summer 1987, pp.24-33. Radcliffe, R.C., Investment: Concepts, Analysis, and Strategy ,3rd. ed., Glenview Ill.: Scott Foresman, 1989 . West, R.R.," Institutional Trading and the Changing Stock Market" ,Financial Analysts. Robson, G.N., "The Investment Performance of Unit Trusts and Mutual Fund in Australia for the Period 1969 to 1978" , Accounting & Finance (Australia) ,Vol.26, Nov.1986, pp .55-79 . Rugg, D.D., "Using Risk-Adjusted Performance to Select Top Mutual Funds" ,Journal of Financial Planning ,Vol.4, Oct. 1991, pp. 164-168. Sharpe, W., "Mutural Fund Performanc" ,Journal of Business ,Vo1.39, No.1, Part II, Jan.1966, pp.119-138 . Shawky, H.A ., "An Update on Mutual Funds: Better Grades " , Journal of Portfolio Management ,Vol.8, No.4, Winter 1982,pp.19-34. Smith, K.V. & D.A. Tito, "Risk-Return Measures of Ex Post Portfolio Performance" ,Journal of Financial and Quantitative Analysis Vol.4, Dec.1969, pp.449 -471. Treynor, J.L., " How to Rate Management of Investment Funds" Harvard Business Review ,Vo1.43, Jan.-Feb. 1965, pp.63-75. Treynor, J.L. & K.K. Mazuy, "Can Mutual Funds Outguess the Market? " Harvard Business Review ,Vo1.44,July-Aug . 1966,pp. 131-136. Veit, E.T. & J.M. Cheney, "Are Mutual Funds Market Timers ?" , Journal of Portfolio Management ,Vo1.8, No.4, Winter 1982, pp.38. Williamson,J .P., "Measurement and Forecasting of Mutual Fund Performance: Choosing An Investment Strategy" , Financial Analysts Journal ,Vo1.28, No.6, Nov.-Dec. 1972, PP.78-84. |