Evaluating the Performance of the Non-Controlling Portfolios in Taiwan Stock Market
碩士 === 國立中央大學 === 財務金融學系 === 101 === The purpose of this paper is to access the non-controlling stock performance generated by companies listed on the Taiwan stock market. We view firms' stock tradings as mutual fund investments. Using the same measurement of mutual fund performance, we analyze...
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/69827056909820291635 |
| Summary: | 碩士 === 國立中央大學 === 財務金融學系 === 101 === The purpose of this paper is to access the non-controlling stock performance generated
by companies listed on the Taiwan stock market.
We view firms' stock tradings as mutual fund investments.
Using the same measurement of mutual fund performance,
we analyze stock selectivity and timing ability of firm managers.
First, we select one-factor model propose by Black et al. (1972) to explain the non-controlling stock market.
We analyze selectivity and timing ability of firm managers
by combining one-factor model with the model proposed by Treynor and Mazuy (1966).
Second, we conduct regression tests to better understand factors that result in
various selectivity and timing ability among firms.
On average, there is no evidence of selectivity performance by firm managers.
The result exhibits slightly positive timing performance.
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