ISSN 1023-2842! 2005 9 i!.667-694 hi µ ï «The Performance Measures for Muual Funds: A Simulaion Aroach Ç Lanfeng Kao* x Naional Universiy of Kaohsiung Anlin Chen Hui-Wen Tang é Meilan Tsao x Naional Sun Ya-Sen Universiy î {} ÉÃi ƒshare measure, Treynor measure, Jensen s αf araisal raio Ù ³ ¹ Ƀ ëãæ¾ il e¼¾ {} É Ù Ãu µ æ» {} ÉÃñ j Ãå Ù Share Treynor Araisal }¹ Š ÉÃñ j Ù Éà Jensen s α u à n{} Éà ~ Éà Îl Carhar q~ α u Ã É Ä } Ý ølf µ à ~ à i µƒ ôã z 667
{} Ée¼¾ v Š Éà qrå Éf ós jå É ƒ Å ~¹q {} És {} Ée¼ Fama-French Absrac The lieraure abou measuremen of orfolio erformance is exclusive bu conroversial. This aer emloys a simulaion aroach o evaluae fund erformance of randomly consruced orfolios and sylized orfolios. We find ha wihou marke-iming consideraion Jensen s α measures fund erformance recisely. On he oher hand, under marke-iming consideraion, α under Carhar model does a beer job in measuring fund erformance. Furhermore, marke-iming abiliy is yically under-esimaed. Keywords: Muual fund; Performance measure; Simulaion; Fama-French model; Momenum æ ê wã(inroducion) ƒ }Ãi Ö ƒöá É Ã Ù ƒ Share measure, Treynor measure, Jensen s α f araisal raio Ù Ã ~¹ (CAPM) CAPM q á ä äµ v Roll (1978) l s (securiiy marke line) á à ÛÃ(ambiguous) Dybvig and Ross (1985)ã Ùn É olœv µ à n s iµ iãol n Í (efficien fronier)dµ Í rã } Ã Û CAPM v }à CAPMñÃlîÚ á BealrÃe µ(firm characerisics) ¹ à à Banz (1981) n»(size effec) Rosenberg, Reid and Lansein (1985) n ós j»(book-o-marke effec) Ö ƒ Fama and French (1993)à ~ 1 Jegadeesh and Timan (1993) 1 Fama-French } ËØq } (marke facor) ä } (size relaed facor)e òq iä } (book-o-marke relaed facor) h668h
Chan, Jegadeesh and Lakonishok (1996) n(momenum) õ æ Ùn Bea me å i ªÃl CAPM á } l ŠÛ à ~á ôolöü¹ã» ós j»µ» }n ôúœ }(arbirage orfolio) ñ á lƒuã ~ ~ É Ê Bea ~ (non-bea facors) l u Š É Share measure, Treynor measure, Jensen s α f araisal raio äáé l {} É Lee and Jen (1978)f Mills (1970) Kohari and Warner (2001) v Ù {} É Ãu µ vã{} ÉÙ ¹ É Ãæ¾ n å wæã Ü Ù o Ã É q Ù o Ù m µ È ~à } v Fama and French (1993)à ~ ѵÛx ¹ ~ Ãq~ Ñ Loughran and Rier (2000)µÙ n ~ у CAPM á ~ ÑÎÛ Ã Á Û á ~ q~ ãµ ~ Û Ã Ñ e à ~ ~ ٠à µiñ ô Œð ~ Ù Ãu µ iœv e¼i în {à }f Ñ { } É }Ã É œƒ Ã È»Ü Ù } É ƒ Ã È Ë Û Ã É Ù Ñ ÉÎ ƒ û٠¾ n ƒ Ã Û ô ÃÙ iƒ ¹ f É ÃÙ lu ë¹ r~ Ù i dd æ ê fwãd~ å i dá î q d ¹»fe¼{¹ d Ö e dái h669h
{} Ée¼¾ v å i (Relaed lieraure) v à i¾ìl CAPM á Û æ Ùn ós jf» ƒö à l» ó s j»» å i nl ¹ ¹ ä åž(size effec)!!fama and French (1993)Ùn CAPM à ñ l l Å Ã~ ƒ s ~ (marke facor) ~ (size relaed facor)f ós j~ (book-o-marke relaed facor) ƒ n»(size effec)ãû Banz (1981) Reinganum (1981) mô }ñ Ö (risk-adjused reurn) ¹ }ñ Ö Malkiel and Xu (1997) áz Ãj Bea Ûô Ãñ ~ d Ú (1992) s Ž«(1995) á» ~ Chan and Chen (1991)~ æ Ùn»ÛeÕ~ (disressed-firm facor)g ~Šû y å ÃÕÛ ÃÉnñ ~ Ãñ Ù Bea œƒ nù~d òq i ¹ ä åž(book-o-marke effec) Rosenberg, Reid and Lansein (1985) ós j (book-o-marke sraegy) ~s ós jãå n ós jãå Ã á ª Fama and French (1992)Ùn ós jíþ Ã Ì {ªm» Fan and Peerson (1995) Ùn ós j Å ƒ Ãu} êv (1994)» (1994) áq Å s ~ ós j h670h
¹ ä åž(momenum effec) Jegadeesh and Timan (1993)Ùn ~ 3 12 ôiã d o È ÃÅ j oè ÃÅ ƒ s Û Å d ƒ (momenum) Chan, Jegadeesh and Lakonishok (1996) ál Å å Ãi Å }à fûö à mô}å à (rice momenum) «å (earning momenum) Ùn (momenum sraegy)ãq Ù 3 12 ôi Fama-French ~ Ñ ¾ Œd~ Å Ã å i å l(2002)~ ~¹q s æ î(mehodology design) æ Ãð ~¹Ã{} ÉÙ l³{} É Ãæ {٠რ} Ö{ l {} ÉÃ È ivq ô Õn v Ãi ~ Ã É } à ~ ÉÙ ÛŽ u à Ãà wíµ ˆÃ~ Ù ÛŽ DBQN ÃÙ ƒ Tibsqf Ù Usfzos Ù Kfofo!α f Bqqsbjbm!sbuj Û ü Ã{} ÉÙ {! Fama-French ~ f(fama-french model and Momenum) ô CAPM à r l Fama and French à ~ Ñá à ~ {} És ~ } ~ f ós j~ i à Jensen s α l õu Fama-French ~ Ñ {} É Fama-French α à i R = α + β ( R ) + s SMB + h HML + ε 2 m, (1) R m ás }R á ñ SMB á ~ HML á ós j~ s f h ÎeŒá SMB f HML h671h
{} Ée¼¾ v Ì α 2 á Fama-French ~ Ñ {} É È Fama-French µ n ~ r Carhar (1997) m Fama-French à ~n ~ Ö ôq~q~ d l É i á Carhar α R = α + β ( R ) + s SMB + h HML + m Momenum + ε 3 m, (2) α 3 Momenum á ~ m Îá ~Ì Îáq~{} É {} É (marke iming) à Ã(orfolio selecion)r à f nã (marke iming)}á É ðî ~ ÉÉ Ã{i v Treynor and Mazuy (1966)f Henriksson and Meron (1981)µ nã i Œ {} É Ã!!Treynor and Mazuy (1966) à ÉÅ á TM R = α ( + ε, (3) 2 1 + β Rm ) + γ 1( Rm ) γ 1 Îá{} É ~ TM ÃÈ γ 1 áu ÎÈx{} É Ã ƒ Ã!!Henriksson and Meron (1981)Ã{} É Ž s } Œ ¹ ñ Ã Þ l Èx l á HM R = α + β ( R ) + γ 2 ( R ) D + ε, (4) m m D áù (indicaor variable µ dummy variable) ë Rm f 0 Î D =1 ŽÎ D =0 γ 2 Îá{} É ~ HM à h672h
ô ás Ê Ã ~ ~ ~ {} Éà ô s r Fama-French ~ f Carhar q~ à Ɋ ~ ~ É R = α + s SMB + h HML + ε 2 2 + β ( Rm ) + γ 1( Rm ) (5) R = α + β ( R ) D + s SMB + h HML + ε 2 ( Rm ) + γ P2 m (6) q~ {} ÉÃÎeŒá R = α + β R 2 3 ( m ) 1( m ) m + γ R Momenum + ε + s SMB + h HML + (7) R = α + β γ ( R ) D ( Rm ) + P2 m m Momenum + ε + s SMB + h HML + (8) ë{} É ƒu à Π1 γ fγ 2 ¹ {} É e¼(simulaion on erformance measures) ôœv Õ œƒè à {} É Ö{Œ v{} ÉÙ Õ n à }(consruced orfolio)ã ólœ ٠à µ(validiy) qr Õ Ñ Ã É l³ãæ Ñ Ã É ƒ Ã È h673h
{} Ée¼¾ v ( ) Õ (Random orfolio consrucion) ~á e d{} Éà Ãl d seál ôlq y¹µ µƒy¹ãå áu Õ u áu 80 1 i u 90 12 i qr d {} ɵ Ãs èá 40-50 iôå ~ ô i µƒå ª 50 iå l s Ãi } á }Ã É v 11 à }n 132 ô ÉiÖ{î É 2 µ 3 à 2 l 2 Œ Éà Πôƒ 109 ô É ô Éá 80 1 iùƒ 81 12 i ô Éá 80 2 iùƒ 82 1 i l 109 ô ÉÎá 89 1 iùƒ 90 12 i l É 3 Ã È á Î 97 ô Éá ô É Ùƒ á 80 1 i 82 12 i ô Éá 80 2 i 83 1 i... 97 ô Éá 88 1 i 90 12 i l µ Ã É v } Ã É œƒèz ôã ƒè Ù Ë Û ô Ã{} ÉÙ qr v¹ á i Õ Ü Õ Ã Éœƒ œƒ Œ È 1 i {} É α fγ v l É Ã α v¹ ~ s(jensen s α ) Fama-French ~(Fama-French α) v Carhar q~ (Carhar α) Ã} } Treynor-Mazuy f Henriksson-Meron µ nã ôle }É ÛŽ ¹ lnewey and Wes (1987) þ { l } }~ Ãð (overla) vã {å 3 ( ) Ñ É (Performance of sylized orfolio) 2 Chou, Lin and Lin (1999) á{} É ÃÉ É Ã ~ i eœl 2 f 3 É l Œ É Ã 3 Newey-Wes {Êî Ö wã iî Ö 1 î Ö 10 h674h
i ô ÃÜ Ñ Ã }ol v û ós j»f» l»á É äl ÑÅá à ~» ƒ à ós j»ù n ós jã á à ƒ à 4 ÎÙn É î oo µ È ÃÅ 5 Ñ Ã É ƒ Ã È ô{ó v Ñ Éà lù à µ Å Éà ÃÅeŒáy¹µ Í 30%sóf Ö 30%sóÃÅós jå Éà ÃÅÎá 30% ós jãå ós ÅÎÛ 30% ós jãå Å Éà ÃÅ {Û 30% à ŠŠÉà ÃÅ Û 30% ÃÅ 6 4 5 6 rãæ î ós jãå ƒ à Û~q Î î ªg}à l᪠(2001)f Chen and Tu (2002) rã滹 iù ~q ÛŽ x dƒö à ví 30% Ö 30%à Πe ós jf ƒ l (arbirary) ª 30%à ÎÃlî ~Û Fama and French (1993) Carhar (1997)f Chen and Tu (2002) æ v Î æ vå}ã ΃ ¹³ å «j h675h
{} Ée¼¾ v È 1: fγ v Panel A: Ã{} ÉÙ sα 1 á Jensen s α Fama-French ~α 2 á Fama-French α Fama-French Momenum q~α 3 á Carhar α Panel B: Ã{} ÉÙ (Treynor-Mazuy ) sα 1 á Jensen s α Fama-French ~α 2 á Fama-French α α á Carhar α Fama-French Momenum q~ 3 Panel C: Ã{} ÉÙ (Henriksson-Meron ) sα 1 á Jensen s α á Fama-French α α á Carhar α Fama-French ~α 2 Fama-French Momenum q~ 3 Panel D: Treynor-Mazuy sγ 1 Fama-French ~γ 1 Fama-French Momenum q~γ 1 Panel E: Henriksson-Meron sγ 2 Fama-French ~γ 2 Fama-French Momenum q~γ 2 s R = α + β ( R ) + f 1 m f ε Fama-French ~ R f = α 2 + β ( Rm f ) + s SMB + hhml + ε Fama-French Momenum q~ R = α + β ( R ) + s SMB + h HML + m Momenum + ε f 3 m f Treynor-Mazuy R f = + m f Henriksson-Meron R f = + γ ( Rm f ) D + ε 2 γ ( R + ε 1 ) 2, h676h
(Daa source and variable definiion) iª 80 90 Þq Ås 3200 s Ûn Ås ýf à Ãæ»g mèµ!! iµ vã nùq Å s ôœå in Å Ù i f ôi Œ äª ¾ h AREMOS þ n Å Ù i f ôi Œ eœás f ñm (roxy)!! m} ï (1) ôle ˆ~rÅ Ãsó(marke value) e sóãî ÛlÅ i² òlß ~rå î i ) j! ME j = ( 1 Åß ~r ) ( 1 Ö y¹i ME j ü se só (2) ós j j ós l -1 î ²ñ ó Å sójá î e BE / ME j = ( 1 î ² Å ñ ó) j / ( 1 ² Å só ) j (10) Å ñ óáåº o ŒÅÅ -1 ÅsóÎá -1 ² ò -1 î ² Åß ~rå (3) Jegadeesh and Timan (1993)ÙnÅs ƒ ~ 3 12 ôiã d s o ÃÅ oè ÃÅ È Ã Carhar j (9) h677h
{} Ée¼¾ v (1997)Îl o Ãá} à iy Carhar (1997) 7 lå Í 12 ôi á Ù PRIOR j ÛáÅ j ~ à î i 12 PRIOR = (1 + ) 1 (11) j R j i i= 1, R Å j à i ôy Fama and French (1993)Ãi }(mimicking orfolio) ~ (SMB) ós j~ (HML)f ~ (Momenum)É y»e¼(emirical resuls) i vã{} ÉÙ ~ v µn ³ ë à ˆ Œv e¼i ¹} Ù ~ É o vãœû CAPM õu Ù Ãu µ ~ Chou, Lin and Lin (1999) µù ÉÃÙƒ É É Ã ôeœ 2 f 3 Ùƒ à 2 3 ûþ~ i 4» 8 É ñ j(reward-risk raio of consruced orfolios) l ª 50 ôåµ }Ã É ñ È l{ Å á Ãj (benchmark)åè ƒ yû Ã È È 2 n } Éf{ Share Treynor f Araisal raio vã ñ j à ٠Panel A á{ É 7 Jegadeesh and Timan (1993)Ùn~à ën Í 1-2 ôiã» þ Chen and Tu (2002)~æ q Åsû áí 1-3 ôiã»d Hameed and Yuano (2002)f Fong, Lean, and Wong (2005)~æ q Åsû v Íà i l d{} ÉÃæ ¹ ~ ÃvÍ Ã á ë û š¹ø, 2003 ~ i y Carhar (1997)à ¾ ªÍ à á ~ à æ vå }à ΃ ¹³ å «j 8 ƒ à Äol} Ä ª 2 û h678h
È Panel B Îá } É ñ j È 2 x{ Share Treynor Araisal raio Fama-French Araisal raio f Carhar Araisal raio s óä¹ ¹ }Ãs ó { s óeœá 0.055, 0.555, -0.026, 0.470 f-0.332 s óá 0.024, 0.316, -0.084, 0.302 f-0.469 s ór ó ¹ ôe ñ j µ } Éà { þ ô» xvã ñ j ÃÙ }¹ Š É ÈÛ ~l Share Treynor f Araisal raio É ol É Å f(performance and marke-iming abiliy of consruced orfolios) {} É Ã Å } ðî iµõ Ã É ÅÛ Ã œƒ à u ÃÙ Ùn } Ú Å Û} ÉÃ} Ù ä ( ) Jensen s α (Performance measured by Jensen s α) ñ j à ٠r i Jensen s α Fama-French ~à α óf Carhar q~ã α ó á {} É Ãu µ É Ù È 3 Panel A } É} α Ù Ã ï î ls Ù ¹ ÉÃ È v³ wæã Jensen s α f Carhar α óeœ-5.690 f-3.569 Fama-French α óîá 10.530 Û Jensen s α f Carhar α áè Ã É Îv Fama-French α á Ãwæ ë v~ ñ } Ùµ ó ½ ÃÛ Jensen s α Carhar αf Fama-French α Û Ã Ù ~á Ù Ù } Ƀ ¹ Ã È h679h
{} Ée¼¾ v È 2Éñj ï î l 36 i î Qbofm!B!;!{ ÉÃñj! Mean STD T-value Max 90 75 Med 25 10 Min Share Ù 0.055 0.079 6.881 0.124 0.121 0.105 0.051 0.020-0.004-0.019 Treynor Ù 0.555 0.804 6.799 1.499 1.270 1.021 0.520 0.128-0.073-0.251 Araisal j -0.026 0.070-3.673 0.130 0.045-0.001-0.044-0.070-0.100-0.141 Fama-French Araisal j Carhar Araisal j 0.470 0.243 19.071 0.867 0.711 0.540 0.384 0.363 0.345 0.314-0.332 1.068-3.062 1.322 0.202-0.161-0.303-0.517-0.748-2.193 Qbofm!C!;!l 61 iå }ÉÃñj! Share Ù 0.024 0.071 3.349 0.139 0.114 0.067 0.011-0.003-0.017-0.079 Treynor Ù 0.316 0.932 3.340 1.399 1.247 0.731 0.124-0.074-0.281-0.990 Araisal j -0.084 0.138-5.986 0.084 0.039-0.026-0.081-0.138-0.197-0.307 Fama-French 0.302 Araisal j 0.294 10.107 0.735 0.552 0.385 0.285 0.181 0.123-0.008 Carhar -0.469 Araisal j 1.227-3.764 1.864 0.293-0.061-0.409-0.692-1.331-2.338 ~ HM µ TM à Jensen s αf Fama-French α Èx } É È Carhar αî x És œƒ Œ µ Œþà (HM ó-1.970 TM óá-1.735) Û l É» x ~ qƒ Carhar q~ Ãαó u Ãg n ÉÃ È ( ) (Marke-iming abiliy) È 3 Panel B Ž l CAPM Fama-French ~Carhar q ~{} Éà ô HM f TM s óeœá-31.434, -6.164, -5.907, -29.975, -9.000 f-9.076 Ö¹ à h680h
Û ~ µ~ lá } ɃÖþà û xæ µùnã Œ l Š ÉÉ Ã ( ) Å µe¼(significance analyses of selecion and iming) È 3 ls óã µ Œ } ÉÙ Ã vµ ô Ã} óª óö o 1.96 { x ô -1.96 û e» -1.96 ƒ 5%l áuó Èx ô É Ù Šµ ŠÃ Ê Ù È 3É ï î l 36 i î Qbofm!B!;!v!µ! Mean STD T-value Max 90 75 Med 25 10 Min Jensen s -0.277 0.479-5.690 0.356 0.117-0.095-0.273-0.457-0.687-1.119 Fama-French 0.567 0.530 10.530 1.553 0.894 0.732 0.503 0.335 0.242-0.032 Carhar -0.954 2.633-3.569 4.042 0.553-0.103-0.780-1.443-2.864-5.424 HM Jensen s HM Fama-French HM Carhar TM Jensen s TM Fama-French TM Carhar 1.382 0.735 18.510 2.586 1.980 1.629 1.388 1.131 0.682 0.628 0.888 0.571 15.320 1.696 1.340 1.040 0.907 0.690 0.426 0.075-0.501 2.505-1.970 3.907 1.015 0.101-0.370-1.081-2.128-5.049 0.768 0.737 10.270 2.128 1.235 1.088 0.664 0.408 0.185 0.007 0.804 0.524 15.115 1.743 1.168 0.936 0.772 0.626 0.426 0.227-0.409 2.322-1.735 4.198 1.048 0.291-0.341-0.912-2.132-3.799 h681h
{} Ée¼¾ v Qbofm!C!;!! Mean STD T-value Max 90 75 Med 25 10 Min CAPM HM Fama-French HM Carhar HM CAPM TM Fama-French TM Carhar TM -0.497 0.156-31.434-0.252-0.376-0.442-0.481-0.542-0.645-0.746-0.111 0.177-6.164 0.116 0.047-0.049-0.111-0.213-0.259-0.336-0.103 0.172-5.907 0.098 0.035-0.035-0.094-0.185-0.237-0.310-0.005 0.002-29.975-0.001-0.004-0.005-0.005-0.006-0.007-0.008-0.003 0.003-9.000 0.005 0.004 0.002-0.001-0.002-0.003-0.004-0.001 0.001-9.076 0.001-0.001-0.002-0.003-0.004-0.006-0.009 Qbofm!D!;!u 91 :1 {} É! Mean STD T-value Max 90 75 Med 25 10 Min Jensen s 0.175 0.487 2.815 1.167 0.724 0.451 0.234-0.039-0.521-1.264 Fama-French -0.267 0.813-2.571 1.678 0.738 0.303-0.203-0.711-1.465-2.343 Carhar -0.600 3.010-1.557 8.608 3.579 0.765-0.747-2.792-3.818-7.432 HM Jensen s HM Fama-French HM Carhar TM Jensen s TM Fama-French TM Carhar 0.261 0.928 2.203 2.216 1.204 0.864 0.469-0.187-0.605-2.651 0.042 1.016 0.324 2.388 1.101 0.598 0.094-0.432-1.117-2.952-0.210 2.755-0.595 7.143 3.482 1.310-0.213-2.284-3.457-6.550 0.273 0.725 2.946 1.645 1.055 0.753 0.345-0.129-0.561-1.879-0.036 0.891-0.315 1.895 1.000 0.527 0.007-0.400-1.042-2.942-0.259 2.807-0.721 8.155 3.469 1.003-0.240-2.137-3.516-6.244 h682h
Qbofm!E!;!u 91 :1 {} É! Mean STD T-value Max 90 75 Med 25 10 Min CAPM HM Fama-French HM Carhar HM CAPM TM Fama-French TM Carhar TM -0.052 0.277-1.461 0.736 0.262 0.096-0.070-0.219-0.338-0.789-0.131 0.240-4.255 0.539 0.224-0.002-0.157-0.280-0.403-0.749-0.126 0.236-4.168 0.548 0.227-0.005-0.145-0.262-0.393-0.734-0.326 0.860-2.960 2.153 0.532 0.127-0.256-0.897-1.262-2.569-0.462 0.734-4.918 1.913 0.393-0.038-0.487-0.991-1.114-2.502-0.450 0.713-4.930 1.880 0.401-0.086-0.465-0.915-1.144-2.462 È 4 Panel A á} Ù -1.96 óãe µƒ } É Jensen s α ¹ gƒ 10%à Fama-French α ¹ Carhar α ΃ g 5%à ûÈx~ É Ã Jensen s α Û ÃÙ Carhar α ÎÎ ol ª Fama-French α Î È 4 Panel A Ùn~ HM à Jensen s α Fama-French α gƒ 25%à ƒ Carhar α ΃g¹ 5%à ~ TM à Jensen s α f Fama-French α gƒ 25%à ƒ Carhar α ÎÛµƒ ~ qƒ Carhar α ÃÙ u à n{} ÉÃ È Jensen s α µ Fama-French α à Éà ٠-1.96 Ãe {¹È 4 Panel B á }à œƒãiá à ٠qƒ Carhar à HM à d¹ 5%-10% m Ãà ä CAPM à HM à ã 75%l }l» ~ Éà Ål à Jensen s h683h
{} Ée¼¾ v α HM à Carhar α f TM à Carhar α Äà á ~ Š ÉÉ Ãiñ Îqƒ Carhar HM Ù Î ol ª ~»î Éà v Carhar HM Æ 4 ÇdºË òd k 36 h ì Æ òà -value - 1.96 uk s Ë } 5%Á i Ái Qbofm!B!;!v!µ! 99% 95 90 75% 50 25 1% Jensen s -0.098-0.572-0.764-1.089-1.427-1.716-1.932 Fama-French 1.941 1.742 0.725-0.084-0.584-1.142-1.892 Carhar 0.693 0.044-0.255-0.913-1.176-1.555-1.951 HM Jensen s HM Fama-French HM Carhar TM Jensen s TM Fama-French TM Carhar 0.954 0.711 0.477 0.317-0.087-0.394-1.117 0.948 0.913 0.714 0.174-0.396-0.769-1.817 0.311-0.253-0.762-0.956-1.347-1.727-1.930 1.348 0.843 0.729 0.314-0.458-1.042-1.951 1.994 1.703 1.113 0.400-0.049-0.522-1.416-0.152-0.206-0.585-1.037-1.541-1.726-1.946 h684h
Qbofm!C!;!! CAPM HM Fama-French HM Carhar HM CAPM TM Fama-French TM Carhar TM 99% 95 90 75% 50 25 1% 2.351 2.136 1.701 1.343 1.034 0.744-0.610 0.415 0.370 0.090-0.348-0.980-1.495-1.949 0.227 0.173-0.008-0.479-1.118-1.632-1.906 5.503 4.205 4.050 3.396 2.867 2.355-0.279 2.375 1.414 1.017 0.390-0.190-0.934-1.878 2.105 1.097 0.826 0.138-0.397-1.069-1.920»É ol v Jensen s α {} É (Performance of acual muual funds) ôœvu 80 90 µƒ~q ˆ {} É i d{} É È»{¹È 3 Panel C á{} É È Panel D á{} É È 3 Panel C Ùn ël Jensen s α á{} É d{} Ƀ 0.175%à l Fama-French ~ á d{} É~æ ƒ-0.267%ã Û ~Ù } ƒ }à e¼ ôã ~ à Jensen s α Ž n{} ÉÃu~ ô á d{} É~u 80 90 È ƒ u 80 90 d{} Éà Š È 3 Panel D ¹ Ù n Ûùá~ Þ d{} ÉÃ È Ã» x Carhar ~ HM à áu ~ ô á d{} Éà e¼ùn~ à Carhar α g n{} É uvè 3 Panel C Carhar α x d h685h
{} Ée¼¾ v É œƒ È } ï d{} Ƀ ~ È ¹ } {} ÉÃ È Û d{} Év¹ œƒ q Ñ É È (Performance of sylized orfolios) Œv }Ãi ÉÙ Ãu µr ô Œv Ãà ~ Ñ Éà v¹ Ñ ÉÃ Ñ á à Œv Ñ Éol } Ù Ž n ÃÃ Ñ Ñ Ã ÉÎnÙ (size) ós j (Book-o-Marke)f (momenum)ñ É È eœ ¹ ( ) É (Performance of size sylized orfolios) iœv û(size-effec) n }É ÉfÉ Daniel and Timan (1997, 1998)Ùn Å Ã ~ ~ Ö j Å Ãu à ÉÙ Ùn Å É ƒ Ã È Å ÉÎåg È 5 á } Å É~} Ù Ã È ~ Jensen s α f Fama-French α u Ùn ŠɃ Ãu ( óeœá 24.437 f 12.316) ~õ Jensen s α f Fama-French α Ùn Å É Carhar α ÎÙ ( óá-1.332)å Éû x Jensen s α ~ É } Fama-French α u ~ x ŠɃu ô~ } Éà Ž Fama-French α û qr È 5 Panel B µƒù áîó { ¹ ŠÃ È 5 Å ÉÃ È 5 Ùn~ Jensen s α f Carhar α Ùn Å ÉÈ ( óe Œá-32.580 f-5.455) ~ à Îqƒ Carhar α x ŠɃ Ã È Panel B Ùn Éà Š }È 5 û ô } ɵ û {Ñ É ÃiÙ ~ É l Jensen s α ál ~õ Îl Carhar α á h686h
( ) ós j É (Performance of book-o-marke sylized orfolios) ós j» Û Å Ãðî~ Rosenberg, Reid and Lansein (1985) á ós j ÃÅ ƒ Ã Û Carhar (1997)Î ~{} É ós jã Ƀ ÃdÃæ Ùn ós jãå ilq Å s á É } µl ós jå É ƒ È 6 á ós jf ós jå É Panel A x ÛŽ qƒ Jensen s α f Fama-French α x ós j É }ƒ à ( óeœá 10.395 f 9.340) ós jå Éà ~ à Carhar α Panel B ÎÙn ós jå Éà Û~á ŠÃ Ú Æ 5 Ä í ì k 36 h ì Panel A : u Jensen s Fama-French Carhar HM Mean STD T-value Max 90 75 Med 25 10 Min 0.826 0.333 24.437 1.436 1.096 0.985 0.791 0.711 0.579 0.507-1.539 0.465-32.580-0.974-1.146-1.345-1.522-1.716-1.864-2.227 0.624 0.499 12.316 1.728 0.848 0.718 0.602 0.425 0.292 0.224 0.515 0.372 13.627 1.068 0.813 0.645 0.470 0.371 0.241 0.171-0.551 1.845-2.942 2.984 0.929-0.172-0.630-1.081-1.875-2.960-1.267 2.288-5.455 2.091-0.287-0.587-1.216-1.676-2.786-5.417 0.974 0.384 24.950 1.467 1.344 1.119 0.960 0.836 0.628 0.516 Jensen s 1.727 1.312 12.965 3.104 2.920 2.327 1.652 1.186 0.811-0.394 HM 0.900 0.522 16.970 1.781 1.444 1.020 0.847 0.690 0.575 0.324 Fama-French 0.915 0.440 20.465 1.309 1.271 1.105 0.931 0.761 0.422 0.350 HM -0.243 1.797-1.332 3.005 1.203 0.180-0.402-0.684-1.612-2.289 Carhar -0.719 2.209-3.206 2.044 0.775 0.074-0.462-1.190-2.247-4.868 TM 0.972 0.346 27.666 1.503 1.223 1.123 0.963 0.817 0.687 0.567 Jensen s 0.462 1.262 3.605 1.967 1.669 0.935 0.379-0.168-0.517-0.826 TM 0.855 0.565 14.902 1.944 1.131 0.969 0.845 0.679 0.484 0.355 Fama-French 0.794 0.394 19.838 1.388 1.174 0.907 0.785 0.677 0.467 0.286-0.111 1.952-0.560 3.167 1.414 0.401-0.262-0.768-1.636-1.956 TM Carhar -0.660 1.946-3.340 2.166 0.704-0.104-0.289-1.211-2.144-3.908 h687h
{} Ée¼¾ v Panel B : Mean STD T-value Max 90 75 Med 25 10 Min CAPM HM -0.046 0.104-4.366 0.078 0.040 0.000-0.035-0.095-0.151-0.200-0.983 0.261-37.026-0.352-0.778-0.900-0.999-1.107-1.132-1.156 Fama-French -0.098 0.088-10.922-0.004-0.045-0.056-0.089-0.128-0.170-0.275 HM -0.154 0.172-8.827 0.048 0.016-0.083-0.166-0.236-0.292-0.325 Carhar HM -0.085 0.084-9.950-0.003-0.029-0.050-0.055-0.120-0.165-0.257-0.129 0.148-8.579 0.053 0.005-0.073-0.129-0.204-0.271-0.294 CAPM TM 0.000 0.000-7.215 0.002 0.001-0.002-0.005-0.006-0.009-0.010-0.019 0.006-32.984-0.008-0.016-0.016-0.017-0.019-0.027-0.027-0.003 0.002-14.447-0.001-0.001-0.002-0.003-0.004-0.005-0.006 Fama-French TM -0.007 0.005-14.508-0.001-0.002-0.002-0.005-0.006-0.007-0.007 Carhar TM -0.006 0.004-13.319-0.001-0.001-0.001-0.003-0.004-0.005-0.006-0.003 0.002-14.993-0.001-0.002-0.002-0.004-0.005-0.006-0.007 *à Ä í ì Æ 6 Š òq i òq i í ì k 36 h ì Panel A : u Jensen s Mean STD T-value Max 90 75 Med 25 10 Min 0.476 0.451 10.395 1.095 0.826 0.646 0.642 0.328 0.056-0.141 Fama-French -0.966 0.501-18.994-0.240-0.581-0.843-0.963-1.174-1.348-1.493 0.552 0.582 9.340 1.659 0.925 0.726 0.500 0.344 0.209-0.294 Carhar 0.992 0.461 21.175 1.814 1.370 1.148 0.942 0.802 0.677 0.455-0.861 2.628-3.227 1.578 0.899 0.015-0.558-1.603-2.991-6.027-0.858 2.041-4.141 2.412 0.401-0.315-0.872-1.653-2.309-3.984 Jensen s 2.433 0.821 29.196 3.270 3.106 2.886 2.415 1.965 1.845 1.613 0.974 0.761 12.599 1.861 1.591 1.271 0.979 0.681 0.442-0.499 HM HM 0.961 0.617 15.342 1.816 1.525 1.197 1.004 0.647 0.403 0.253 Fama-French 1.435 0.483 29.250 2.000 1.891 1.637 1.394 1.249 1.080 0.751 HM -0.284 2.504-1.117 1.751 1.437 0.730-0.151-0.676-2.046-5.016 Carhar -0.293 1.886-1.530 2.318 0.788 0.450-0.144-0.675-1.879-3.104 TM 1.815 0.784 22.803 2.923 2.407 2.290 1.819 1.295 1.234 1.096 Jensen s 0.133 0.702 1.866 1.005 0.797 0.382 0.107-0.190-0.353-0.722 TM 0.866 0.531 16.071 1.864 1.275 1.019 0.818 0.689 0.454 0.199 Fama-French 1.281 0.507 24.903 1.965 1.741 1.492 1.258 1.039 0.899 0.852 TM -0.121 2.094-0.569 1.588 1.146 0.735 0.162-0.611-1.930-3.760 Carhar -0.213 1.902-1.103 2.461 1.071 0.419-0.061-0.788-1.956-2.567 h688h
Panel B : Mean STD T-value Max 90 75 Med 25 10 Min CAPM HM Fama-French HM Carhar HM CAPM TM Fama-French TM -0.587 0.190-30.401-0.265-0.459-0.497-0.601-0.690-0.743-0.782-0.583 0.186-30.850-0.205-0.449-0.524-0.607-0.655-0.731-0.747-0.155 0.209-7.314 0.052 0.031-0.056-0.136-0.253-0.333-0.433-0.162 0.155-10.319 0.025-0.050-0.112-0.156-0.236-0.271-0.399-0.139 0.193-7.104 0.054 0.001-0.040-0.134-0.222-0.315-0.421-0.145 0.141-10.142 0.030-0.031-0.099-0.155-0.208-0.239-0.239-0.009 0.003-31.454-0.010-0.012-0.013-0.013-0.018-0.018-0.021-0.007 0.002-36.450-0.007-0.008-0.009-0.012-0.013-0.014-0.015-0.001 0.001-11.796 0.000-0.001-0.003-0.004-0.005-0.006-0.014-0.007 0.005-14.504 0.000-0.001-0.004-0.006-0.007-0.011-0.012 Carhar TM -0.003 0.002-12.342 0.000-0.001-0.002-0.002-0.005-0.006-0.012-0.008 0.005-14.451 0.000-0.002-0.003-0.004-0.004-0.009-0.012 *à òq iä í ì È 6 á ós jå Éà ~ à Jensen s α f Carhar α Ùn ós jå ÉÈ ( ó á-18.994 f-4.141) Fama-French α Î áè (=21.175) ~ à Jensen s α f Fama-French α Î á ós jå É È Carhar α ÎPanel B Ùn ós jå É Š» ô á ós jå É ƒ ós j Å É þ à Jensen s α fã Carhar α u g n ÉÃ È ô»} Éà ë ( ) É (Performance of momenum sylized orfolios) ÌÙl³ÃÅ ~È d ƒ Ã È q ÅsÛŽ ~ ~ å i (2002)Ùn ~ ~ q Ås Êà ~ È 7 Å ÉÈ 7 {x ~ h689h
{} Ée¼¾ v Jensen s α Ù Å É (=-6.717) Fama-French α Î á Å É (=26.323) ~ Î Jensen s α f Fama-French α á Å ÉÈ Panel B Î x ~ Å ÉÃ þ ~~ gå É(È 7 Panel A µ{x) ~ Ã Å É È ~ Î Jensen s α f Fama-French α á È Carhar α ÎÙ È Panel B ÎÙn Å ÉÃ Æ 7 Š í ì k 36 h ì Panel A : u Mean STD T-value Max 90 75 Med 25 10 Min Jensen s Fama-French -0.449 0.658-6.717 0.579 0.054-0.179-0.512-0.751-0.875-1.051-0.434 0.492-8.684 0.015-0.117-0.227-0.345-0.643-0.893-1.161 1.121 0.419 26.323 1.930 1.452 1.191 1.089 1.000 0.769 0.747-0.575 0.436-12.993-0.030-0.285-0.359-0.545-0.763-0.893-1.317 0.617 3.220 1.887 2.909 2.478 1.752 1.240 0.391-2.708-5.171 Carhar -2.613 2.542-10.123 0.643-0.189-0.189-2.772-2.773-4.316-7.056 HM 1.221 1.000 12.024 2.530 2.315 1.610 1.005 0.769 0.490 0.401 Jensen s 1.527 0.601 25.025 2.263 1.991 1.764 1.515 1.364 1.089 0.515 HM 0.711 0.545 12.855 1.340 1.121 0.980 0.757 0.407 0.259 0.148 Fama-French 0.672 0.551 12.012 1.317 1.119 0.894 0.638 0.439 0.208-0.257 0.173 3.421 0.498 2.948 2.197 1.361 0.733-0.210-3.643-5.369 Carhar -1.029 1.933-5.242 1.637 0.151-0.248-1.057-1.603-2.497-4.142 HM TM 0.721 1.175 6.044 2.378 1.912 1.159 0.519 0.168-0.005-0.216 Jensen s 0.693 0.482 14.163 1.223 1.109 0.913 0.669 0.533 0.239 0.064 TM 1.062 0.444 23.554 1.819 1.329 1.159 1.055 0.914 0.735 0.551 Fama-French 0.056 0.423 1.303 0.555 0.346 0.226 0.097-0.117-0.273-0.519 TM Carhar 0.496 3.339 1.463 3.027 2.182 1.653 1.145 0.223-2.941-5.190-1.163 1.606-7.130 0.285 0.240-0.396-1.124-1.752-2.434-3.325 h690h
Panel B : Mean STD T-value Max 90 75 Med 25 10 Min CAPM HM -0.500 0.131-37.662-0.287-0.407-0.460-0.523-0.558-0.591-0.624-0.585 0.171-33.741-0.227-0.443-0.545-0.549-0.653-0.698-0.751 Fama-French 0.138 0.185 7.366 0.318 0.285 0.244 0.135 0.053 0.053-0.077 HM -0.448 0.193-22.903-0.200-0.286-0.371-0.447-0.547-0.574-0.656 Carhar HM 0.135 0.189 7.029 0.338 0.286 0.229 0.136 0.040-0.031-0.089-0.422 0.184-22.603-0.174-0.261-0.352-0.436-0.527-0.556-0.629 CAPM TM -0.012 0.004-29.368-0.005-0.008-0.008-0.013-0.015-0.017-0.022-0.012 0.003-38.828-0.005-0.007-0.010-0.010-0.012-0.015-0.017 Fama-French 0.002 0.006 3.558 0.003 0.002 0.001 0.000-0.001-0.003-0.006 TM -0.009 0.005-18.429-0.002-0.010-0.010-0.015-0.015-0.016-0.017 Carhar TM 0.004 0.013 3.066 0.004 0.001 0.000 0.000-0.002-0.004-0.004-0.015 0.008-18.373-0.002-0.005-0.010-0.011-0.012-0.015-0.017 + á Å ï î! {Íû á à Jensen s α f à Carhar α u g n Éà v ôù Œ È 7 û ô Å Éf Å ÉÃ È Å É Jensen s α = -0.449 Å É Jensen s α = -0.434 (2002) áq Ås Ê ~ à å«(conclusion) {} ɵ h ÃÛ Ã Å vã{} ÉÙ ~ v n ³ wæã vü Ù á È Ã É~q Ù ÃŒ áè à ñ } Ùµ æ Œv } Éf Ñ ÉÃi } vã ÉÙ ÛŽ u à n Éà æ»ùn {} Éà ñ j Ãå Ù Share Treynor f Araisal } Š Éu à ñ j h691h
{} Ée¼¾ v ƒ {} ÉÃÙ ~ Jensen s α u à n{} Éà ~ Éà ÎlCarhar α u Ã É Û Carhar α û Û e qr ÉÃÎ Š ƒã îã Ñ É Ã Jensen s αf à Carhar α u Ã É Ñ É xå Éf ós jå Ƀ ~¹q Åsu 80 90 {} Éël à Jensen s α æ d Ƀ Ã Û xn d{} É Ã Carhar α ÎÙn d{} É ƒ ~ Ã{} É Ù µ ɵvæ û {} ÉÃ È olƒu à ù É µ à Ƀ à ol ¹{ } Éà ƒu Ãol Œ~á É Ã n És û ~ iãæ ƒ ¹{} És à { ý i» 1994 s Ñ Å ój jfe ň Ú üç ø æ î» êv 1994 j ó/s jfe Å -åš¾ v æ µ i š¹ø 2003 {} ÉÙÅd s ý n 15 3 : 1-26 2002 q Å ~ y~ e¼ e¼ 19 3 : 519-542 2001 É d y¹ É Ó», n 9 1 : 1-25 ü 1999 q ~ Å ñe¼ ~ iã 8 213-236 Ú 1992 q Åse Œ y v æ æ µ i s Ž«1995 e Å Å s æ s ý n 7 2 : 1-28 h692h
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