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研究生： 毛茵慧
Mao, Yin-Hui
論文名稱： 探討理柏共同基金評等持續性
A Study on the Persistence of Lipper's Ratings on Mutual Funds
指導教授： 顏盟峯
Yen, Meng-Feng
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2015
畢業學年度： 103
語文別： 英文
論文頁數： 28
中文關鍵詞： 共同基金 、基金評等 、評等持續性
外文關鍵詞： mutual fund, und rating, rating persistence
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    • 本篇論文研究理柏(Lipper)所做出的基金評等，是否具有評等持續性。台灣投信投顧公會提供 2004/12/31~2014/11/30 的理柏月評等資料，資料沒有存活偏誤。本研究使用 Fama-MacBeth 橫斷面迴歸和無母數列聯表(Contingency Table) 的方法，來檢視理柏基金評等的評等持續性，發現長天期的債券型基金評等有評等持續性。

    The primary focus of this study is to check the persistence of Lipper's ratings on mutual funds. Data source is from Taiwan Securities Investment Trust and Consulting Business. Sample period is from 2004/12/31 to 2014/11/30. In the literature, we mainly use two methods to test rating persistence of the same category fund. One is Fama-MacBeth cross- sectional regression, the other is Contingency Table. We find that long-term rating of bond fund have rating persistence.

    1. INTRODUCTION ..........1 1.1 Research Background........1 1.2 Research Motivation and Purpose......1 2. LITERATURES REVIEW .........2 2.1 Lipper Rating System.........6 3. DATAAND METHODOLOGY.......7 3.1 Data description.........8 3.2 Fama-MacBeth Regression........8 3.3 Contingency Table (Nonparametric method)....9 4. EMPIRICAL RESULTS AND ANALYSIS......10 4.1 Data and resources........10 4.2 Fama-MacBeth Regression........10 4.3 Contingency Table.........13 4.3.1 Symbol Description.........13 4.3.2 Empirical Results.........14 5. CONCLUSIONS..........15 5.1 Research Conclusion........15 5.2 Limitation and Recommendation.......16 REFERENCES...........17 TABLES............20

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