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題名 共同基金績效持續性與聰明錢效果之探討
The persistency of mutual fund performance and the smart money effect作者 王品雯
Wang, Pin Wen貢獻者 陳鴻毅
Chen, Hong Yi
王品雯
Wang, Pin Wen關鍵詞 基金持續性
基金績效
基金流量
聰明錢效果
Fund persistency
Fund performance
Fund flow
Smart money effect日期 2017 上傳時間 31-Jul-2017 10:58:11 (UTC+8) 摘要 本研究主要探討共同基金績效持續性是否存在，及績效持續性之效果是否會影響基金流量及未來績效。本研究利用1992至2015年間美國共同基金進行實證研究，結果驗證了基金具有績效持續性。進一步的實證結果顯示，在基金具有贏家績效持續性下，其未來一年內基金流量有顯著成長，然若為輸家績效持續性的基金，僅在未來三個月內基金流量顯著流出。此外，在贏家持續性且基金三個月、六個月及十二個月有正向流量下，投資人在未來三個月、六個月及十二個月皆有顯著超額報酬，此即顯示聰明錢效果存在。因此，本研究建議投資人能在觀察到基金具贏家績效持續性，且流量顯著流入下，增加基金持有，以獲超額報酬。
The main purpose of this study is to investigate whether the performance persistency exists among equity mutual funds and if the performance persistency is significantly associated with fund flows and future performance. Using mutual funds in U.S. from 1992 to 2015 as the sample, this study confirms the persistency of mutual fund performance. In addition, this study shows that persistent winner funds can generate more fund inflows one year subsequent to the persistency, while persistent loser funds experience a significant outflows in the following three months. This study further finds that, consistent with the smart money effect, persistent winner funds with significant 3-month, 6-month and 12-month fund inflows can continue outperform the market in the following 3 months, 6 months and 12 months. Therefore, this study suggests investors investing persistent winner funds with significant money inflows to generate higher excess returns.參考文獻 Brown, S. J., & Goetzmann, W. N. (1995). “Performance Persistence,” Journal of Finance, 50(2), 679-698.Carhart, M. M. (1997). “On Persistence in Mutual Fund Performance,” Journal of Finance, 52(1), 57-82.Carlson, R. S. (1970). “Aggregate Performance of Mutual Funds,” Journal of Financial and Quantitative Analysis, 5, 1-32.Chevalier, J., & Ellison, G. (1997). “Risk Taking by Mutual Funds as a Response to Incentives,” Journal of Political Economy, 105(6), 1167-1200.Goetzmann, W. N., & Ibbotson, R. G. (1994). “Do Winners Repeat?” Journal of Portfolio Management, 20(2), 9-18.Grinblatt, M., & Titman, S. (1992). “The Persistence of Mutual Fund Performance,” Journal of Finance, 47(5), 1977-1984.Gruber, M. J. (1996). “Another Puzzle: The Growth in Actively Managed Mutual Funds,” Journal of Finance, 51(3), 783-810.Hendricks, D., Patel, J., & Zeckhauser, R. (1993). “Hot Hands in Mutual Funds: Short‐run Persistence of Relative Performance, 1974-1988,” Journal of Finance, 48(1), 93-130.Ippolito, R. A. (1992). “Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry,” Journal of Law and Economics, 35(1), 45-70.Jain, P. C., & Wu, J. S. (2000). “Truth in Mutual Fund Advertising: Evidence on Future Performance and Fund Flows,” Journal of Finance, 55(2), 937-958.Jegadeesh, N., & Titman, S. (1993). “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, 48(1), 65-91.Jensen, M. C. (1968). “The Performance of Mutual Funds in the Period 1945-1964,” Journal of Finance, 23(2), 389-416.Keswani, A., & Stolin, D. (2008). “Which Money Is Smart? Mutual Fund Buys and Sells of Individual and Institutional Investors,” Journal of Finance, 63(1), 85-118.Lynch, A. W., & Musto, D. K. (2003). “How Investors Interpret Past Fund Returns,” Journal of Finance, 59(6), 2605-2622.Sapp, T., & Tiwari, A. (2004). “Does Stock Return Momentum Explain the “Smart Money” Effect?” Journal of Finance, 59(6), 2605-2622.Sharpe, W. F. (1966). “Mutual Fund Performance,” Journal of Business, 39(1), 119-138.Shu, P. G., Yeh, Y. H., & Yamada, T. (2002). “The Behavior of Taiwan Mutual Fund Investors-Performance and Fund Flows,” Pacific-Basin Finance Journal, 10(5), 583-600.Sirri, E. R., & Tufano, P. (1993). “Buying and Selling Mutual Funds: Flows, Performance, Fees, and Services,” Working paper, Harvard Business School.Sirri, E. R., & Tufano, P. (1998). “Costly Search and Mutual Fund Flows,” Journal of Finance, 53(5), 1589-1622.Smith, K. V. (1978). “Is Fund Growth Related to Fund Performance?” Journal of Portfolio Management, 4(3), 49-54.Williamson, J. P. (1972). “Measurement and Forecasting of Mutual Fund Performance: Choosing an Investment Strategy,” Financial Analysts Journal, 78-84.Zheng, L. (1999). “Is Money Smart? A Study of Mutual Fund Investors’ Fund Selection Ability,” Journal of Finance, 54(3), 901-933. 描述 碩士
國立政治大學
財務管理研究所
104357033資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104357033 資料類型 thesis dc.contributor.advisor 陳鴻毅 zh_TW dc.contributor.advisor Chen, Hong Yi en_US dc.contributor.author (Authors) 王品雯 zh_TW dc.contributor.author (Authors) Wang, Pin Wen en_US dc.creator (作者) 王品雯 zh_TW dc.creator (作者) Wang, Pin Wen en_US dc.date (日期) 2017 en_US dc.date.accessioned 31-Jul-2017 10:58:11 (UTC+8) - dc.date.available 31-Jul-2017 10:58:11 (UTC+8) - dc.date.issued (上傳時間) 31-Jul-2017 10:58:11 (UTC+8) - dc.identifier (Other Identifiers) G0104357033 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/111451 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 104357033 zh_TW dc.description.abstract (摘要) 本研究主要探討共同基金績效持續性是否存在，及績效持續性之效果是否會影響基金流量及未來績效。本研究利用1992至2015年間美國共同基金進行實證研究，結果驗證了基金具有績效持續性。進一步的實證結果顯示，在基金具有贏家績效持續性下，其未來一年內基金流量有顯著成長，然若為輸家績效持續性的基金，僅在未來三個月內基金流量顯著流出。此外，在贏家持續性且基金三個月、六個月及十二個月有正向流量下，投資人在未來三個月、六個月及十二個月皆有顯著超額報酬，此即顯示聰明錢效果存在。因此，本研究建議投資人能在觀察到基金具贏家績效持續性，且流量顯著流入下，增加基金持有，以獲超額報酬。 zh_TW dc.description.abstract (摘要) The main purpose of this study is to investigate whether the performance persistency exists among equity mutual funds and if the performance persistency is significantly associated with fund flows and future performance. Using mutual funds in U.S. from 1992 to 2015 as the sample, this study confirms the persistency of mutual fund performance. In addition, this study shows that persistent winner funds can generate more fund inflows one year subsequent to the persistency, while persistent loser funds experience a significant outflows in the following three months. This study further finds that, consistent with the smart money effect, persistent winner funds with significant 3-month, 6-month and 12-month fund inflows can continue outperform the market in the following 3 months, 6 months and 12 months. Therefore, this study suggests investors investing persistent winner funds with significant money inflows to generate higher excess returns. en_US dc.description.tableofcontents Chapter 1. Introduction 11.1 Motivation and Purpose 11.2 Structure 2Chapter 2. Literature Review 32.1 Persistency of Mutual Fund Performance 32.2 Prior Fund Performance and Current Fund Flow 62.3 Smart Money Effect on Mutual Fund Performance 82.4 Hypothesis Development 9Chapter 3. Data and Methodology 123.1 Data 123.2 Definitions of Variables 123.3 Summary Statistics 133.4 The Measures of Persistency 143.5 The Relationship between Performance Persistency and Fund Flows 153.6 The Relationship between Fund Flows and Future Fund Performance 16Chapter 4. Empirical Results 184.1 Yearly Returns for Mutual Funds 184.2 Persistency of Mutual Fund Performance 184.3 The Effect of Performance Persistency on Fund Flows 194.4 Smart Money Effect of Fund Persistency 20Chapter 5. Conclusion 245.1 Conclusion 245.2 Suggestions for Further Studies 25References 26 zh_TW dc.format.extent 862941 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104357033 en_US dc.subject (關鍵詞) 基金持續性 zh_TW dc.subject (關鍵詞) 基金績效 zh_TW dc.subject (關鍵詞) 基金流量 zh_TW dc.subject (關鍵詞) 聰明錢效果 zh_TW dc.subject (關鍵詞) Fund persistency en_US dc.subject (關鍵詞) Fund performance en_US dc.subject (關鍵詞) Fund flow en_US dc.subject (關鍵詞) Smart money effect en_US dc.title (題名) 共同基金績效持續性與聰明錢效果之探討 zh_TW dc.title (題名) The persistency of mutual fund performance and the smart money effect en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Brown, S. J., & Goetzmann, W. N. (1995). “Performance Persistence,” Journal of Finance, 50(2), 679-698.Carhart, M. M. (1997). “On Persistence in Mutual Fund Performance,” Journal of Finance, 52(1), 57-82.Carlson, R. S. (1970). “Aggregate Performance of Mutual Funds,” Journal of Financial and Quantitative Analysis, 5, 1-32.Chevalier, J., & Ellison, G. (1997). “Risk Taking by Mutual Funds as a Response to Incentives,” Journal of Political Economy, 105(6), 1167-1200.Goetzmann, W. N., & Ibbotson, R. G. (1994). “Do Winners Repeat?” Journal of Portfolio Management, 20(2), 9-18.Grinblatt, M., & Titman, S. (1992). “The Persistence of Mutual Fund Performance,” Journal of Finance, 47(5), 1977-1984.Gruber, M. J. (1996). “Another Puzzle: The Growth in Actively Managed Mutual Funds,” Journal of Finance, 51(3), 783-810.Hendricks, D., Patel, J., & Zeckhauser, R. (1993). “Hot Hands in Mutual Funds: Short‐run Persistence of Relative Performance, 1974-1988,” Journal of Finance, 48(1), 93-130.Ippolito, R. A. (1992). “Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry,” Journal of Law and Economics, 35(1), 45-70.Jain, P. C., & Wu, J. S. (2000). “Truth in Mutual Fund Advertising: Evidence on Future Performance and Fund Flows,” Journal of Finance, 55(2), 937-958.Jegadeesh, N., & Titman, S. (1993). “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, 48(1), 65-91.Jensen, M. C. (1968). “The Performance of Mutual Funds in the Period 1945-1964,” Journal of Finance, 23(2), 389-416.Keswani, A., & Stolin, D. (2008). “Which Money Is Smart? Mutual Fund Buys and Sells of Individual and Institutional Investors,” Journal of Finance, 63(1), 85-118.Lynch, A. W., & Musto, D. K. (2003). “How Investors Interpret Past Fund Returns,” Journal of Finance, 59(6), 2605-2622.Sapp, T., & Tiwari, A. (2004). “Does Stock Return Momentum Explain the “Smart Money” Effect?” Journal of Finance, 59(6), 2605-2622.Sharpe, W. F. (1966). “Mutual Fund Performance,” Journal of Business, 39(1), 119-138.Shu, P. G., Yeh, Y. H., & Yamada, T. (2002). “The Behavior of Taiwan Mutual Fund Investors-Performance and Fund Flows,” Pacific-Basin Finance Journal, 10(5), 583-600.Sirri, E. R., & Tufano, P. (1993). “Buying and Selling Mutual Funds: Flows, Performance, Fees, and Services,” Working paper, Harvard Business School.Sirri, E. R., & Tufano, P. (1998). “Costly Search and Mutual Fund Flows,” Journal of Finance, 53(5), 1589-1622.Smith, K. V. (1978). “Is Fund Growth Related to Fund Performance?” Journal of Portfolio Management, 4(3), 49-54.Williamson, J. P. (1972). “Measurement and Forecasting of Mutual Fund Performance: Choosing an Investment Strategy,” Financial Analysts Journal, 78-84.Zheng, L. (1999). “Is Money Smart? A Study of Mutual Fund Investors’ Fund Selection Ability,” Journal of Finance, 54(3), 901-933. zh_TW
