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題名 低利率時代股票收益型與成長型基金流量及績效之研究
A Study of Fund Flow and Fund Performance between Equity Income Funds and High Growth Funds under a Low Interest Rate Environment
作者 楊孟倫
Yang, Meng Lun
貢獻者 陳鴻毅
Chen, Hong Yi
楊孟倫
Yang, Meng Lun
關鍵詞 共同基金
利率
高股息基金
成長型基金
Mutual fund
High growth fund
Equity income fund
日期 2017
上傳時間 10-Aug-2017 09:45:38 (UTC+8)
摘要 本研究探討投資者在低利率時代下是否存在追逐股票收益型基金之現象及投資者所投入至股票收益型基金之資金在未來一年中是否能夠擁有較佳之績效。本研究利用美國國內股票型共同基金市場資料進行實證研究，發現股票收益型基金在利率較低時將出現較大之資金淨流入，高成長型基金則在利率越低時，將出現較大之資金淨流出。因此，本研究推論投資者在利率較低時存在追逐股票收益型共同基金之行為。此外，本研究結果亦顯示利率越低時，投資者所投入至股票收益型基金之資金在未來一年將有較高之報酬。總結而言，投資者確實在低利率時代會採行投資於股票收益型基金之策略，且利率越低時能夠從中獲得較高報酬。
The main purpose of this study is to examine whether equity income funds can generate more fund flows from investors during the low interest rate period and whether these equity income funds with more fund flows can obtain better future performance. Empirical results show that, during the low interest rate period, equity income funds enjoy higher fund inflows, while high growth funds suffer from redemption. This indicates that investors tend to pursue equity income funds rather than high growth funds when the interest rate is low. Furthermore, this study finds that equity income funds which attract more fund flows can have better future performance when interest rates are lower.
參考文獻 Baker, M., & Wurgler, J. (2004). A catering theory of dividends. The Journal of Finance, 59(3), 1125-1165.
     Barber, B. M., Odean, T., & Zheng, L. (2005). Out of sight, out of mind: The effects of expenses on mutual fund flows. The Journal of Business, 78(6), 2095-2120.
     Bernanke, B. S., & Blinder, A. S. (1992). The federal funds rate and the channels of monetary transmission. The American Economic Review, 901-921.
     Black, F., & Scholes, M. (1974). The effects of dividend yield and dividend policy on common stock prices and returns. Journal of financial economics, 1(1), 1-22.
     Blume, M. E. (1980). Stock returns and dividend yields: Some more evidence. The Review of Economics and Statistics, 567-577.
     Borio, C., & Disyatat, P. (2010). Unconventional monetary policies: an appraisal. The Manchester School, 78(s1), 53-89.
     Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82.
     Christie, W. G. (1990). Dividend yield and expected returns: The zero-dividend puzzle. Journal of Financial Economics, 28(1-2), 95-125.
     Cook, T., & Hahn, T. (1989). The effect of changes in the federal funds rate target on market interest rates in the 1970s. Journal of Monetary Economics, 24(3), 331-351.
     Damodaran, A. (2010). Applied corporate finance. John Wiley & Sons.
     Elton, E. J., & Gruber, M. J. (1970). Marginal stockholder tax rates and the clientele effect. The Review of Economics and Statistics, 68-74.
     Frazzini, A., & Lamont, O. A. (2008). Dumb money: Mutual fund flows and the cross-section of stock returns. Journal of Financial Economics, 88(2), 299-322.
     Graham, B., & Dodd, D. L. (1934). Security Analysis: Principles and Technique. McGraw-Hill.
     Gruber, M. J. (1996). Another puzzle: The growth in actively managed mutual funds. The Journal of Finance, 51(3), 783-810.
     Guercio, D. D., & Reuter, J. (2014). Mutual fund performance and the incentive to generate alpha. The Journal of Finance, 69(4), 1673-1704.
     Harris, L. E., Hartzmark, S. M., & Solomon, D. H. (2015). Juicing the dividend yield: Mutual funds and the demand for dividends. Journal of Financial Economics, 116(3), 433-451.
     Keim, D. B. (1985). Dividend yields and stock returns: Implications of abnormal January returns. Journal of Financial Economics, 14(3), 473-489.
     Kothari, S. P., & Shanken, J. (1997). Book-to-market, dividend yield, and expected market returns: A time-series analysis. Journal of Financial Economics, 44(2), 169-203.
     Krishnamurthy, A., & Vissing-Jorgensen, A. (2011). The effects of quantitative easing on interest rates: Channels and implications for policy (No. w17555). National Bureau of Economic Research.
     Litzenberger, R. H., & Ramaswamy, K. (1979). The effect of personal taxes and dividends on capital asset prices: Theory and empirical evidence. Journal of financial economics, 7(2), 163-195.
     Miller, M. H., & Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. The Journal of Business, 34(4), 411-433.
     Patel, J., Zeckhauser, R., & Hendricks, D. (1994). Investment flows and performance: Evidence from mutual funds, cross-border investments and new issues. Japan, Europe and the international financial markets: Analytical and empirical perspectives, 51-72.
     Sirri, E. R., & Tufano, P. (1998). Costly search and mutual fund flows. The Journal of Finance, 53(5), 1589-1622.
     Ugai, H. (2007). Effects of the quantitative easing policy: A survey of empirical analyses. Monetary and economic studies-Bank of Japan, 25(1), 1-47.
     Zheng, L. (1998). Is money smart? A study of mutual fund investors` fund selection ability. The Journal of Finance, 54(3), 901-933.
描述 碩士
國立政治大學
財務管理研究所
104357002
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1043570021
資料類型 thesis
dc.contributor.advisor 陳鴻毅zh_TW
dc.contributor.advisor Chen, Hong Yien_US
dc.contributor.author (Authors) 楊孟倫zh_TW
dc.contributor.author (Authors) Yang, Meng Lunen_US
dc.creator (作者) 楊孟倫zh_TW
dc.creator (作者) Yang, Meng Lunen_US
dc.date (日期) 2017en_US
dc.date.accessioned 10-Aug-2017 09:45:38 (UTC+8)-
dc.date.available 10-Aug-2017 09:45:38 (UTC+8)-
dc.date.issued (上傳時間) 10-Aug-2017 09:45:38 (UTC+8)-
dc.identifier (Other Identifiers) G1043570021en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/111740-
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) 104357002zh_TW
dc.description.abstract (摘要) 本研究探討投資者在低利率時代下是否存在追逐股票收益型基金之現象及投資者所投入至股票收益型基金之資金在未來一年中是否能夠擁有較佳之績效。本研究利用美國國內股票型共同基金市場資料進行實證研究，發現股票收益型基金在利率較低時將出現較大之資金淨流入，高成長型基金則在利率越低時，將出現較大之資金淨流出。因此，本研究推論投資者在利率較低時存在追逐股票收益型共同基金之行為。此外，本研究結果亦顯示利率越低時，投資者所投入至股票收益型基金之資金在未來一年將有較高之報酬。總結而言，投資者確實在低利率時代會採行投資於股票收益型基金之策略，且利率越低時能夠從中獲得較高報酬。zh_TW
dc.description.abstract (摘要) The main purpose of this study is to examine whether equity income funds can generate more fund flows from investors during the low interest rate period and whether these equity income funds with more fund flows can obtain better future performance. Empirical results show that, during the low interest rate period, equity income funds enjoy higher fund inflows, while high growth funds suffer from redemption. This indicates that investors tend to pursue equity income funds rather than high growth funds when the interest rate is low. Furthermore, this study finds that equity income funds which attract more fund flows can have better future performance when interest rates are lower.en_US
dc.description.tableofcontents Chapter 1: Introduction 1
     1.1 Background of the Study 1
     1.2 Motivation of the Study 3
     1.3 Contribution of the Study 4
     1.4 Chapter Outline 5
     Chapter 2: Literature Review and Research Questions 6
     2.1 Dividend Yield and Stock Return 6
     2.2 Catering Theory 7
     2.3 Bird in Hand 7
     2.4 Other Factors 8
     2.5 Research Questions 8
     Chapter 3: Data and Methodology 10
     3.1 Data Description 10
     3.1.1 Sample Construction 10
     3.2 Variable Construction 11
     3.2.1 Fund Flow 11
     3.2.2 Fund Performance 12
     3.2.2 Federal Funds Rate 12
     3.2.3 Fund Style 12
     3.2.4 Control Variables 13
     3.3 Methodology 14
     3.3.1 Fund Flow under Different Interest Levels 15
     3.3.2 Regression Model 16
     Chapter 4: Empirical Results 18
     4.1 Mutual Fund Flows 18
     4.1.1 Fund Flow under Different Interest Levels 18
     4.1.2 Examination of Fund Flow - Regression Model 19
     4.2 Examination of Mutual Fund Performance 20
     4.2.1 Fund Return under Different Interest Levels 20
     4.2.2 Examination of Fund Return - Regression Model 22
     Chapter 5: Conclusion 23
     5.1 Conclusion 23
     5.2 Future Research 24
     References 25		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1043570021en_US
dc.subject (關鍵詞) 共同基金zh_TW
dc.subject (關鍵詞) 利率zh_TW
dc.subject (關鍵詞) 高股息基金zh_TW
dc.subject (關鍵詞) 成長型基金zh_TW
dc.subject (關鍵詞) Mutual funden_US
dc.subject (關鍵詞) High growth funden_US
dc.subject (關鍵詞) Equity income funden_US
dc.title (題名) 低利率時代股票收益型與成長型基金流量及績效之研究zh_TW
dc.title (題名) A Study of Fund Flow and Fund Performance between Equity Income Funds and High Growth Funds under a Low Interest Rate Environmenten_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Baker, M., & Wurgler, J. (2004). A catering theory of dividends. The Journal of Finance, 59(3), 1125-1165.
     Barber, B. M., Odean, T., & Zheng, L. (2005). Out of sight, out of mind: The effects of expenses on mutual fund flows. The Journal of Business, 78(6), 2095-2120.
     Bernanke, B. S., & Blinder, A. S. (1992). The federal funds rate and the channels of monetary transmission. The American Economic Review, 901-921.
     Black, F., & Scholes, M. (1974). The effects of dividend yield and dividend policy on common stock prices and returns. Journal of financial economics, 1(1), 1-22.
     Blume, M. E. (1980). Stock returns and dividend yields: Some more evidence. The Review of Economics and Statistics, 567-577.
     Borio, C., & Disyatat, P. (2010). Unconventional monetary policies: an appraisal. The Manchester School, 78(s1), 53-89.
     Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82.
     Christie, W. G. (1990). Dividend yield and expected returns: The zero-dividend puzzle. Journal of Financial Economics, 28(1-2), 95-125.
     Cook, T., & Hahn, T. (1989). The effect of changes in the federal funds rate target on market interest rates in the 1970s. Journal of Monetary Economics, 24(3), 331-351.
     Damodaran, A. (2010). Applied corporate finance. John Wiley & Sons.
     Elton, E. J., & Gruber, M. J. (1970). Marginal stockholder tax rates and the clientele effect. The Review of Economics and Statistics, 68-74.
     Frazzini, A., & Lamont, O. A. (2008). Dumb money: Mutual fund flows and the cross-section of stock returns. Journal of Financial Economics, 88(2), 299-322.
     Graham, B., & Dodd, D. L. (1934). Security Analysis: Principles and Technique. McGraw-Hill.
     Gruber, M. J. (1996). Another puzzle: The growth in actively managed mutual funds. The Journal of Finance, 51(3), 783-810.
     Guercio, D. D., & Reuter, J. (2014). Mutual fund performance and the incentive to generate alpha. The Journal of Finance, 69(4), 1673-1704.
     Harris, L. E., Hartzmark, S. M., & Solomon, D. H. (2015). Juicing the dividend yield: Mutual funds and the demand for dividends. Journal of Financial Economics, 116(3), 433-451.
     Keim, D. B. (1985). Dividend yields and stock returns: Implications of abnormal January returns. Journal of Financial Economics, 14(3), 473-489.
     Kothari, S. P., & Shanken, J. (1997). Book-to-market, dividend yield, and expected market returns: A time-series analysis. Journal of Financial Economics, 44(2), 169-203.
     Krishnamurthy, A., & Vissing-Jorgensen, A. (2011). The effects of quantitative easing on interest rates: Channels and implications for policy (No. w17555). National Bureau of Economic Research.
     Litzenberger, R. H., & Ramaswamy, K. (1979). The effect of personal taxes and dividends on capital asset prices: Theory and empirical evidence. Journal of financial economics, 7(2), 163-195.
     Miller, M. H., & Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. The Journal of Business, 34(4), 411-433.
     Patel, J., Zeckhauser, R., & Hendricks, D. (1994). Investment flows and performance: Evidence from mutual funds, cross-border investments and new issues. Japan, Europe and the international financial markets: Analytical and empirical perspectives, 51-72.
     Sirri, E. R., & Tufano, P. (1998). Costly search and mutual fund flows. The Journal of Finance, 53(5), 1589-1622.
     Ugai, H. (2007). Effects of the quantitative easing policy: A survey of empirical analyses. Monetary and economic studies-Bank of Japan, 25(1), 1-47.
     Zheng, L. (1998). Is money smart? A study of mutual fund investors` fund selection ability. The Journal of Finance, 54(3), 901-933.		zh_TW