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題名 明星基金對基金家族資金流向及績效之影響
The effect of star funds on fund family flows and performance
作者 張耘寧
Chang, Yun-Ning
貢獻者 陳鴻毅
張耘寧
Chang, Yun-Ning
關鍵詞 明星基金
明星家族
外溢效果
家族資金流量
基金家族績效
新發行基金
Star fund
Star family
Spillover effect
Family flow
Family performance
Newly issued fund
日期 2017
上傳時間 31-Aug-2017 12:02:15 (UTC+8)
摘要 本研究探討明星基金對於基金家族資金流量及績效之影響。實證結果顯示明星基金之優異表現除了為所屬家族帶來顯著的資金流入，更存在外溢效果使同家族中的非明星基金有顯著資金流量增加。此外，本研究發現基金家族會利用明星光環趁勢推出新基金，且新發行基金前十二個月之資金流量受到基金家族在發行基金前一年是否為明星家族所影響。然而新發行基金之未來報酬與是否來自明星家族無顯著關係，即投資人追逐明星家族的投資策略於新發行基金市場中未必能獲得較高的報酬。
This study mainly examines the influence of star funds on fund families’ cash flow and family performance. Empirical results show that, consistent with the spillover effect, a family and its associated funds can obtain more cash inflows when the fund family possesses prominent performance funds. I also find that star families will utilize the star halo to issue new mutual funds, and the newly issued funds under star families can generate more proceeds. However, new funds under star families do not have better performance than new funds under non-star families significantly. This indicates that investors are attracted by the star halo and subsequently invest new funds under star families; nevertheless, such investment strategy cannot deliver greater returns for investors.
參考文獻 Ackert, L., & Deaves, R. (2009). “Behavioral finance: Psychology, decision-making, and markets,” Cengage Learning.
Barber, B. M., Odean, T., & Zheng, L. (2005). “Out of sight, out of mind: The effects of expenses on mutual fund flows,” Journal of Business, 78(6), 2095-2120.
Berk, J. B., & Green, R. C. (2004). “Mutual fund flows and performance in rational markets,” Journal of Political Economy, 112(6), 1269-1295.
Carhart, M. M. (1997). “On persistence in mutual fund performance,” Journal of Finance, 52(1), 57-82.
Cremers, M., Ferreira, M. A., Matos, P., & Starks, L. (2016). “Indexing and active fund management: International evidence,” Journal of Financial Economics, 120(3), 539-560.
Del Guercio, D., & Tkac, P. A. (2008). “Star power: The effect of monrningstar ratings on mutual fund flow,” Journal of Financial and Quantitative Analysis, 43(4), 907-936.
Evans, R. B. (2010). “Mutual fund incubation,” Journal of Finance, 65(4), 1581-1611.
Gaspar, J. M., Massa, M., & Matos, P. (2006). “Favoritism in mutual fund families? Evidence on strategic cross‐fund subsidization,” Journal of Finance, 61(1), 73-104.
Gruber, M. J. (1996). “Another puzzle: The growth in actively managed mutual funds,” Journal of Finance, 51(3), 783-810.
Huang, J., Wei, K. D., & Yan, H. (2007). “Participation costs and the sensitivity of fund flows to past performance,” Journal of Finance, 62(3), 1273-1311.
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.
Khorana, A., & Servaes, H. (1999). “The determinants of mutual fund starts,” Review of Financial Studies, 12(5), 1043-1074.
Khorana, A., & Servaes, H. (2011). “What drives market share in the mutual fund industry?” Review of Finance, 16(1), 81-113.
Khorana, A., Servaes, H., & Tufano, P. (2008). “Mutual fund fees around the world,” Review of Financial Studies, 22(3), 1279-1310.
Kosowski, R., Timmermann, A., Wermers, R., & White, H. (2006). “Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis, ” Journal of Finance, 61(6), 2551-2595.
Massa, M. (2003). “How do family strategies affect fund performance? When performance-maximization is not the only game in town,” Journal of Financial Economics, 67(2), 249-304.
Nanda, V., Wang, Z. J., & Zheng, L. (2004). “Family values and the star phenomenon: Strategies of mutual fund families,” Review of Financial Studies, 17, 667–698.
Sirri, E. R., & Tufano, P. (1998). “Costly search and mutual fund flows,” Journal of Finance, 53(5), 1589-1622.
Warner, J. B., & Wu, J. S. (2011). “Why do mutual fund advisory contracts change? Performance, growth, and spillover effects,” Journal of Finance, 66(1), 271-306.
Wilcox, R. T. (2003). “Bargain hunting or star gazing? Investors’ preferences for stock mutual funds,” Journal of Business, 76(4), 645-663.
Yu, H. Y. (2012). “Where are the smart investors? New evidence of the smart money effect,” Journal of Empirical Finance, 19(1), 51-64.
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
104357010
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104357010
資料類型 thesis
dc.contributor.advisor 陳鴻毅zh_TW
dc.contributor.author (Authors) 張耘寧zh_TW
dc.contributor.author (Authors) Chang, Yun-Ningen_US
dc.creator (作者) 張耘寧zh_TW
dc.creator (作者) Chang, Yun-Ningen_US
dc.date (日期) 2017en_US
dc.date.accessioned 31-Aug-2017 12:02:15 (UTC+8)-
dc.date.available 31-Aug-2017 12:02:15 (UTC+8)-
dc.date.issued (上傳時間) 31-Aug-2017 12:02:15 (UTC+8)-
dc.identifier (Other Identifiers) G0104357010en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/112355-
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) 104357010zh_TW
dc.description.abstract (摘要) 本研究探討明星基金對於基金家族資金流量及績效之影響。實證結果顯示明星基金之優異表現除了為所屬家族帶來顯著的資金流入，更存在外溢效果使同家族中的非明星基金有顯著資金流量增加。此外，本研究發現基金家族會利用明星光環趁勢推出新基金，且新發行基金前十二個月之資金流量受到基金家族在發行基金前一年是否為明星家族所影響。然而新發行基金之未來報酬與是否來自明星家族無顯著關係，即投資人追逐明星家族的投資策略於新發行基金市場中未必能獲得較高的報酬。zh_TW
dc.description.abstract (摘要) This study mainly examines the influence of star funds on fund families’ cash flow and family performance. Empirical results show that, consistent with the spillover effect, a family and its associated funds can obtain more cash inflows when the fund family possesses prominent performance funds. I also find that star families will utilize the star halo to issue new mutual funds, and the newly issued funds under star families can generate more proceeds. However, new funds under star families do not have better performance than new funds under non-star families significantly. This indicates that investors are attracted by the star halo and subsequently invest new funds under star families; nevertheless, such investment strategy cannot deliver greater returns for investors.en_US
dc.description.tableofcontents List of Tables IV
1. Introduction 1
2. Literature Review 3
2.1 Winner Pursuing Phenomenon and Spillover Effect 3
2.2 Factors of Initiating New Funds and Utilizations of Stars 4
2.3 Fund Performance and Investor’s Rewards 5
3. Hypotheses Development 7
4. Methodology, Data and Sample Description 9
4.1 Data 9
4.2 Definition of Variables 9
4.3 Sample Description 11
4.4 Methodology 11
5. Empirical Results 17
5.1 Effect of Star Funds on Cash Flows of Fund Family and Individual Fund 17
5.2 Families’ Intention on Issuing New Funds 19
5.3 Fund Flow, Performance and Investor’s Rewards in Newly Issued Funds 21
6. Conclusion 25
6.1 Summary of this Study 25
6.2 Future Research 25
7. References 27		zh_TW
dc.format.extent 1020045 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104357010en_US
dc.subject (關鍵詞) 明星基金zh_TW
dc.subject (關鍵詞) 明星家族zh_TW
dc.subject (關鍵詞) 外溢效果zh_TW
dc.subject (關鍵詞) 家族資金流量zh_TW
dc.subject (關鍵詞) 基金家族績效zh_TW
dc.subject (關鍵詞) 新發行基金zh_TW
dc.subject (關鍵詞) Star funden_US
dc.subject (關鍵詞) Star familyen_US
dc.subject (關鍵詞) Spillover effecten_US
dc.subject (關鍵詞) Family flowen_US
dc.subject (關鍵詞) Family performanceen_US
dc.subject (關鍵詞) Newly issued funden_US
dc.title (題名) 明星基金對基金家族資金流向及績效之影響zh_TW
dc.title (題名) The effect of star funds on fund family flows and performanceen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Ackert, L., & Deaves, R. (2009). “Behavioral finance: Psychology, decision-making, and markets,” Cengage Learning.
Barber, B. M., Odean, T., & Zheng, L. (2005). “Out of sight, out of mind: The effects of expenses on mutual fund flows,” Journal of Business, 78(6), 2095-2120.
Berk, J. B., & Green, R. C. (2004). “Mutual fund flows and performance in rational markets,” Journal of Political Economy, 112(6), 1269-1295.
Carhart, M. M. (1997). “On persistence in mutual fund performance,” Journal of Finance, 52(1), 57-82.
Cremers, M., Ferreira, M. A., Matos, P., & Starks, L. (2016). “Indexing and active fund management: International evidence,” Journal of Financial Economics, 120(3), 539-560.
Del Guercio, D., & Tkac, P. A. (2008). “Star power: The effect of monrningstar ratings on mutual fund flow,” Journal of Financial and Quantitative Analysis, 43(4), 907-936.
Evans, R. B. (2010). “Mutual fund incubation,” Journal of Finance, 65(4), 1581-1611.
Gaspar, J. M., Massa, M., & Matos, P. (2006). “Favoritism in mutual fund families? Evidence on strategic cross‐fund subsidization,” Journal of Finance, 61(1), 73-104.
Gruber, M. J. (1996). “Another puzzle: The growth in actively managed mutual funds,” Journal of Finance, 51(3), 783-810.
Huang, J., Wei, K. D., & Yan, H. (2007). “Participation costs and the sensitivity of fund flows to past performance,” Journal of Finance, 62(3), 1273-1311.
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.
Khorana, A., & Servaes, H. (1999). “The determinants of mutual fund starts,” Review of Financial Studies, 12(5), 1043-1074.
Khorana, A., & Servaes, H. (2011). “What drives market share in the mutual fund industry?” Review of Finance, 16(1), 81-113.
Khorana, A., Servaes, H., & Tufano, P. (2008). “Mutual fund fees around the world,” Review of Financial Studies, 22(3), 1279-1310.
Kosowski, R., Timmermann, A., Wermers, R., & White, H. (2006). “Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis, ” Journal of Finance, 61(6), 2551-2595.
Massa, M. (2003). “How do family strategies affect fund performance? When performance-maximization is not the only game in town,” Journal of Financial Economics, 67(2), 249-304.
Nanda, V., Wang, Z. J., & Zheng, L. (2004). “Family values and the star phenomenon: Strategies of mutual fund families,” Review of Financial Studies, 17, 667–698.
Sirri, E. R., & Tufano, P. (1998). “Costly search and mutual fund flows,” Journal of Finance, 53(5), 1589-1622.
Warner, J. B., & Wu, J. S. (2011). “Why do mutual fund advisory contracts change? Performance, growth, and spillover effects,” Journal of Finance, 66(1), 271-306.
Wilcox, R. T. (2003). “Bargain hunting or star gazing? Investors’ preferences for stock mutual funds,” Journal of Business, 76(4), 645-663.
Yu, H. Y. (2012). “Where are the smart investors? New evidence of the smart money effect,” Journal of Empirical Finance, 19(1), 51-64.
Zheng, L. (1999). “Is money smart? A study of mutual fund investors` fund selection ability,” Journal of Finance, 54(3), 901-933.		zh_TW