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題名 共同基金資金流向與積極管理之研究－以美國股票型基金為例
Mutual Fund Flow and Active Management: Evidence from U.S. Equity Funds作者 李韋萱
Lee, Wei-Hsuan貢獻者 陳鴻毅
李韋萱
Lee, Wei-Hsuan關鍵詞 積極比率
積極管理
資金流向
Active share
Active management
Fund flow日期 2018 上傳時間 3-Jul-2018 17:25:41 (UTC+8) 摘要 本研究主要探討基金經理人在面臨資金流入或流出時，是否能夠有效率地管理資產。利用基金的積極比率來衡量基金經理人資產配置的效率性，本研究發現基金資金的流入及流出皆會使得基金的積極比率上升，且基金資金流入時積極比率的上升幅度較大。此結果顯示基金經理人在面臨投資者贖回基金的情況下，較無法有效率地管理資產。此外，在面臨前一期資金大幅流入或流出時，無論經理人是否能有效率的管理資產，皆無法在未來持續創造超額報酬。
This study investigates whether the mutual fund manager can manage assets in an efficient way. Using active share as a measure of the efficiency of asset allocation for a mutual fund, this study finds that the active share of a mutual fund increases if the fund experiences an inflow or an outflow. Specifically, the active share is more sensitive to fund inflow than outflow, indicating, relative to obtaining more funds from investors, the fund manager cannot efficiently manage their assets when he faces the redemption of investors. Furthermore, there is no performance persistence in mutual funds. If the fund experienced an inflow or an outflow, whether the mutual fund managers manage assets in an efficient way, it is difficult for fund managers to outperform the markets in the future.參考文獻 Ben-Rephael, A., Kandel, S., and Wohl, A. (2012). Measuring investor sentiment with mutual fund flows. Journal of Financial Economics, 104(2), 363-382. Berk, J. B., and Green, R. C. (2004). Mutual fund flows and performance in rational markets. Journal of Political Economy, 112(6), 1269-1295. Brinson, G. P., Hood, L. R., and Beebower, G. L. (1995). Determinants of portfolio performance. Financial Analysts Journal, 51(1), 133-138. Chen, H. L., Jegadeesh, N., and Wermers, R. (2000). The value of active mutual fund management: An examination of the stockholdings and trades of fund managers. Journal of Financial and Quantitative Analysis, 35(3), 343-368. Chevalier, J., and Ellison, G. (1999). Career concerns of mutual fund managers. The Quarterly Journal of Economics, 114(2), 389-432. Cremers, K. M., and Petajisto, A. (2009). How active is your fund manager? A new measure that predicts performance. The Review of Financial Studies, 22(9), 3329-3365. Cremers, M. (2017). Active Share and the Three Pillars of Active Management: Skill, Conviction, and Opportunity. Financial Analysts Journal, 73(2), 61-79. Daniel, K., Grinblatt, M., Titman, S., and Wermers, R. (1997). Measuring mutual fund performance with characteristic‐based benchmarks. The Journal of Finance, 52(3), 1035-1058. Dubofsky, D. A. (2010). Mutual fund portfolio trading and investor flow. Journal of Banking and Finance, 34(4), 802-812. Edelen, R. M. (1999). Investor flows and the assessed performance of open-end mutual funds. Journal of Financial Economics, 53(3), 439-466. Guercio, D. D., and Reuter, J. (2014). Mutual fund performance and the incentive to generate alpha. The Journal of Finance, 69(4), 1673-1704. Ivković, Z., and Weisbenner, S. (2009). Individual investor mutual fund flows. Journal of Financial Economics, 92(2), 223-237. Jain, P. C., and Wu, J. S. (2000). Truth in mutual fund advertising: Evidence on future performance and fund flows. The Journal of Finance, 55(2), 937-958. Jones, R. C., and Wermers, R. (2011). Active management in mostly efficient markets. Financial Analysts Journal, 67(6), 29-45. Lou, D. (2012). A flow-based explanation for return predictability. The Review of Financial Studies, 25(12), 3457-3489. Pástor, L., Stambaugh, R. F., and Taylor, L. A. (2017). Do funds make more when they trade more? The Journal of Finance, 72(4), 1483-1528. Petajisto, A. (2013). Active share and mutual fund performance. Financial Analysts Journal, 69(4), 73-93. Rakowski, D., and Wang, X. (2009). The dynamics of short-term mutual fund flows and returns: A time-series and cross-sectional investigation. Journal of Banking and Finance, 33(11), 2102-2109. Sirri, E. R., and Tufano, P. (1998). Costly search and mutual fund flows. The Journal of Finance, 53(5), 1589-1622. Wermers, R. (2000). Mutual fund performance: An empirical decomposition into stock‐picking talent, style, transactions costs, and expenses. The Journal of Finance, 55(4), 1655-1695. Wermers, R. (2003). Are mutual fund shareholders compensated for active management bets. Working Study, University of Maryland. Wermers, R. (2003). Is money really “smart”? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence. Working Study, University of Maryland. 描述 碩士
國立政治大學
財務管理學系
105357032資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105357032 資料類型 thesis dc.contributor.advisor 陳鴻毅 zh_TW dc.contributor.author (Authors) 李韋萱 zh_TW dc.contributor.author (Authors) Lee, Wei-Hsuan en_US dc.creator (作者) 李韋萱 zh_TW dc.creator (作者) Lee, Wei-Hsuan en_US dc.date (日期) 2018 en_US dc.date.accessioned 3-Jul-2018 17:25:41 (UTC+8) - dc.date.available 3-Jul-2018 17:25:41 (UTC+8) - dc.date.issued (上傳時間) 3-Jul-2018 17:25:41 (UTC+8) - dc.identifier (Other Identifiers) G0105357032 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/118231 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 105357032 zh_TW dc.description.abstract (摘要) 本研究主要探討基金經理人在面臨資金流入或流出時，是否能夠有效率地管理資產。利用基金的積極比率來衡量基金經理人資產配置的效率性，本研究發現基金資金的流入及流出皆會使得基金的積極比率上升，且基金資金流入時積極比率的上升幅度較大。此結果顯示基金經理人在面臨投資者贖回基金的情況下，較無法有效率地管理資產。此外，在面臨前一期資金大幅流入或流出時，無論經理人是否能有效率的管理資產，皆無法在未來持續創造超額報酬。 zh_TW dc.description.abstract (摘要) This study investigates whether the mutual fund manager can manage assets in an efficient way. Using active share as a measure of the efficiency of asset allocation for a mutual fund, this study finds that the active share of a mutual fund increases if the fund experiences an inflow or an outflow. Specifically, the active share is more sensitive to fund inflow than outflow, indicating, relative to obtaining more funds from investors, the fund manager cannot efficiently manage their assets when he faces the redemption of investors. Furthermore, there is no performance persistence in mutual funds. If the fund experienced an inflow or an outflow, whether the mutual fund managers manage assets in an efficient way, it is difficult for fund managers to outperform the markets in the future. en_US dc.description.tableofcontents Contents 摘要 I Abstract II Contents III List of tables V List of figures VI 1. Introduction 1 2. Literature review 2 2.1 Active share 2 2.2 Active management 3 2.3 Fund flow 4 2.4 Hypothesis development 6 3. Data and methodology 7 3.1 Data on mutual fund 7 3.2 Data on active share 8 3.3 Sample selection 10 3.4 Data process 10 3.5 Methodology 13 4. Empirical results 14 4.1 Active share and flow 14 4.2 Regression model for flow 15 4.3 Regression model for inflow and outflow 18 4.4 Performance and flow 19 4.5 Past performance, current active share and future performance 20 5. Conclusion and further research 22 References 24 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105357032 en_US dc.subject (關鍵詞) 積極比率 zh_TW dc.subject (關鍵詞) 積極管理 zh_TW dc.subject (關鍵詞) 資金流向 zh_TW dc.subject (關鍵詞) Active share en_US dc.subject (關鍵詞) Active management en_US dc.subject (關鍵詞) Fund flow en_US dc.title (題名) 共同基金資金流向與積極管理之研究－以美國股票型基金為例 zh_TW dc.title (題名) Mutual Fund Flow and Active Management: Evidence from U.S. Equity Funds en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Ben-Rephael, A., Kandel, S., and Wohl, A. (2012). Measuring investor sentiment with mutual fund flows. Journal of Financial Economics, 104(2), 363-382. Berk, J. B., and Green, R. C. (2004). Mutual fund flows and performance in rational markets. Journal of Political Economy, 112(6), 1269-1295. Brinson, G. P., Hood, L. R., and Beebower, G. L. (1995). Determinants of portfolio performance. Financial Analysts Journal, 51(1), 133-138. Chen, H. L., Jegadeesh, N., and Wermers, R. (2000). The value of active mutual fund management: An examination of the stockholdings and trades of fund managers. Journal of Financial and Quantitative Analysis, 35(3), 343-368. Chevalier, J., and Ellison, G. (1999). Career concerns of mutual fund managers. The Quarterly Journal of Economics, 114(2), 389-432. Cremers, K. M., and Petajisto, A. (2009). How active is your fund manager? A new measure that predicts performance. The Review of Financial Studies, 22(9), 3329-3365. Cremers, M. (2017). Active Share and the Three Pillars of Active Management: Skill, Conviction, and Opportunity. Financial Analysts Journal, 73(2), 61-79. Daniel, K., Grinblatt, M., Titman, S., and Wermers, R. (1997). Measuring mutual fund performance with characteristic‐based benchmarks. The Journal of Finance, 52(3), 1035-1058. Dubofsky, D. A. (2010). Mutual fund portfolio trading and investor flow. Journal of Banking and Finance, 34(4), 802-812. Edelen, R. M. (1999). Investor flows and the assessed performance of open-end mutual funds. Journal of Financial Economics, 53(3), 439-466. Guercio, D. D., and Reuter, J. (2014). Mutual fund performance and the incentive to generate alpha. The Journal of Finance, 69(4), 1673-1704. Ivković, Z., and Weisbenner, S. (2009). Individual investor mutual fund flows. Journal of Financial Economics, 92(2), 223-237. Jain, P. C., and Wu, J. S. (2000). Truth in mutual fund advertising: Evidence on future performance and fund flows. The Journal of Finance, 55(2), 937-958. Jones, R. C., and Wermers, R. (2011). Active management in mostly efficient markets. Financial Analysts Journal, 67(6), 29-45. Lou, D. (2012). A flow-based explanation for return predictability. The Review of Financial Studies, 25(12), 3457-3489. Pástor, L., Stambaugh, R. F., and Taylor, L. A. (2017). Do funds make more when they trade more? The Journal of Finance, 72(4), 1483-1528. Petajisto, A. (2013). Active share and mutual fund performance. Financial Analysts Journal, 69(4), 73-93. Rakowski, D., and Wang, X. (2009). The dynamics of short-term mutual fund flows and returns: A time-series and cross-sectional investigation. Journal of Banking and Finance, 33(11), 2102-2109. Sirri, E. R., and Tufano, P. (1998). Costly search and mutual fund flows. The Journal of Finance, 53(5), 1589-1622. Wermers, R. (2000). Mutual fund performance: An empirical decomposition into stock‐picking talent, style, transactions costs, and expenses. The Journal of Finance, 55(4), 1655-1695. Wermers, R. (2003). Are mutual fund shareholders compensated for active management bets. Working Study, University of Maryland. Wermers, R. (2003). Is money really “smart”? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence. Working Study, University of Maryland. zh_TW dc.identifier.doi (DOI) 10.6814/THE.NCCU.Finance.002.2018.F07 -
