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題名 基金持有樂透型股票對基金績效之影響
The Effect of Lottery Stock Holdings on Mutual Fund Performance
作者 黃育琳
Huang, Yu-Lin
貢獻者 陳鴻毅
Chen, Hong-Yi
黃育琳
Huang, Yu-Lin
關鍵詞 樂透型股票
共同基金績效
基金經理人
選股能力
從眾行為
Lottery stocks
Mutual fund performance
Fund managers
Skill of stock selection
Herding behavior
日期 2020
上傳時間 1-Jul-2020 13:37:36 (UTC+8)
摘要 過去之研究皆顯示樂透型股票在未來的績效表現並不好，然而基金經理人依然將樂透型股票納入其投資組合的持股當中。因此，本研究將以共同基金樂透型股票持股的變化對基金經理人之持股決策進行探討，進而解釋為何基金經理人持有樂透型股票。實證結果顯示當共同基金過去的績效表現不佳時，基金經理人將會增加樂透型股票的比重。樂透型股票的增加將會改善未來的基金績效表現。此外，基金經理人所增加樂透型股票的持有並非來自於基金經理人間之從眾行為。本研究因此認為基金經理人具有選股能力，能夠選擇較好的樂透型股票，以提升基金未來之績效。
Existing literature suggests that lottery stocks will have poor future performance, while fund managers still include a substantial portion of lottery stocks in their portfolios. This study, hence, introduces the change of lottery stock holdings in a mutual fund to investigate the reason of lottery stock holdings of mutual funds. Empirical results show that fund managers tend to increase lottery stock holdings when they experience poor performance. The increase of lottery stock holdings can essentially improve fund future performance. In addition, the increase of lottery stock holdings is not associate with the herding behavior, indicating that fund managers have the skill to separate good lottery stocks from poor lottery stocks.
參考文獻 Agarwal, V., Jiang, L., and Wen, Q., 2019. Why do mutual funds hold lottery stocks? Working paper, Georgia State University.
Bali, T. G., Cakici, N., and Whitelaw, R. F., 2011. Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics 99, 427-446.
Bali, T. G., Brown, S. J., Murray, S., and Tang, Y., 2017. A lottery-demand-based explanation of the beta anomaly. Journal of Financial and Quantitative Analysis 52, 2369-2397.
Berk, J. B., and Green, R. C., 2004. Mutual fund flows and performance in rational markets. Journal of Political Economy 112, 1269-1295.
Carhart, M. M., 1997. On persistence in mutual fund performance. Journal of Finance 52, 57-82.
Falkenstein, E. G., 1996. Preferences for stock characteristics as revealed by mutual fund portfolio holdings. Journal of Finance 51, 111-135.
Fama, E. F., and French, K. R., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56.
Goldie, B. A., Henry, T. R., and Kassa, H., 2019. Does MAX matter for mutual funds? European Financial Management 25, 777-806.
Han, B., and Kumar, A., 2013. Speculative retail trading and asset prices. Journal of Financial and Quantitative Analysis 48, 377-404.
Jiang, H., and Verardo, M., 2018. Does herding behavior reveal skill? An analysis of mutual fund performance. Journal of Finance 73, 2229-2269.
Kumar, A., 2009. Who gambles in the stock market? Journal of Finance 64, 1889-1933.
Nanda, V., Wang, Z. J., and Zheng, L., 2004. Family values and the star phenomenon: Strategies of mutual fund families. Review of Financial Studies 17, 667-698.
Sirri, E. R., and Tufano, P., 1998. Costly search and mutual fund flows. Journal of Finance 53, 1589-1622.
Stein, R., 2018. Are mutual fund managers good gamblers? Working paper, University of Nebraska at Lincoln.
描述 碩士
國立政治大學
財務管理學系
107357005
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107357005
資料類型 thesis
dc.contributor.advisor 陳鴻毅zh_TW
dc.contributor.advisor Chen, Hong-Yien_US
dc.contributor.author (Authors) 黃育琳zh_TW
dc.contributor.author (Authors) Huang, Yu-Linen_US
dc.creator (作者) 黃育琳zh_TW
dc.creator (作者) Huang, Yu-Linen_US
dc.date (日期) 2020en_US
dc.date.accessioned 1-Jul-2020 13:37:36 (UTC+8)-
dc.date.available 1-Jul-2020 13:37:36 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2020 13:37:36 (UTC+8)-
dc.identifier (Other Identifiers) G0107357005en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130525-
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) 107357005zh_TW
dc.description.abstract (摘要) 過去之研究皆顯示樂透型股票在未來的績效表現並不好，然而基金經理人依然將樂透型股票納入其投資組合的持股當中。因此，本研究將以共同基金樂透型股票持股的變化對基金經理人之持股決策進行探討，進而解釋為何基金經理人持有樂透型股票。實證結果顯示當共同基金過去的績效表現不佳時，基金經理人將會增加樂透型股票的比重。樂透型股票的增加將會改善未來的基金績效表現。此外，基金經理人所增加樂透型股票的持有並非來自於基金經理人間之從眾行為。本研究因此認為基金經理人具有選股能力，能夠選擇較好的樂透型股票，以提升基金未來之績效。zh_TW
dc.description.abstract (摘要) Existing literature suggests that lottery stocks will have poor future performance, while fund managers still include a substantial portion of lottery stocks in their portfolios. This study, hence, introduces the change of lottery stock holdings in a mutual fund to investigate the reason of lottery stock holdings of mutual funds. Empirical results show that fund managers tend to increase lottery stock holdings when they experience poor performance. The increase of lottery stock holdings can essentially improve fund future performance. In addition, the increase of lottery stock holdings is not associate with the herding behavior, indicating that fund managers have the skill to separate good lottery stocks from poor lottery stocks.en_US
dc.description.tableofcontents 中文摘要 I
Abstract II
List of Tables V
1. Introduction 1
2. Literature Review 4
2.1 Characteristics of lottery stocks 4
2.2 Funds with lottery characteristic 5
2.3 Stock selection skill of fund managers 5
2.4 Research questions 6
3. Data and Methodology 7
3.1 Data 7
3.1.1 Data sources 7
3.1.2 Variables 7
3.2 Measuring lottery-like characteristic (MAX of fund) 8
3.3 Institutional ownership 10
4. Empirical Results 11
4.1 Summary statistics 11
4.2 Determinants of lottery-like funds 12
4.3 Can increasing lottery stocks improve fund performance? 14
4.3.1 Examining the effect by the change of MAX 14
4.3.2 Examining the effect by the change of lottery and non-lottery stock holdings 14
4.4 Can the future performance be enhanced when underperformed funds increase lottery stock holdings? 16
4.4.1 Examining the effect by the interaction term of change of MAX and adjusted return 16
4.4.2 Examining the effect by the interaction term of lottery or non-lottery stock holdings and adjusted return 17
4.5 Do fund managers have the skill to select better lottery stocks? 19
5. Suggestions for Future Research 21
6. Conclusion 22
References 23		zh_TW
dc.format.extent 2656220 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107357005en_US
dc.subject (關鍵詞) 樂透型股票zh_TW
dc.subject (關鍵詞) 共同基金績效zh_TW
dc.subject (關鍵詞) 基金經理人zh_TW
dc.subject (關鍵詞) 選股能力zh_TW
dc.subject (關鍵詞) 從眾行為zh_TW
dc.subject (關鍵詞) Lottery stocksen_US
dc.subject (關鍵詞) Mutual fund performanceen_US
dc.subject (關鍵詞) Fund managersen_US
dc.subject (關鍵詞) Skill of stock selectionen_US
dc.subject (關鍵詞) Herding behavioren_US
dc.title (題名) 基金持有樂透型股票對基金績效之影響zh_TW
dc.title (題名) The Effect of Lottery Stock Holdings on Mutual Fund Performanceen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Agarwal, V., Jiang, L., and Wen, Q., 2019. Why do mutual funds hold lottery stocks? Working paper, Georgia State University.
Bali, T. G., Cakici, N., and Whitelaw, R. F., 2011. Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics 99, 427-446.
Bali, T. G., Brown, S. J., Murray, S., and Tang, Y., 2017. A lottery-demand-based explanation of the beta anomaly. Journal of Financial and Quantitative Analysis 52, 2369-2397.
Berk, J. B., and Green, R. C., 2004. Mutual fund flows and performance in rational markets. Journal of Political Economy 112, 1269-1295.
Carhart, M. M., 1997. On persistence in mutual fund performance. Journal of Finance 52, 57-82.
Falkenstein, E. G., 1996. Preferences for stock characteristics as revealed by mutual fund portfolio holdings. Journal of Finance 51, 111-135.
Fama, E. F., and French, K. R., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56.
Goldie, B. A., Henry, T. R., and Kassa, H., 2019. Does MAX matter for mutual funds? European Financial Management 25, 777-806.
Han, B., and Kumar, A., 2013. Speculative retail trading and asset prices. Journal of Financial and Quantitative Analysis 48, 377-404.
Jiang, H., and Verardo, M., 2018. Does herding behavior reveal skill? An analysis of mutual fund performance. Journal of Finance 73, 2229-2269.
Kumar, A., 2009. Who gambles in the stock market? Journal of Finance 64, 1889-1933.
Nanda, V., Wang, Z. J., and Zheng, L., 2004. Family values and the star phenomenon: Strategies of mutual fund families. Review of Financial Studies 17, 667-698.
Sirri, E. R., and Tufano, P., 1998. Costly search and mutual fund flows. Journal of Finance 53, 1589-1622.
Stein, R., 2018. Are mutual fund managers good gamblers? Working paper, University of Nebraska at Lincoln.		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU202000543en_US