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題名 恐慌情緒下的基金報酬決定因子- 以台灣境內股票型基金為例
The Determinants of Fund Performance in Fear Sentiment – Evidence from Taiwan Onshore Equity Fund
作者 謝順博
Sie, Shun-Bo
貢獻者 周冠男
Chou, Robin K.
謝順博
Sie, Shun-Bo
關鍵詞 基金績效
恐慌情緒
Fund Performance
Fear Sentiment
日期 2020
上傳時間 1-Jul-2020 13:38:39 (UTC+8)
摘要 我們使用從2000年1月至2020年3月的最新數據，來研究在恐慌情緒下，台灣市場境內股票型基金報酬的決定因子。我們發現，共同基金經理人在市場恐慌的情況下戰勝了市場，尤其是對投資標的於國內的基金經理人而言。但是，隨著市場情緒的上升，基金的報酬表現也隨之下降。此外，我們運用一元固定效果模型發現對基金報酬具顯著負面影響的因子有基金成立年期、基金周轉率、基金家族規模和恐慌指數Vix；而對基金報酬具顯著正面影響的因子有基金規模、資金流量和銷售費用。隨著人們的情緒變得越來越恐慌，我們發現基金報酬與周轉率以及基金報酬與Vix之間的關係從負變為正。這表明基金經理更加技巧熟練，並且表現出了保護投資組合的能力。隨著市場情緒變得更加恐慌，他們將利用偏誤並採取行動因應，最後，他們贏過了市場。
We use the latest data period from 2000.01 to 2020.03 to study the determinants of onshore equity funds in the Taiwan market in fear sentiment. We find that mutual fund managers beat the market while the market is fearful, especially for domestic fund managers. However, the fund performance decreases as sentiment increases. Moreover, we use one-way fixed effect model and we find significantly negative influence on fund performance with fund age, turnover rate, fund family size, and Vix, whereas we display significantly positive influence on the fund performance with fund size, fund flow, and sales fee. As the sentiment becomes more fearful, we find that the relationship between fund performance with turnover rate and Vix turns from negative to positive. It indicates that fund managers are more skillful and they exhibit their ability to protect the portfolio. They will take action and take advantage of the bias as the market sentiment goes deeper fear. In the end, they outperform the market.
參考文獻 Bailey, W., Kumar, A., & Ng, D. (2011). Behavioral Biases of Mutual Fund Investors. Journal of Financial Economics, 102(1), 1-27.
Baltagi, B. H. (2001). Econometric Analysis of Panel Data. Wiley and Chichester.
Bates, D. S. (2000). Post-`87 crash fears in the S&P 500 futures option market. Journal of Econometrics, 94(2), 181-238.
Berk, J., & Green, R. (2004). Mutual Fund Flows and Performance in Rational Markets. Journal of Political Economy, 112(6), 1269-1295.
Bhojraj, S., Cho, Y. J. & Yehuda, N. (2012). Mutual Fund Family Size and Mutual Fund Performance: The Role of Regulatory Changes. Journal of Accounting Research, 50(3), 647-684.
Bilson, C., Frino, A., & Heaney, R. (2005). Australian Retail Fund Performance Persistence. Accounting and Finance, 45(1), 25-42.
Carhart, M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57-82.
Chen, J., Hong, H., Huang, M., & Kubik, J. (2004). Does Fund Size Erode Mutual Fund Performance? Liquidity, Organizational Diseconomies, and Active Money Management. American Economic Review, 94(5), 1276-1302.
Choonara, Y. M. (2018). The Effect of Market Distress on Mutual Fund Performance: International Evidence. Working Paper, ISCTE - Lisbon University Institute.
Chordia, T. (1996). The Structure of Mutual Fund Charges. Journal of Financial Economics, 41(1), 3-39.
Dechow, P. M., & Sloan, R. G. (1991). Executive incentives and the horizon problem: An empirical investigation. Journal of Accounting and Economics, 14(1), 51-89.
Dennis, P., Mayhew, S. & Stivers, C. (2006). Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon. Journal of Financial and Quantitative Analysis, 41(2), 381-406.
Elton, E. J., Gruber, M. J., & Blake, C. R. (2012). Does Mutual Fund Size Matter? The Relationship Between Size and Performance. The Review of Asset Pricing Studies, 2(1), 31-55.
Elton, E.J., Gruber, M. J., Das, S., & Matthew, H. (1993). Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios. The Review of Financial Studies, 6(1), 1-22.
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417.
Ferreira, M., Keswani, A., Miguel, A., & Ramos, S. (2013). The Determinants of Mutual Fund Performance: A Cross-Country Study. Review of Finance, 17(2), 483-525.
Fleming, J., Ostdiek, B., & Whaley, R. E. (1995). Predicting stock market volatility: A new measure. Journal of Futures Markets, 15(3), 265-302.
Golec, J. H. (1996). The Effects of Mutual Fund Managers’ Characteristics on Their Portfolio Performance, Risk and Fees. Financial Services Review, 5(2), 133-147.
Grinblatt, M., & Titman, S. (1989). Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings. The Journal of Business, 62(3), 393-416.
Grinblatt, M., & Titman, S. (1992). The Persistence of Mutual Fund Performance. The Journal of Finance, 47(5), 1977-1984.
Grinblatt, M., & Titman, S. (1994). A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques. The Journal of Financial and Quantitative Analysis, 29(3), 419-444.
Gruber, M. (1996). Another Puzzle: The Growth in Activity Managed Mutual Funds. The Journal of Finance, 51(3), 783-810.
Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46, 1251-1271.
Hendricks, D., Patel, J., & Zeckhauser, R. (1993). Hot Hands in Mutual Funds: Short‐Run Persistence of Relative Performance, 1974–1988. The Journal of Finance, 48(1), 93-130.
Huij, J., & Verbeek, M. (2007). Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance. Journal of Banking & Finance, 31(3), 973-997.
Ippolito, R. (1989). Efficiency with Costly Information: A Study of Mutual Fund Performance, 1965–1984. The Quarterly Journal of Economics, 104(1), 1-23.
Jensen, M. (1968). The Performance of Mutual Funds in the Period 1945-1964. The Journal of Finance, 23(2), 389-416.
Kahneman, D., & Tversky, A. (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47(2), 263-291.
Keswani, A., Miguel, A. F., & Ramos, S. B. (2017). Mutual Fund Size Versus Fees: When Big Boys Become Bad Boys. Working paper, Cass Business School - London.
Khorana, A., Servaes, H., & Tufano, P. (2009). Mutual Fund Fees Around the World. Review of Financial Studies, 22(3), 1279-1310.
Li, C. A., & Wang, J. C. (2013). The Influences of Greed and Fear on Fund Performance. The International Journal of Business and Finance Research, 7(5), 47-57.
Lo, A. W., Repin, D. V., & Steenbarger, B. N. (2005). Fear and Greed in Financial Markets: A Clinical Study of Day-Traders. American Economic Review, 95(2), 352-359.
Lynch, A., & Musto, D. (2003). How Investors Interpret Past Fund Returns, The Journal of Finance, 58(5), 2033-2058.
Malkiel, B. (1995). Returns from Investing in Equity Mutual Funds 1971 to 1991. The Journal of Finance, 50(2), 549-572.
Pan, J. (2002). The jump-risk premia implicit in options: evidence from an integrated time-series study. Journal of Financial Economics, 63(3), 3-50.
Pollet, J. M., & Wilson, M. I. (2008). How Does Size Affect Mutual Fund Behavior? The Journal of Finance, 63(6), 2941-2969.
Poteshman, A. M. (2001). Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market. The Journal of Finance, 56(3), 851-876.
Sapp, T., & Tiwari, A. (2004). Does Stock Return Momentum Explain the `Smart Money` Effect? The Journal of Finance, 59(6), 2605-2622.
Sharpe, W. F. (1966). Mutual Fund Performance. The Journal of Business, 39(1), 119-138.
Sirri, E. R., & Tufano, P. (1998). Costly Search and Mutual Fund Flows. The Journal of Finance, 53(5), 1589-1622.
Treynor, J. L. (1965). How to Rate Management of Investment Funds. Harvard Business Review, 43(1), 63-75.
Webster, D. (2002). Mutual Fund Performance and Fund Age. Working paper, University of Oxford.
Wermers, R. (2000). Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses. The Journal of Finance, 55(4), 1655-1703.
Whaley, R. E. (2000). The Investor Fear Gauge. Journal of Portfolio Management. 59(1), 12-17.
Wooldridge, J. (2002). Econometric Analysis of Cross Section and Panel Data, 152.
Yan, X. (2008). Liquidity, Investment Style, and the Relation between Fund Size and Fund Performance. Journal of Financial and Quantitative Analysis, 43(3), 741-767.
Zheng, L. (1999). 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
財務管理學系
107357018
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107357018
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.advisor Chou, Robin K.en_US
dc.contributor.author (Authors) 謝順博zh_TW
dc.contributor.author (Authors) Sie, Shun-Boen_US
dc.creator (作者) 謝順博zh_TW
dc.creator (作者) Sie, Shun-Boen_US
dc.date (日期) 2020en_US
dc.date.accessioned 1-Jul-2020 13:38:39 (UTC+8)-
dc.date.available 1-Jul-2020 13:38:39 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2020 13:38:39 (UTC+8)-
dc.identifier (Other Identifiers) G0107357018en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130530-
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) 107357018zh_TW
dc.description.abstract (摘要) 我們使用從2000年1月至2020年3月的最新數據，來研究在恐慌情緒下，台灣市場境內股票型基金報酬的決定因子。我們發現，共同基金經理人在市場恐慌的情況下戰勝了市場，尤其是對投資標的於國內的基金經理人而言。但是，隨著市場情緒的上升，基金的報酬表現也隨之下降。此外，我們運用一元固定效果模型發現對基金報酬具顯著負面影響的因子有基金成立年期、基金周轉率、基金家族規模和恐慌指數Vix；而對基金報酬具顯著正面影響的因子有基金規模、資金流量和銷售費用。隨著人們的情緒變得越來越恐慌，我們發現基金報酬與周轉率以及基金報酬與Vix之間的關係從負變為正。這表明基金經理更加技巧熟練，並且表現出了保護投資組合的能力。隨著市場情緒變得更加恐慌，他們將利用偏誤並採取行動因應，最後，他們贏過了市場。zh_TW
dc.description.abstract (摘要) We use the latest data period from 2000.01 to 2020.03 to study the determinants of onshore equity funds in the Taiwan market in fear sentiment. We find that mutual fund managers beat the market while the market is fearful, especially for domestic fund managers. However, the fund performance decreases as sentiment increases. Moreover, we use one-way fixed effect model and we find significantly negative influence on fund performance with fund age, turnover rate, fund family size, and Vix, whereas we display significantly positive influence on the fund performance with fund size, fund flow, and sales fee. As the sentiment becomes more fearful, we find that the relationship between fund performance with turnover rate and Vix turns from negative to positive. It indicates that fund managers are more skillful and they exhibit their ability to protect the portfolio. They will take action and take advantage of the bias as the market sentiment goes deeper fear. In the end, they outperform the market.en_US
dc.description.tableofcontents 摘要 ⅰ
Abstract ⅱ
Contents ⅲ
Table Contents ⅳ
1. Introduction 1
2. Literature overview 2
2.1 Mutual fund performance 2
2.2 Fund characters with performance 2
2.3 Mutual fund performance in fear sentiment 5
3. Data and Methodology 6
3.1 Sample Selection 6
3.2 Fund Characteristics 6
3.3 Methodology 8
4. Results 13
4.1 Sample Descriptive 13
4.2 Determinants of fund performance in general sentiment 18
4.3 Determinants of fund performance in fear sentiment 19
5. Conclusion 25
6. Reference 27		zh_TW
dc.format.extent 911488 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107357018en_US
dc.subject (關鍵詞) 基金績效zh_TW
dc.subject (關鍵詞) 恐慌情緒zh_TW
dc.subject (關鍵詞) Fund Performanceen_US
dc.subject (關鍵詞) Fear Sentimenten_US
dc.title (題名) 恐慌情緒下的基金報酬決定因子- 以台灣境內股票型基金為例zh_TW
dc.title (題名) The Determinants of Fund Performance in Fear Sentiment – Evidence from Taiwan Onshore Equity Funden_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Bailey, W., Kumar, A., & Ng, D. (2011). Behavioral Biases of Mutual Fund Investors. Journal of Financial Economics, 102(1), 1-27.
Baltagi, B. H. (2001). Econometric Analysis of Panel Data. Wiley and Chichester.
Bates, D. S. (2000). Post-`87 crash fears in the S&P 500 futures option market. Journal of Econometrics, 94(2), 181-238.
Berk, J., & Green, R. (2004). Mutual Fund Flows and Performance in Rational Markets. Journal of Political Economy, 112(6), 1269-1295.
Bhojraj, S., Cho, Y. J. & Yehuda, N. (2012). Mutual Fund Family Size and Mutual Fund Performance: The Role of Regulatory Changes. Journal of Accounting Research, 50(3), 647-684.
Bilson, C., Frino, A., & Heaney, R. (2005). Australian Retail Fund Performance Persistence. Accounting and Finance, 45(1), 25-42.
Carhart, M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57-82.
Chen, J., Hong, H., Huang, M., & Kubik, J. (2004). Does Fund Size Erode Mutual Fund Performance? Liquidity, Organizational Diseconomies, and Active Money Management. American Economic Review, 94(5), 1276-1302.
Choonara, Y. M. (2018). The Effect of Market Distress on Mutual Fund Performance: International Evidence. Working Paper, ISCTE - Lisbon University Institute.
Chordia, T. (1996). The Structure of Mutual Fund Charges. Journal of Financial Economics, 41(1), 3-39.
Dechow, P. M., & Sloan, R. G. (1991). Executive incentives and the horizon problem: An empirical investigation. Journal of Accounting and Economics, 14(1), 51-89.
Dennis, P., Mayhew, S. & Stivers, C. (2006). Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon. Journal of Financial and Quantitative Analysis, 41(2), 381-406.
Elton, E. J., Gruber, M. J., & Blake, C. R. (2012). Does Mutual Fund Size Matter? The Relationship Between Size and Performance. The Review of Asset Pricing Studies, 2(1), 31-55.
Elton, E.J., Gruber, M. J., Das, S., & Matthew, H. (1993). Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios. The Review of Financial Studies, 6(1), 1-22.
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417.
Ferreira, M., Keswani, A., Miguel, A., & Ramos, S. (2013). The Determinants of Mutual Fund Performance: A Cross-Country Study. Review of Finance, 17(2), 483-525.
Fleming, J., Ostdiek, B., & Whaley, R. E. (1995). Predicting stock market volatility: A new measure. Journal of Futures Markets, 15(3), 265-302.
Golec, J. H. (1996). The Effects of Mutual Fund Managers’ Characteristics on Their Portfolio Performance, Risk and Fees. Financial Services Review, 5(2), 133-147.
Grinblatt, M., & Titman, S. (1989). Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings. The Journal of Business, 62(3), 393-416.
Grinblatt, M., & Titman, S. (1992). The Persistence of Mutual Fund Performance. The Journal of Finance, 47(5), 1977-1984.
Grinblatt, M., & Titman, S. (1994). A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques. The Journal of Financial and Quantitative Analysis, 29(3), 419-444.
Gruber, M. (1996). Another Puzzle: The Growth in Activity Managed Mutual Funds. The Journal of Finance, 51(3), 783-810.
Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46, 1251-1271.
Hendricks, D., Patel, J., & Zeckhauser, R. (1993). Hot Hands in Mutual Funds: Short‐Run Persistence of Relative Performance, 1974–1988. The Journal of Finance, 48(1), 93-130.
Huij, J., & Verbeek, M. (2007). Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance. Journal of Banking & Finance, 31(3), 973-997.
Ippolito, R. (1989). Efficiency with Costly Information: A Study of Mutual Fund Performance, 1965–1984. The Quarterly Journal of Economics, 104(1), 1-23.
Jensen, M. (1968). The Performance of Mutual Funds in the Period 1945-1964. The Journal of Finance, 23(2), 389-416.
Kahneman, D., & Tversky, A. (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47(2), 263-291.
Keswani, A., Miguel, A. F., & Ramos, S. B. (2017). Mutual Fund Size Versus Fees: When Big Boys Become Bad Boys. Working paper, Cass Business School - London.
Khorana, A., Servaes, H., & Tufano, P. (2009). Mutual Fund Fees Around the World. Review of Financial Studies, 22(3), 1279-1310.
Li, C. A., & Wang, J. C. (2013). The Influences of Greed and Fear on Fund Performance. The International Journal of Business and Finance Research, 7(5), 47-57.
Lo, A. W., Repin, D. V., & Steenbarger, B. N. (2005). Fear and Greed in Financial Markets: A Clinical Study of Day-Traders. American Economic Review, 95(2), 352-359.
Lynch, A., & Musto, D. (2003). How Investors Interpret Past Fund Returns, The Journal of Finance, 58(5), 2033-2058.
Malkiel, B. (1995). Returns from Investing in Equity Mutual Funds 1971 to 1991. The Journal of Finance, 50(2), 549-572.
Pan, J. (2002). The jump-risk premia implicit in options: evidence from an integrated time-series study. Journal of Financial Economics, 63(3), 3-50.
Pollet, J. M., & Wilson, M. I. (2008). How Does Size Affect Mutual Fund Behavior? The Journal of Finance, 63(6), 2941-2969.
Poteshman, A. M. (2001). Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market. The Journal of Finance, 56(3), 851-876.
Sapp, T., & Tiwari, A. (2004). Does Stock Return Momentum Explain the `Smart Money` Effect? The Journal of Finance, 59(6), 2605-2622.
Sharpe, W. F. (1966). Mutual Fund Performance. The Journal of Business, 39(1), 119-138.
Sirri, E. R., & Tufano, P. (1998). Costly Search and Mutual Fund Flows. The Journal of Finance, 53(5), 1589-1622.
Treynor, J. L. (1965). How to Rate Management of Investment Funds. Harvard Business Review, 43(1), 63-75.
Webster, D. (2002). Mutual Fund Performance and Fund Age. Working paper, University of Oxford.
Wermers, R. (2000). Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses. The Journal of Finance, 55(4), 1655-1703.
Whaley, R. E. (2000). The Investor Fear Gauge. Journal of Portfolio Management. 59(1), 12-17.
Wooldridge, J. (2002). Econometric Analysis of Cross Section and Panel Data, 152.
Yan, X. (2008). Liquidity, Investment Style, and the Relation between Fund Size and Fund Performance. Journal of Financial and Quantitative Analysis, 43(3), 741-767.
Zheng, L. (1999). Is Money Smart? A Study of Mutual Fund Investors` Fund Selection Ability. The Journal of Finance, 54(3), 901-933.		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU202000625en_US