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題名 基金公司同儕競爭壓力對基金終止決策之影響
The Effect of Peer Competition in Fund Families on Mutual Fund Exit Decisions作者 林知誼
Lin, Chih-Yi貢獻者 陳鴻毅
Chen, Hong-Yi
林知誼
Lin, Chih-Yi關鍵詞 共同基金
終止決策
同儕壓力
同儕競爭
基金清算
基金合併
明星基金
Fund liquidation
Fund mergers
Mutual funds
Peer competition
Peer pressure
Star funds
Termination decisions日期 2021 上傳時間 3-Jul-2021 00:38:27 (UTC+8) 摘要 本研究旨在探討基金承受基金公司內部同儕競爭壓力是否成為基金公司做出基金終止決策之影響因子。本研究使用三種虛擬變數作為評估同儕壓力之量化因子，分別為基金是否屬於明星基金家族、基金家族是否有其他相同投資目標之明星基金以及基金家族是否有其他相同投資目標之基金。由於基金終止有三種形式，分別為清算、家族內合併及家族間合併，因此本研究採用多元羅吉斯回歸建構模型，探討同儕壓力及其他控制變數對基金終止機率的影響。除了比較控制變數與過往文獻之差異外，實證結果最主要的發現是家族內同儕壓力顯著為基金終止決策之因子，且比起清算，同儕壓力在合併之決策有更顯著的影響。部分實證結果亦發現，承受同儕壓力之基金若績效好則被合併的機率較低；若同時面臨同儕壓力與資金淨流出，對基金本身來說是雪上加霜的，會使其被合併的機率提升。其中，基金家族會依據基金前一季之績效以及基金之現金流量是否持續半年呈現淨流出作出其金終止之決策。
This study explores whether the peer competition among fund managers in a fund family will arouse peer pressure and become a determinant of the exit decision of the fund family. This study adopts three measures to evaluate peer pressure. One is whether the sample fund belongs to a star fund family, another is whether there exists a star fund with the same investment objective in the fund family as the sample fund, and the other is whether there exists at least one fund with the same investment objective in the fund family as the sample fund. Since there are three forms to delist a mutual fund - liquidation, within-family mergers, and across-family mergers, this study uses the multinomial logistic regression to examine the impact of peer pressure and other control variables on the probability of fund termination. This study empirically finds that the fund exit decision, especially the merger, is associated with the peer pressure within a fund family.Moreover, we find weak evidence that the effect of peer pressure on the fund exit decision is associated with the fund performance and fund flows. Specifically, funds with higher peer pressure are more likely to be merged if they experience a worse fund performance in the previous quarter or a net outflow over the last half year.參考文獻 Brown, D. P., & Wu, Y. (2016). Mutual fund flows and cross‐fund learning within families. The Journal of Finance, 71(1), 383-424.Brown, K. C., Harlow, W. V., & Starks, L. T. (1996). Of tournaments and temptations: An analysis of managerial incentives in the mutual fund industry. The Journal of Finance, 51(1), 85-110.Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82.Ding, B. (2006). Mutual fund mergers: A long-term analysis. Available at SSRN 912927.Elton, E. J., Gruber, M. J., & Blake, C. R. (1996). Survivorship bias and mutual fund performance. Review of Financial Studies, 9(Winter), 1097-1120.English, P., Demiralp, I., & Dukes, W. (2011). Mutual fund exit and mutual fund fees. The Journal of Law & Economics, 54(3), 723-749.Indro, D. C., Jiang, C. X., Hu, M. Y., & Lee, W. Y. (1999). Mutual fund performance: does fund size matter? Financial Analysts Journal, 55(3), 74-87.Investment Company Institute, 2020. 2020 Investment company fact book, a review of trends and activities in the U.S. Investment company industry.Jayaraman, N., Khorana, A., & Nelling, E. (2002). An analysis of the determinants and shareholder wealth effects of mutual fund mergers. The Journal of Finance, 57 (June), 1521-1551.Kane, A., Santini D. L., & Aber J. W. (1991). Lessons from the growth history of mutual funds. working paper, Boston University School of Management.Kempf, A., & Ruenzi, S. (2008). Tournaments in mutual-fund families. The Review of Financial Studies, 21(2), 1013-1036.Khorana, A., & Servaes, H. (2004). Conflicts of interest and competition in the mutual fund industry. Available at SSRN 240596.Khorana, A., Tufano, P., & Wedge, L. (2007). Board structure, mergers, and shareholder wealth: A study of the mutual fund industry. Journal of Financial Economics, 85(2), 571-598.LIN, L., Lee, C. F., & Kuo, H. C. (2013). Merger and acquisition: Definitions, motives, and market responses. Encyclopedia of finance, 541.Nanda, V., Wang, Z. J., & Zheng, L. (2004). Family values and the star phenomenon: Strategies of mutual fund families. The Review of Financial Studies, 17(3), 667-698.Patel, J., Zeckhauser R. J., & Hendricks D. (1994). Investment flows and performance: evidence from mutual funds, fross-border investments, and new issues,’’ in Satl R., Levitch R., and Ramachandran R. (eds.), Japan, Europe and the International Financial Markets: Analytical and Empirical Perspectives, Cambridge University Press, New York.Perold, A. F., & Salomon Jr, R. S. (1991). The right amount of assets under management. Financial Analysts Journal, 47(3), 31-39.Petajisto, A. (2013). Active share and mutual fund performance. Financial Analysts Journal, 69(4), 73-93.Piesse. J, LIN, L., Lee, C. F., & Kuo, H. C. (2013). Merger and acquisition: Definitions, motives, and market responses. Encyclopedia of finance, 541.Sirri, E., Tufano. P. (1992). Competition and change in the mutual fund industry. In: III Hayes S (ed) Financial services: Perspectives and challenges. Harvard Business School Press, Boston, 181-214.Smith, K. V., (1978). Is fund growth related to fund performance? Journal of Portfolio Management, 4(3), 49-54.Spritz, A. E. (1970). Mutual fund performance and cash inflow. Applied Economics, 2, 141-145.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.Zhao, X. (2005). Exit decisions in the US mutual fund industry. The Journal of Business, 78(4), 1365-1402. 描述 碩士
國立政治大學
財務管理學系
108357003資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108357003 資料類型 thesis dc.contributor.advisor 陳鴻毅 zh_TW dc.contributor.advisor Chen, Hong-Yi en_US dc.contributor.author (Authors) 林知誼 zh_TW dc.contributor.author (Authors) Lin, Chih-Yi en_US dc.creator (作者) 林知誼 zh_TW dc.creator (作者) Lin, Chih-Yi en_US dc.date (日期) 2021 en_US dc.date.accessioned 3-Jul-2021 00:38:27 (UTC+8) - dc.date.available 3-Jul-2021 00:38:27 (UTC+8) - dc.date.issued (上傳時間) 3-Jul-2021 00:38:27 (UTC+8) - dc.identifier (Other Identifiers) G0108357003 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136049 - 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) 108357003 zh_TW dc.description.abstract (摘要) 本研究旨在探討基金承受基金公司內部同儕競爭壓力是否成為基金公司做出基金終止決策之影響因子。本研究使用三種虛擬變數作為評估同儕壓力之量化因子，分別為基金是否屬於明星基金家族、基金家族是否有其他相同投資目標之明星基金以及基金家族是否有其他相同投資目標之基金。由於基金終止有三種形式，分別為清算、家族內合併及家族間合併，因此本研究採用多元羅吉斯回歸建構模型，探討同儕壓力及其他控制變數對基金終止機率的影響。除了比較控制變數與過往文獻之差異外，實證結果最主要的發現是家族內同儕壓力顯著為基金終止決策之因子，且比起清算，同儕壓力在合併之決策有更顯著的影響。部分實證結果亦發現，承受同儕壓力之基金若績效好則被合併的機率較低；若同時面臨同儕壓力與資金淨流出，對基金本身來說是雪上加霜的，會使其被合併的機率提升。其中，基金家族會依據基金前一季之績效以及基金之現金流量是否持續半年呈現淨流出作出其金終止之決策。 zh_TW dc.description.abstract (摘要) This study explores whether the peer competition among fund managers in a fund family will arouse peer pressure and become a determinant of the exit decision of the fund family. This study adopts three measures to evaluate peer pressure. One is whether the sample fund belongs to a star fund family, another is whether there exists a star fund with the same investment objective in the fund family as the sample fund, and the other is whether there exists at least one fund with the same investment objective in the fund family as the sample fund. Since there are three forms to delist a mutual fund - liquidation, within-family mergers, and across-family mergers, this study uses the multinomial logistic regression to examine the impact of peer pressure and other control variables on the probability of fund termination. This study empirically finds that the fund exit decision, especially the merger, is associated with the peer pressure within a fund family.Moreover, we find weak evidence that the effect of peer pressure on the fund exit decision is associated with the fund performance and fund flows. Specifically, funds with higher peer pressure are more likely to be merged if they experience a worse fund performance in the previous quarter or a net outflow over the last half year. en_US dc.description.tableofcontents Contents 0Chapter 1 Introduction 1Chapter 2 Literature Review 72.1 Forms of Mutual Fund Exit Decisions 72.2 Factor of Fund Termination 82.3 Peer Competition in the Fund Family 10Chapter 3 Data and Methodology 133.1 Data 133.2 Summary Statistics 153.3 Methodology 17Chapter 4 Empirical Results 194.1 Logit Model Estimates for Surviving Portfolio and Delisted Fund 194.2 Multinomial Logit Model Estimates for Liquidated Portfolio and Merged Portfolio 214.3 Multinomial Logit Model Estimates for Within-family Merger and Across-family Merger 23Chapter 5 Conclusion 265.1 Conclusion and Implications 265.2 Limitations and Future Work 28References 29Appendix 32 zh_TW dc.format.extent 4130036 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108357003 en_US dc.subject (關鍵詞) 共同基金 zh_TW dc.subject (關鍵詞) 終止決策 zh_TW dc.subject (關鍵詞) 同儕壓力 zh_TW dc.subject (關鍵詞) 同儕競爭 zh_TW dc.subject (關鍵詞) 基金清算 zh_TW dc.subject (關鍵詞) 基金合併 zh_TW dc.subject (關鍵詞) 明星基金 zh_TW dc.subject (關鍵詞) Fund liquidation en_US dc.subject (關鍵詞) Fund mergers en_US dc.subject (關鍵詞) Mutual funds en_US dc.subject (關鍵詞) Peer competition en_US dc.subject (關鍵詞) Peer pressure en_US dc.subject (關鍵詞) Star funds en_US dc.subject (關鍵詞) Termination decisions en_US dc.title (題名) 基金公司同儕競爭壓力對基金終止決策之影響 zh_TW dc.title (題名) The Effect of Peer Competition in Fund Families on Mutual Fund Exit Decisions en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Brown, D. P., & Wu, Y. (2016). Mutual fund flows and cross‐fund learning within families. The Journal of Finance, 71(1), 383-424.Brown, K. C., Harlow, W. V., & Starks, L. T. (1996). Of tournaments and temptations: An analysis of managerial incentives in the mutual fund industry. The Journal of Finance, 51(1), 85-110.Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82.Ding, B. (2006). Mutual fund mergers: A long-term analysis. Available at SSRN 912927.Elton, E. J., Gruber, M. J., & Blake, C. R. (1996). Survivorship bias and mutual fund performance. Review of Financial Studies, 9(Winter), 1097-1120.English, P., Demiralp, I., & Dukes, W. (2011). Mutual fund exit and mutual fund fees. The Journal of Law & Economics, 54(3), 723-749.Indro, D. C., Jiang, C. X., Hu, M. Y., & Lee, W. Y. (1999). Mutual fund performance: does fund size matter? Financial Analysts Journal, 55(3), 74-87.Investment Company Institute, 2020. 2020 Investment company fact book, a review of trends and activities in the U.S. Investment company industry.Jayaraman, N., Khorana, A., & Nelling, E. (2002). An analysis of the determinants and shareholder wealth effects of mutual fund mergers. The Journal of Finance, 57 (June), 1521-1551.Kane, A., Santini D. L., & Aber J. W. (1991). Lessons from the growth history of mutual funds. working paper, Boston University School of Management.Kempf, A., & Ruenzi, S. (2008). Tournaments in mutual-fund families. The Review of Financial Studies, 21(2), 1013-1036.Khorana, A., & Servaes, H. (2004). Conflicts of interest and competition in the mutual fund industry. Available at SSRN 240596.Khorana, A., Tufano, P., & Wedge, L. (2007). Board structure, mergers, and shareholder wealth: A study of the mutual fund industry. Journal of Financial Economics, 85(2), 571-598.LIN, L., Lee, C. F., & Kuo, H. C. (2013). Merger and acquisition: Definitions, motives, and market responses. Encyclopedia of finance, 541.Nanda, V., Wang, Z. J., & Zheng, L. (2004). Family values and the star phenomenon: Strategies of mutual fund families. The Review of Financial Studies, 17(3), 667-698.Patel, J., Zeckhauser R. J., & Hendricks D. (1994). Investment flows and performance: evidence from mutual funds, fross-border investments, and new issues,’’ in Satl R., Levitch R., and Ramachandran R. (eds.), Japan, Europe and the International Financial Markets: Analytical and Empirical Perspectives, Cambridge University Press, New York.Perold, A. F., & Salomon Jr, R. S. (1991). The right amount of assets under management. Financial Analysts Journal, 47(3), 31-39.Petajisto, A. (2013). Active share and mutual fund performance. Financial Analysts Journal, 69(4), 73-93.Piesse. J, LIN, L., Lee, C. F., & Kuo, H. C. (2013). Merger and acquisition: Definitions, motives, and market responses. Encyclopedia of finance, 541.Sirri, E., Tufano. P. (1992). Competition and change in the mutual fund industry. In: III Hayes S (ed) Financial services: Perspectives and challenges. Harvard Business School Press, Boston, 181-214.Smith, K. V., (1978). Is fund growth related to fund performance? Journal of Portfolio Management, 4(3), 49-54.Spritz, A. E. (1970). Mutual fund performance and cash inflow. Applied Economics, 2, 141-145.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.Zhao, X. (2005). Exit decisions in the US mutual fund industry. The Journal of Business, 78(4), 1365-1402. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100566 en_US
