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題名 開放一般型股票基金之報酬與其現金流量關係之探討
The Relationship between Performance and Cash Flows of Open-end Equity Funds in Taiwan
作者 鄭秉倫
Jheng,Bing-lun
貢獻者 郭維裕
Kuo,Weiyu
鄭秉倫
Jheng,Bing-lun
關鍵詞 基金
基金報酬
現金流量
基金經理人
基金投資人
fund
fund performance
cash flow
fund manager
fund investor
日期 2003
上傳時間 11-Sep-2009 17:05:32 (UTC+8)
摘要 Pervious academic researches point out that there are two-way effects in the relationship between fund return performance and cash flows. The preceding fund return performance would attract net cash flows and cash flows would adversely affect the succeeding fund return performance. This paper tries to verify that whether these effects exist in Taiwan and examine these effects in more details. The results are partly consistent with pervious literatures. In our sample, we find that fund return performance positive influences both cash inflows and outflows and cash flows do affect succeeding return performance.
參考文獻 Blake, C. R., E. J. Elton, and M. J. Gruber, 1996, The Persistence of Risk-Adjusted Mutual Fund Performance, Journal of Business 69, 133-157.
Carhart, M. M., 1997, On Persistence in Mutual Fund Performance, Journal of Finance 52, 57-82.
Chan, L. K. C., N. Jegadeesh, and J. Lakonishok, 1996, Momentum Strategies, Journal of Finance 51, 1681-1713.
Chevalier, J., and G. Ellison, 1997, Risk-Taking by Mutual Funds as a Response to Incentives, Journal of Political Economy 105, 1167-1200.
Edelen, R. M., 1999, Investor Flows and the Assessed Performance of Open-End Mutual Funds, Journal of Financial Economics 53, 439-466.
Ferson, W. E., and R.W. Schadt, 1996, Measuring Fund Strategy and Performance in Changing Economic Conditions, Journal of Finance 51, 425-461.
Ferson, W. E., and V. A. Warther, 1996, Evaluating Fund Performance in a Dynamic Market, Financial Analysts Journal 52, 20-28.
Goetzman, W. N., and N. Peles, 1997, Cogintive Dissonance and Mutual Fund Investors, Working Paper, Yale School of Management.
Grinblatt, M., and S. D. Titman, 1992, The Persistence of Mutual Fund Performance, Journal of Finance 47, 1977-1984.
Grossman, S. J., 1976, On the Efficiency of Competitive Stock Markets Where Traders Have Diverse Information, Journal of Finance 31, 573-585.
Grossman, S. J., and J. E. Stiglitz, 1980, On the Impossibility of Informationally Efficient Markets, The American Economic Review 70, 393-408.
Gruber, M. J., 1996, Another Puzzle: the Growth of Actively Managed Mutual Funds, Journal of Finance 51, 783-810.
Jensen, M., 1968, The Performance of Mutual Funds in the Period 1945-1964, Journal of Finance 23, 389-416.
Lakonishok, J., A. Schleifer, and R. W. Vishny, 1994, Contrarian Investment, Extrapolation and Risk, Journal of Finance 49, 1541-1578.
Odean, T., 1998, Are Investors Reluctant to Realize Their Losses?, Journal of Finance 53, 1775-1798.
Shefrin, H., and M. Statman, 1985, The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence, Journal of Finance 40, 777-790.
Sirri, E. R., and P. Tufano, 1998, Costly Search and Mutual Fund Flows, Journal of Finance 53, 1589-1622.
Zheng, L., 1999, Is Money Smart? A Study of Mutual Fund Investors’ Fund Selection Ability, Journal of Finance 54, 901-933.
描述 碩士
國立政治大學
國際經營與貿易研究所
91351037
92
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0091351037
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.advisor Kuo,Weiyuen_US
dc.contributor.author (Authors) 鄭秉倫zh_TW
dc.contributor.author (Authors) Jheng,Bing-lunen_US
dc.creator (作者) 鄭秉倫zh_TW
dc.creator (作者) Jheng,Bing-lunen_US
dc.date (日期) 2003en_US
dc.date.accessioned 11-Sep-2009 17:05:32 (UTC+8)-
dc.date.available 11-Sep-2009 17:05:32 (UTC+8)-
dc.date.issued (上傳時間) 11-Sep-2009 17:05:32 (UTC+8)-
dc.identifier (Other Identifiers) G0091351037en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/30028-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易研究所zh_TW
dc.description (描述) 91351037zh_TW
dc.description (描述) 92zh_TW
dc.description.abstract (摘要) Pervious academic researches point out that there are two-way effects in the relationship between fund return performance and cash flows. The preceding fund return performance would attract net cash flows and cash flows would adversely affect the succeeding fund return performance. This paper tries to verify that whether these effects exist in Taiwan and examine these effects in more details. The results are partly consistent with pervious literatures. In our sample, we find that fund return performance positive influences both cash inflows and outflows and cash flows do affect succeeding return performance.zh_TW
dc.description.tableofcontents Abstract……………………………………………………………………01
     I.Introduction……………………………………………………………02
     II.Data…………………………………………………………………… 06
     III.Methodology………………………………………………………… 11
     IV.Empirical Results……………………………………………………19
     V.Conclusions…………………………………………………………… 28
     Appendix……………………………………………………………………30
     References…………………………………………………………………31
zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0091351037en_US
dc.subject (關鍵詞) 基金zh_TW
dc.subject (關鍵詞) 基金報酬zh_TW
dc.subject (關鍵詞) 現金流量zh_TW
dc.subject (關鍵詞) 基金經理人zh_TW
dc.subject (關鍵詞) 基金投資人zh_TW
dc.subject (關鍵詞) funden_US
dc.subject (關鍵詞) fund performanceen_US
dc.subject (關鍵詞) cash flowen_US
dc.subject (關鍵詞) fund manageren_US
dc.subject (關鍵詞) fund investoren_US
dc.title (題名) 開放一般型股票基金之報酬與其現金流量關係之探討zh_TW
dc.title (題名) The Relationship between Performance and Cash Flows of Open-end Equity Funds in Taiwanen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Blake, C. R., E. J. Elton, and M. J. Gruber, 1996, The Persistence of Risk-Adjusted Mutual Fund Performance, Journal of Business 69, 133-157.zh_TW
dc.relation.reference (參考文獻) Carhart, M. M., 1997, On Persistence in Mutual Fund Performance, Journal of Finance 52, 57-82.zh_TW
dc.relation.reference (參考文獻) Chan, L. K. C., N. Jegadeesh, and J. Lakonishok, 1996, Momentum Strategies, Journal of Finance 51, 1681-1713.zh_TW
dc.relation.reference (參考文獻) Chevalier, J., and G. Ellison, 1997, Risk-Taking by Mutual Funds as a Response to Incentives, Journal of Political Economy 105, 1167-1200.zh_TW
dc.relation.reference (參考文獻) Edelen, R. M., 1999, Investor Flows and the Assessed Performance of Open-End Mutual Funds, Journal of Financial Economics 53, 439-466.zh_TW
dc.relation.reference (參考文獻) Ferson, W. E., and R.W. Schadt, 1996, Measuring Fund Strategy and Performance in Changing Economic Conditions, Journal of Finance 51, 425-461.zh_TW
dc.relation.reference (參考文獻) Ferson, W. E., and V. A. Warther, 1996, Evaluating Fund Performance in a Dynamic Market, Financial Analysts Journal 52, 20-28.zh_TW
dc.relation.reference (參考文獻) Goetzman, W. N., and N. Peles, 1997, Cogintive Dissonance and Mutual Fund Investors, Working Paper, Yale School of Management.zh_TW
dc.relation.reference (參考文獻) Grinblatt, M., and S. D. Titman, 1992, The Persistence of Mutual Fund Performance, Journal of Finance 47, 1977-1984.zh_TW
dc.relation.reference (參考文獻) Grossman, S. J., 1976, On the Efficiency of Competitive Stock Markets Where Traders Have Diverse Information, Journal of Finance 31, 573-585.zh_TW
dc.relation.reference (參考文獻) Grossman, S. J., and J. E. Stiglitz, 1980, On the Impossibility of Informationally Efficient Markets, The American Economic Review 70, 393-408.zh_TW
dc.relation.reference (參考文獻) Gruber, M. J., 1996, Another Puzzle: the Growth of Actively Managed Mutual Funds, Journal of Finance 51, 783-810.zh_TW
dc.relation.reference (參考文獻) Jensen, M., 1968, The Performance of Mutual Funds in the Period 1945-1964, Journal of Finance 23, 389-416.zh_TW
dc.relation.reference (參考文獻) Lakonishok, J., A. Schleifer, and R. W. Vishny, 1994, Contrarian Investment, Extrapolation and Risk, Journal of Finance 49, 1541-1578.zh_TW
dc.relation.reference (參考文獻) Odean, T., 1998, Are Investors Reluctant to Realize Their Losses?, Journal of Finance 53, 1775-1798.zh_TW
dc.relation.reference (參考文獻) Shefrin, H., and M. Statman, 1985, The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence, Journal of Finance 40, 777-790.zh_TW
dc.relation.reference (參考文獻) Sirri, E. R., and P. Tufano, 1998, Costly Search and Mutual Fund Flows, Journal of Finance 53, 1589-1622.zh_TW
dc.relation.reference (參考文獻) Zheng, L., 1999, Is Money Smart? A Study of Mutual Fund Investors’ Fund Selection Ability, Journal of Finance 54, 901-933.zh_TW