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題名 基金屬性如何影響投資人買賣－以台灣境內股票型基金為例
How Fund` s Attributes Influence Investor` s Buy-and-Sell – Evidence from Taiwan Domiciled Equity Fund Markets作者 廖庭鋒
Liao, Ting Feng貢獻者 屠美亞
Twu, Mia
廖庭鋒
Liao, Ting Feng關鍵詞 基金屬性
台灣境內股票型基金
基金費用
週轉率
基金績效
fund attributes
Taiwan domiciled equity fund
fee structures
turnover ratios
fund performance日期 2015 上傳時間 15-二月-2016 10:06:29 (UTC+8) 摘要 The thesis focuses on how embedded fee structure components (i.e. brokerage commission, transaction fee, management fee, custodian fee), fund turnover ratios, past fund performance affect Investor’s Buy and Sell in Taiwan onshore equity fund markets. To facilitate the analysis, two models are developed: multi-variable regression model and panel fixed-effect model. Our dataset consists of 19,906 Taiwan domiciled equity fund monthly data from January 2010 to December 2014.For the fee structure, first, brokerage commission is significantly positive to both investor’s buy and sell. Second, transaction fee is negative to investor’s buy but positive to investor’s sell. Third, management fee is pronounced to investor’s buy, which may result from three facets: fund product signal, revenue-sharing mechanism, and performance-related compensation. Forth, custodian fee has little predictive power although the arguably results are explored from the two models. For the turnover ratios, we show that investors prefer buying funds with lower turnover ratios. For the past fund performance, we also reveal that the lure of past performance-chasing is significantly evident for both investor’s buy and sell.Through our studies, we also find several explanations from the viewpoints of irrationality of behavioral finance to illuminate fund investor’s buy and sell – representative heuristic, disposition effect, familiarity effect and home bias. 參考文獻 Ajay Khorana and Henri Servaes. (2004), ‘Conflicts of interest and competition in the mutual fund industry,’ Unpublished working paper.Ajay Khorana, Henri Servaes, and Peter Tufano. (2009), ‘Mutual fund fees around the world,’ The Review of Financial Studies, Vol. 22, No. 3, pp. 1279 –1310.Anat R. Admati and Paul Pfleiderer. (1988), ‘Selling and trading on information in financial markets,’ The American Economic Review, Vol. 78, No. 2, pp. 96 – 103.Brad M. Barber, Terrance Odean, and Lu Zheng (2000), ‘Out of sight, out of mind, the effects of expenses on mutual fund flows,’ Working paper.Brad M. Barber and Terrance Odean. (2000), ‘Trading is hazardous to your wealth: The common stock investment performance of individual investors.’ Journal of Finance, Vol. 55, No. 2, pp. 773 – 806.Bruce A. Costa and Gary E. Porter. (2003), ‘Mutual fund managers: Does longevity imply expertise?’ Journal of Economics and Finance, Vol. 27, No. 2, pp. 224 – 235.Burton G. Malkiel. (1995), ‘Returns from investing in equity mutual funds,’ Journal of Finance, Vol. 50, No. 2, pp. 549 – 572.Ching-Chang Wang, Chiulien C. Venezia. (2012), ‘The effect of market structure on mutual fund performance in Taiwan,’ International Business & Economics Research Journal, Vol. 2, No. 1, pp. 1 – 7.Christopher P. Clifford, Jon A. Fulkerson, Bradford D. Jordan, and Steve R. Waldman. (2011), ‘Do investors care about risk? Evidence from mutual fund flows,’ Social Science Research Network Working Paper Series.Cremers, K. J. Martijn and Jianping Mei. (2007), ‘Turning over turnover,’ Review of Financial Studies, Vol. 20, No.6, pp. 1749 – 1782. Daniel Bergstresser and James Poterba. (2002), ‘Do after-tax returns affect mutual fund inflows?’ Journal of Financial Economics, Vol. 63, No.3, pp. 381 – 414.Daniel Kahneman and Amos Tversky. (1979), ‘Prospect Theory: An Analysis of Decision under Risk,’ Econometrica, Vol. 47, No.2, pp. 263 – 292.Danilo Drago, Valter Lazzari, and Marco Navone. (2010). ‘Mutual fund incentive fees: Determinants and effects,’ Financial Management, Vol. 39, No.1, pp. 365 – 392.David A. Latzko. (1999), ‘Economies of Scale in Mutual Fund Administration,’ Journal of Financial Research, Vol.22, No.3, pp. 331 – 339.Edwin J. Elton , Martin J. Gruber , and Christopher R. Blake. (1999), ‘Common factors in active and passive portfolios,’ European Finance Review, Vol.3, No.1, pp. 53 – 78.Eric C. Chang and Wilbur G. Lewellen. (1984), ‘Market timing and mutual fund investment performance,’ Journal of Business, Vol. 57, No. 1, pp. 57 – 72.Erik R. Sirri and Peter Tufano. (1998), ‘Costly search and mutual fund flows,’ Journal of Finance, Vol.53, pp. 1589 – 1622.Gonzalo Rubio. (1995), ‘Further evidence on performance evaluation: Portfolio holdings, recommendations, and turnover costs,’ Review of Quantitative Finance and Accounting, Vol. LIII, No.5, pp. 127 – 153.Gunnar Lang. (2014), ‘Impact of the domiciliation decision on fund fees,’ macro attractiveness and micro decisions in the mutual fund industry, Vol.47, pp. 103 – 144.Guo Ying, Luo. (2002), ‘Mutual find fee-setting, market structure and mark-ups,’ Economica, ISSN 0013-0427, Vol.69, No.274, pp. 245 – 271.John A. Haslem, H. Kent Baker, and David M. Smith. (2007), ‘Identification and performance of equity mutual funds with high management fees and expense ratios,’ Journal of Investing, Vol.16, No.2, pp. 32 – 51.John D. Rea, Brian K. Reid, and Kimberlee W. Millar. (1999), ‘Operating expense ratios, assets, and economies of scale in equity mutual funds,’ Investment Company Institute, the national association of the American investment company industry.Judith Chevalier and Glenn Ellison. (1997), ‘Risk taking by mutual funds as a response to incentives,’ Journal of Political Economy, Vol.105, No.6, pp. 1167 – 1200.Karen Ruckman. (2003), ‘Expense ratios of North American mutual funds,’ The Canadian Journal of Economics, Vol.36, No.1, pp. 192 – 223.Kent Daniel, David Hirshleifer, and Avanidhar Subrahmanyam. (1998), ‘Investor psychology and security market under- and overreactions,’ Journal of Finance, Vol.53, No.6, pp. 1839 –1885.James D. Peterson, and Mark. W Riepe. (2007), ‘Does the turnover of an equity mutual fund matter?’ Journal of Financial Planning, Vol.20, No.8, pp. 32.Jayendu Patel, Richard J. Zeckhauser, Darryll Hendricks. (1994), ‘Investment flows and performance: Evidence from mutual funds, cross-border investments, and new issues,’ In: Ryuzo Sato, Rama V. Ramachandran, Richard M. Levich (Eds.), Japan, Europe, and International Financial Markets. Cambridge University Press, Cambridge. Chapter 4, pp. 51 – 72.Jiong Gong, Ping Jiang, and Shu Tian. (2014), ‘Contractual mutual fund governance: the case of China,’ Review of Quantitative Finance and Accounting, pp. 1 – 25.John A. Haslem. (2004), ‘Are mutual fund expenses too high? A commentary,’ Journal of Investing, Vol. 13, No. 2, pp. 8 – 12.Keith C. Brown, W. Van Harlow, and Laura T. Starks. (1996), ‘Of tournaments and temptations: an analysis of managerial incentives in the mutual fund,’ Journal of Finance, Vol. 51, No. 1, pp. 85 – 110.Louis K C Chan and Josef Lakonishok. (1995), ‘The behavior of stock prices around institutional trades,’ Journal of Finance, Vol. 50, No. 4, pp. 1147 – 1174.Lu Zheng. (1999), ‘Is money smart? A study of mutual fund investors` fund selection ability,’ Journal of Finance, Vol. 54, No. 3, pp. 901 – 933.Malhorta D.K. and R.W. McLeod. (1997), ‘An empirical analysis of mutual fund expenses,’ Journal of Financial Research, Vol. XX, NO.2, pp. 175 – 190.Mark Grinblatt and Sheridan Titman. (1994), ‘A study of monthly mutual fund returns and performance evaluation techniques,’ Journal of Financial and Quantitative Analysis, Vol. 29, No. 3, pp. 419 – 444.Mark M. Carhart. (1997), ‘On persistence in mutual fund performance,’ Journal of Finance, Vol. 52, No. 1, pp. 57 – 82.Martin J. Gruber. (1996), ‘Another puzzle: The growth in actively managed mutual funds,’ Journal of Finance, Vol. 51, No. 3, pp. 783 – 810.Michael L. Goldstein and Igor Krutov. (2000), ‘The future of money management in America,’ Bernstein Research Report.Monika K. Rabarison. (2015). ‘New insights into mutual fund brokerage commissions,’ Journal of Economics and Finance, Vol. XX, NO.2, pp. 1 – 22.Nicholas Barberis and Wei Xiong. (2009), ‘What drives the disposition effect? An analysis of a long-standing preference-based explanation,’ Journal of Finance, Vol. 64, No. 2, pp. 751 – 784.Pei-Gi Shu, Yin-Hua Yeh, and Takeshi Yamada. (2002), ‘The behavior of Taiwan mutual fund investors - performance and fund flows,’ Pacific-Basin Finance Journal, ISSN 0927-538X, 2002, Pacific-Basin Finance Journal, Vol.10, No.5, pp. 583 – 600.Pei-Gi Shu, Yin-Hua Yeh, Shean-Bii Chiu, and Hsuan-Chi Chen. (2005), ‘Are Taiwanese individual investors reluctant to realize their losses?’ Pacific-Basin Finance Journal, Vol.13, No.2, pp. 201 – 223.Rich Fortin and Stuart Michelson. (2010), ‘Mutual fund performance persistence: Still true?’ Academy of Accounting and Financial Studies Journal, Vol. 14, No. 4, pp. 29 – 41.Richard A. Ippolito. (1989), ‘Efficiency with costly information: A study of mutual fund performance 1965-1984,’ The Quarterly Journal of Economics, Vol. 104, No. 1, pp. 1 – 23.Richard A. Ippolito. (1992), ‘Consumer reaction to measures of poor quality: Evidence from the mutual fund industry,’ Journal of Law and Economics, Vol. 35, No.1, pp. 45 – 70.Richard J. Dowen and Thomas Mann. (2004), ‘Mutual fund performance, management behavior, investor costs,’ Financial Services Review, Vol. 13, No. 1, pp. 79 – 91.Roger Edelen, Richard Evans, and Gregory Kadlec. (2013), ‘Shedding light on "invisible" costs : trading costs and mutual fund performance,’ Financial Analysts Journal, Vol. 69, No.1, pp. 33 – 44.Roger Otten1 and Dennis Bams. (2002), ‘European mutual fund performance,’ European Financial Management, Vol.8, No.1, pp. 75 – 101.Sanjiv Ranjan Das and Rangarajan K. Sundaram. (2002), ‘Fee speech: Signaling, risk-sharing, and the impact of fee structures on investor welfare,’ Review of Financial Studies, Vol. 15, No. 5, pp. 1465 –1497.Stephen J. Brown and William N. Goetzmann. (1995), ‘Performance persistence,’ Journal of Finance, Vol. 50, No. 2, pp. 679 – 698.Stephen P. Ferris and Don M. Chance. (1987), ‘The Effect of 12b-1 Plans on Mutual Fund Expense Ratios: A Note,’ Journal of Finance, Vol. 42, No. 4, pp. 1077 – 1082.Sunil Wahal and Albert-Yan Wang. (2011), ‘Competition among mutual funds,’ Journal of Financial Economics, ISSN 0304-405X, Vol.99, No.1, pp. 40 – 59.Susan Christoffersen and David K. Musto. (2002), ‘Demand curves and the pricing of money management,’ Review of Financial Studies, Vol. 15, No. 5, pp. 1499 – 1524.Tarun Chordia. (1996), ‘The structure of mutual fund charges,’ Journal of Financial Economics, Vol. 41, No. 1, pp. 3 – 39.Terrance Odean. (1998), ‘Are investors reluctant to realize their losses?’ Journal of Finance, Vol. 53, No. 5, pp. 1775 – 1798.Todd Houge and Jay W. Wellman. (2007), ‘The use and abuse of mutual fund expenses,’ Journal of Business Ethics, Vol.70, No.1, pp. 23 – 32.Travis Sapp and Ashish Tiwari. (2004), ‘Does stock return momentum explain the “smart money” effect?’ Journal of Finance, Vol.59, No.6, pp. 2605 – 2622.Wilfred L. Dellva and Gerard T. Olson. (1998), ‘The relationship between mutual fund fees and expenses and their effects on performance,’ Financial Review, Vol. 33, No.1, pp. 85 – 104.William G. Droms and David A. Walker (2001), ‘Persistence of mutual fund operating characteristics: returns, turnover rates, and expense ratios,’ Applied Financial Economics, ISSN 0960-3107, Vol.11, No.4, pp. 457 – 466.William Goetzmann and Nadav Peles. (1997), ‘Cognitive dissonance and mutual fund investors,’ Journal of Financial Research, Vol. 20, No.2, pp. 145 – 148.Xiaohui Gao Bakshi and Miles Livingston. (2008), ‘The Components of Mutual Fund Fees,’ Financial Markets, Institutions & Instruments, Vol. 17, No.3, pp. 197 – 223.Xuemin Sterling, Yan. (2008), ‘Liquidity, investment style, and the relation between fund size and fund performance,’ Journal of Financial and Quantitative Analysis, Vol. 43, No. 3, pp. 741 – 767. 描述 碩士
國立政治大學
企業管理研究所(MBA學位學程)
102363064資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102363064 資料類型 thesis dc.contributor.advisor 屠美亞 zh_TW dc.contributor.advisor Twu, Mia en_US dc.contributor.author (作者) 廖庭鋒 zh_TW dc.contributor.author (作者) Liao, Ting Feng en_US dc.creator (作者) 廖庭鋒 zh_TW dc.creator (作者) Liao, Ting Feng en_US dc.date (日期) 2015 en_US dc.date.accessioned 15-二月-2016 10:06:29 (UTC+8) - dc.date.available 15-二月-2016 10:06:29 (UTC+8) - dc.date.issued (上傳時間) 15-二月-2016 10:06:29 (UTC+8) - dc.identifier (其他 識別碼) G0102363064 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/81253 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 企業管理研究所(MBA學位學程) zh_TW dc.description (描述) 102363064 zh_TW dc.description.abstract (摘要) The thesis focuses on how embedded fee structure components (i.e. brokerage commission, transaction fee, management fee, custodian fee), fund turnover ratios, past fund performance affect Investor’s Buy and Sell in Taiwan onshore equity fund markets. To facilitate the analysis, two models are developed: multi-variable regression model and panel fixed-effect model. Our dataset consists of 19,906 Taiwan domiciled equity fund monthly data from January 2010 to December 2014.For the fee structure, first, brokerage commission is significantly positive to both investor’s buy and sell. Second, transaction fee is negative to investor’s buy but positive to investor’s sell. Third, management fee is pronounced to investor’s buy, which may result from three facets: fund product signal, revenue-sharing mechanism, and performance-related compensation. Forth, custodian fee has little predictive power although the arguably results are explored from the two models. For the turnover ratios, we show that investors prefer buying funds with lower turnover ratios. For the past fund performance, we also reveal that the lure of past performance-chasing is significantly evident for both investor’s buy and sell.Through our studies, we also find several explanations from the viewpoints of irrationality of behavioral finance to illuminate fund investor’s buy and sell – representative heuristic, disposition effect, familiarity effect and home bias. en_US dc.description.tableofcontents Chapter 1 Introduction (1)1.1 Research Background (1)1.2 Research Motive (2)1.3 Research Objective (4)Chapter 2 Literature Review (7)2.1 About Mutual Fund Industry (7)2.1.1 Mutual Fund Market Structure (7)2.1.2 Fund Companies Pay to Play (9)2.1.3 Stories behind Mutual Fund Fee’s Expenses (10)2.2 Fee Structures on Investor Welfare (11)2.3 Turnover of an Equity Mutual Fund (13)2.4 Mutual Fund Performance Explanation (14)2.5 Hypotheses Development (16)Chapter 3 Methodology (20)3.1 Data and Sample Selection (20)3.2 Definition and Explanation of Variables (21)3.2.1 Fee Description (21)3.2.2 Control Variables (24)3.3 Research Methods (25)3.4 Model Specifications (28)3.5 Limitations (30) Chapter 4 Empirical Results (31)4.1 Summary of Descriptive Statistics (31)4.2 Correlation Coefficient (35)4.3 Regression Results and Findings (36)Chapter 5 Summary and Conclusions (47)5.1 Summary and Conclusions (47)5.2 Recommendations for Further Research (50)Reference (51) zh_TW dc.format.extent 1902802 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102363064 en_US dc.subject (關鍵詞) 基金屬性 zh_TW dc.subject (關鍵詞) 台灣境內股票型基金 zh_TW dc.subject (關鍵詞) 基金費用 zh_TW dc.subject (關鍵詞) 週轉率 zh_TW dc.subject (關鍵詞) 基金績效 zh_TW dc.subject (關鍵詞) fund attributes en_US dc.subject (關鍵詞) Taiwan domiciled equity fund en_US dc.subject (關鍵詞) fee structures en_US dc.subject (關鍵詞) turnover ratios en_US dc.subject (關鍵詞) fund performance en_US dc.title (題名) 基金屬性如何影響投資人買賣－以台灣境內股票型基金為例 zh_TW dc.title (題名) How Fund` s Attributes Influence Investor` s Buy-and-Sell – Evidence from Taiwan Domiciled Equity Fund Markets en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Ajay Khorana and Henri Servaes. (2004), ‘Conflicts of interest and competition in the mutual fund industry,’ Unpublished working paper.Ajay Khorana, Henri Servaes, and Peter Tufano. (2009), ‘Mutual fund fees around the world,’ The Review of Financial Studies, Vol. 22, No. 3, pp. 1279 –1310.Anat R. Admati and Paul Pfleiderer. (1988), ‘Selling and trading on information in financial markets,’ The American Economic Review, Vol. 78, No. 2, pp. 96 – 103.Brad M. Barber, Terrance Odean, and Lu Zheng (2000), ‘Out of sight, out of mind, the effects of expenses on mutual fund flows,’ Working paper.Brad M. Barber and Terrance Odean. (2000), ‘Trading is hazardous to your wealth: The common stock investment performance of individual investors.’ Journal of Finance, Vol. 55, No. 2, pp. 773 – 806.Bruce A. Costa and Gary E. Porter. (2003), ‘Mutual fund managers: Does longevity imply expertise?’ Journal of Economics and Finance, Vol. 27, No. 2, pp. 224 – 235.Burton G. Malkiel. (1995), ‘Returns from investing in equity mutual funds,’ Journal of Finance, Vol. 50, No. 2, pp. 549 – 572.Ching-Chang Wang, Chiulien C. Venezia. (2012), ‘The effect of market structure on mutual fund performance in Taiwan,’ International Business & Economics Research Journal, Vol. 2, No. 1, pp. 1 – 7.Christopher P. Clifford, Jon A. Fulkerson, Bradford D. Jordan, and Steve R. Waldman. (2011), ‘Do investors care about risk? Evidence from mutual fund flows,’ Social Science Research Network Working Paper Series.Cremers, K. J. Martijn and Jianping Mei. (2007), ‘Turning over turnover,’ Review of Financial Studies, Vol. 20, No.6, pp. 1749 – 1782. Daniel Bergstresser and James Poterba. (2002), ‘Do after-tax returns affect mutual fund inflows?’ Journal of Financial Economics, Vol. 63, No.3, pp. 381 – 414.Daniel Kahneman and Amos Tversky. (1979), ‘Prospect Theory: An Analysis of Decision under Risk,’ Econometrica, Vol. 47, No.2, pp. 263 – 292.Danilo Drago, Valter Lazzari, and Marco Navone. (2010). ‘Mutual fund incentive fees: Determinants and effects,’ Financial Management, Vol. 39, No.1, pp. 365 – 392.David A. Latzko. (1999), ‘Economies of Scale in Mutual Fund Administration,’ Journal of Financial Research, Vol.22, No.3, pp. 331 – 339.Edwin J. Elton , Martin J. Gruber , and Christopher R. Blake. (1999), ‘Common factors in active and passive portfolios,’ European Finance Review, Vol.3, No.1, pp. 53 – 78.Eric C. Chang and Wilbur G. Lewellen. (1984), ‘Market timing and mutual fund investment performance,’ Journal of Business, Vol. 57, No. 1, pp. 57 – 72.Erik R. Sirri and Peter Tufano. (1998), ‘Costly search and mutual fund flows,’ Journal of Finance, Vol.53, pp. 1589 – 1622.Gonzalo Rubio. (1995), ‘Further evidence on performance evaluation: Portfolio holdings, recommendations, and turnover costs,’ Review of Quantitative Finance and Accounting, Vol. LIII, No.5, pp. 127 – 153.Gunnar Lang. (2014), ‘Impact of the domiciliation decision on fund fees,’ macro attractiveness and micro decisions in the mutual fund industry, Vol.47, pp. 103 – 144.Guo Ying, Luo. (2002), ‘Mutual find fee-setting, market structure and mark-ups,’ Economica, ISSN 0013-0427, Vol.69, No.274, pp. 245 – 271.John A. Haslem, H. Kent Baker, and David M. Smith. (2007), ‘Identification and performance of equity mutual funds with high management fees and expense ratios,’ Journal of Investing, Vol.16, No.2, pp. 32 – 51.John D. Rea, Brian K. Reid, and Kimberlee W. Millar. (1999), ‘Operating expense ratios, assets, and economies of scale in equity mutual funds,’ Investment Company Institute, the national association of the American investment company industry.Judith Chevalier and Glenn Ellison. (1997), ‘Risk taking by mutual funds as a response to incentives,’ Journal of Political Economy, Vol.105, No.6, pp. 1167 – 1200.Karen Ruckman. (2003), ‘Expense ratios of North American mutual funds,’ The Canadian Journal of Economics, Vol.36, No.1, pp. 192 – 223.Kent Daniel, David Hirshleifer, and Avanidhar Subrahmanyam. (1998), ‘Investor psychology and security market under- and overreactions,’ Journal of Finance, Vol.53, No.6, pp. 1839 –1885.James D. Peterson, and Mark. W Riepe. (2007), ‘Does the turnover of an equity mutual fund matter?’ Journal of Financial Planning, Vol.20, No.8, pp. 32.Jayendu Patel, Richard J. Zeckhauser, Darryll Hendricks. (1994), ‘Investment flows and performance: Evidence from mutual funds, cross-border investments, and new issues,’ In: Ryuzo Sato, Rama V. Ramachandran, Richard M. Levich (Eds.), Japan, Europe, and International Financial Markets. Cambridge University Press, Cambridge. Chapter 4, pp. 51 – 72.Jiong Gong, Ping Jiang, and Shu Tian. (2014), ‘Contractual mutual fund governance: the case of China,’ Review of Quantitative Finance and Accounting, pp. 1 – 25.John A. Haslem. (2004), ‘Are mutual fund expenses too high? A commentary,’ Journal of Investing, Vol. 13, No. 2, pp. 8 – 12.Keith C. Brown, W. Van Harlow, and Laura T. Starks. (1996), ‘Of tournaments and temptations: an analysis of managerial incentives in the mutual fund,’ Journal of Finance, Vol. 51, No. 1, pp. 85 – 110.Louis K C Chan and Josef Lakonishok. (1995), ‘The behavior of stock prices around institutional trades,’ Journal of Finance, Vol. 50, No. 4, pp. 1147 – 1174.Lu Zheng. (1999), ‘Is money smart? A study of mutual fund investors` fund selection ability,’ Journal of Finance, Vol. 54, No. 3, pp. 901 – 933.Malhorta D.K. and R.W. McLeod. (1997), ‘An empirical analysis of mutual fund expenses,’ Journal of Financial Research, Vol. XX, NO.2, pp. 175 – 190.Mark Grinblatt and Sheridan Titman. (1994), ‘A study of monthly mutual fund returns and performance evaluation techniques,’ Journal of Financial and Quantitative Analysis, Vol. 29, No. 3, pp. 419 – 444.Mark M. Carhart. (1997), ‘On persistence in mutual fund performance,’ Journal of Finance, Vol. 52, No. 1, pp. 57 – 82.Martin J. Gruber. (1996), ‘Another puzzle: The growth in actively managed mutual funds,’ Journal of Finance, Vol. 51, No. 3, pp. 783 – 810.Michael L. Goldstein and Igor Krutov. (2000), ‘The future of money management in America,’ Bernstein Research Report.Monika K. Rabarison. (2015). ‘New insights into mutual fund brokerage commissions,’ Journal of Economics and Finance, Vol. XX, NO.2, pp. 1 – 22.Nicholas Barberis and Wei Xiong. (2009), ‘What drives the disposition effect? An analysis of a long-standing preference-based explanation,’ Journal of Finance, Vol. 64, No. 2, pp. 751 – 784.Pei-Gi Shu, Yin-Hua Yeh, and Takeshi Yamada. (2002), ‘The behavior of Taiwan mutual fund investors - performance and fund flows,’ Pacific-Basin Finance Journal, ISSN 0927-538X, 2002, Pacific-Basin Finance Journal, Vol.10, No.5, pp. 583 – 600.Pei-Gi Shu, Yin-Hua Yeh, Shean-Bii Chiu, and Hsuan-Chi Chen. (2005), ‘Are Taiwanese individual investors reluctant to realize their losses?’ Pacific-Basin Finance Journal, Vol.13, No.2, pp. 201 – 223.Rich Fortin and Stuart Michelson. (2010), ‘Mutual fund performance persistence: Still true?’ Academy of Accounting and Financial Studies Journal, Vol. 14, No. 4, pp. 29 – 41.Richard A. Ippolito. (1989), ‘Efficiency with costly information: A study of mutual fund performance 1965-1984,’ The Quarterly Journal of Economics, Vol. 104, No. 1, pp. 1 – 23.Richard A. Ippolito. (1992), ‘Consumer reaction to measures of poor quality: Evidence from the mutual fund industry,’ Journal of Law and Economics, Vol. 35, No.1, pp. 45 – 70.Richard J. Dowen and Thomas Mann. (2004), ‘Mutual fund performance, management behavior, investor costs,’ Financial Services Review, Vol. 13, No. 1, pp. 79 – 91.Roger Edelen, Richard Evans, and Gregory Kadlec. (2013), ‘Shedding light on "invisible" costs : trading costs and mutual fund performance,’ Financial Analysts Journal, Vol. 69, No.1, pp. 33 – 44.Roger Otten1 and Dennis Bams. (2002), ‘European mutual fund performance,’ European Financial Management, Vol.8, No.1, pp. 75 – 101.Sanjiv Ranjan Das and Rangarajan K. Sundaram. (2002), ‘Fee speech: Signaling, risk-sharing, and the impact of fee structures on investor welfare,’ Review of Financial Studies, Vol. 15, No. 5, pp. 1465 –1497.Stephen J. Brown and William N. Goetzmann. (1995), ‘Performance persistence,’ Journal of Finance, Vol. 50, No. 2, pp. 679 – 698.Stephen P. Ferris and Don M. Chance. (1987), ‘The Effect of 12b-1 Plans on Mutual Fund Expense Ratios: A Note,’ Journal of Finance, Vol. 42, No. 4, pp. 1077 – 1082.Sunil Wahal and Albert-Yan Wang. (2011), ‘Competition among mutual funds,’ Journal of Financial Economics, ISSN 0304-405X, Vol.99, No.1, pp. 40 – 59.Susan Christoffersen and David K. Musto. (2002), ‘Demand curves and the pricing of money management,’ Review of Financial Studies, Vol. 15, No. 5, pp. 1499 – 1524.Tarun Chordia. (1996), ‘The structure of mutual fund charges,’ Journal of Financial Economics, Vol. 41, No. 1, pp. 3 – 39.Terrance Odean. (1998), ‘Are investors reluctant to realize their losses?’ Journal of Finance, Vol. 53, No. 5, pp. 1775 – 1798.Todd Houge and Jay W. Wellman. (2007), ‘The use and abuse of mutual fund expenses,’ Journal of Business Ethics, Vol.70, No.1, pp. 23 – 32.Travis Sapp and Ashish Tiwari. (2004), ‘Does stock return momentum explain the “smart money” effect?’ Journal of Finance, Vol.59, No.6, pp. 2605 – 2622.Wilfred L. Dellva and Gerard T. Olson. (1998), ‘The relationship between mutual fund fees and expenses and their effects on performance,’ Financial Review, Vol. 33, No.1, pp. 85 – 104.William G. Droms and David A. Walker (2001), ‘Persistence of mutual fund operating characteristics: returns, turnover rates, and expense ratios,’ Applied Financial Economics, ISSN 0960-3107, Vol.11, No.4, pp. 457 – 466.William Goetzmann and Nadav Peles. (1997), ‘Cognitive dissonance and mutual fund investors,’ Journal of Financial Research, Vol. 20, No.2, pp. 145 – 148.Xiaohui Gao Bakshi and Miles Livingston. (2008), ‘The Components of Mutual Fund Fees,’ Financial Markets, Institutions & Instruments, Vol. 17, No.3, pp. 197 – 223.Xuemin Sterling, Yan. (2008), ‘Liquidity, investment style, and the relation between fund size and fund performance,’ Journal of Financial and Quantitative Analysis, Vol. 43, No. 3, pp. 741 – 767. zh_TW
