政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/130525
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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/130525


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    题名: 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
    贡献者: 陳鴻毅
    Chen, Hong-Yi
    黃育琳
    Huang, Yu-Lin
    关键词: 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
    上传时间: 2020-07-01 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
    数据类型: thesis
    DOI: 10.6814/NCCU202000543
    显示于类别:[財務管理學系] 學位論文

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