政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/130996
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113451/144438 (79%)
造訪人次 : 51249478      線上人數 : 877
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/130996


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/130996


    題名: 基金文獻探討
    Literature Review of Fund Industry
    作者: 何柏勳
    Ho, Po-Hsun
    貢獻者: 林靖庭
    林士貴
    Lin, Ching-Ting
    Lin, Shih-Kuei
    何柏勳
    Ho, Po-Hsun
    關鍵詞: 共同基金
    避險基金
    基金能力
    代理人問題
    基金經理人
    Mutual fund
    Hedge fund
    Skills of fund
    Agency problem
    Fund manager
    日期: 2020
    上傳時間: 2020-08-03 17:39:24 (UTC+8)
    摘要: 本論文統整基金相關文獻。指數型基金讓成份股共同漲跌，且增加了波動性。他們短期能增加低流動性股票的價格效率，但長期會使股票價格效率降低。避險基金像是共同基金的加強版，他們有更好的報酬，更少的政府規範，吸引頂尖的基金人才。大部分避險基金表現反週期行為，而大多共同基金因須保持流動性，表現動量行為。雖然平均而言基金沒有帶來超額報酬，但基金表現出不同的能力指標。我討論了有能力的基金的特徵，以及他們在景氣循環中不同的行為。資訊對基金產業是非常重要的，學習學術界資訊和反應時間短的能夠獲利。有不少文獻討論基金透過借貸資訊、公司內部人員、關說團體獲得外洩的資訊。在基金經理人層面，有能力的經理人大多畢業於好的大學，擁有理工背景並有個勇敢的個性。雖然他們沒有如零售投資人的注意力購買行為，但他們仍有有限的注意力。他們會被密集的營收報告、自己結婚、離婚、甚至當地天氣影響。機構投資人和零售投資人的行為偏誤，讓基金有機會利用，產生代理人問題。零售投資人的行為偏誤可能來自於智商和基因，但經由財經教育，可以減少行為偏誤。對機構投資人，他們的借貸資訊和交易資訊可能被基金所利用。最後，討論現代的基金趨勢。量化基金雖然跟傳統基金沒有明顯的報酬差異，但他們對於風險因子的曝險較少。單日文字情感分析對接下來兩日報酬有影響，而負面情緒的影響持續較正面的久。高頻交易的利潤與相對反應延遲有關係，所以這幾年速度競爭越來越激烈，造成高的進入障礙。
    This article review literature about the fund industry. Exchange-Traded Funds (ETFs) make the constituent stocks comove more and introduce new volatility. They increase price efficiency for illiquid stocks in the short run, but lower price efficiency in the long run. Hedge funds are like “mutual fund on steroid”, they have better performance, less regulation, and attract talented managers. Most hedge funds act contrarian compare to the most of mutual funds fit momentum trading because of liquidity requirements. Than discuss on average lack of alpha of funds, the skill difference persists among the funds, the characteristic of skilled funds, and how skilled funds act differently in the booming and recession. Information is the key to performance. Investors who fully utilize academy research and better reaction speed will bring a better return. There is possible information leakage. They may through the linkage of loan information, corporate insiders, and lobbyists. At the manager level, the good funds’ managers may graduate from a good university, have a STEM degree, and maybe a brave personality. But they do have limited attention that can be distracted by multiple earning announcement, their marriage, and divorce, even influence by local weather. The behavioral biases of retail and institutional investors are different and can be exploited by funds, create agency problems. The behavioral bias for retail investors may root from IQ and genes but can be reduced by financial education. For institutional investors, the loan information and trading information can be exploited by funds. Last, the modern trend of funds. Though quant funds do not perform differently from traditional funds, they have a lesser exposure to risk factors. The daily sentiment has two days of momentum, negative sentiment persists longer than positive sentiment. The profit of the HFT industry links to relative latency, thus have a brutal latency war over the years and have a high entry barrier.
    參考文獻: Andreu, Laura, and Alexander Puetz, 2017, Choosing two business degrees versus choosing one: What does it tell about mutual fund managers’ investment behavior?, Journal of Business Research 75, 138–146.
    Anufriev, Mikhail, Te Bao, Angela Sutan, and Jan Tuinstra, 2019, Fee structure and mutual fund choice: An experiment, Journal of Economic Behavior & Organization 158, 449–474.
    Aragon, George O., J. Spencer Martin, and Zhen Shi, 2019, Who benefits in a crisis? Evidence from hedge fund stock and option holdings, Journal of Financial Economics 131, 345–361.
    Barber, Brad M., and Terrance Odean, 2008, All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors, Review of Financial Studies 21, 785–818.
    Barber, Brad M., and Terrance Odean, 2013, The Behavior of Individual Investors, Handbook of the Economics of Finance (Elsevier).
    Baron, Matthew, Jonathan Brogaard, Björn Hagströmer, and Andrei Kirilenko, 2019, Risk and Return in High-Frequency Trading, Journal of Financial and Quantitative Analysis 54, 993–1024.
    Basak, Suleyman, and Anna Pavlova, 2013, Asset Prices and Institutional Investors, American Economic Review 103, 1728–1758.
    Ben‐David, Itzhak, Francesco Franzoni, and Rabih Moussawi, 2018, Do ETFs Increase Volatility?, The Journal of Finance 73, 2471–2535.
    Berk, Jonathan B., and Jules H. van Binsbergen, 2015, Measuring skill in the mutual fund industry, Journal of Financial Economics 118, 1–20.
    Bodnaruk, Andriy, and Andrei Simonov, 2016, Loss-Averse Preferences, Performance, and Career Success of Institutional Investors, Review of Financial Studies 29, 3140–3176.
    Broman, Markus S., 2016, Liquidity, style investing and excess comovement of exchange-traded fund returns, Journal of Financial Markets 30, 27–53.
    Cao, Charles, Bradley A. Goldie, Bing Liang, and Lubomir Petrasek, 2016, What Is the Nature of Hedge Fund Manager Skills? Evidence from the Risk-Arbitrage Strategy, Journal of Financial and Quantitative Analysis 51, 929–957.
    Chen, Huaizhi, Lauren Cohen, Umit Gurun, Dong Lou, and Christopher Malloy, 2020, IQ from IP: Simplifying Search in Portfolio Choice, Journal of Financial Economics.
    Chen, Rui, Zhennan Gao, Xueyong Zhang, and Min Zhu, 2018, Mutual Fund Managers’ Prior Work Experience and Their Investment Skill, Financial Management 47, 3–24.
    Chordia, Tarun, Richard Roll, and Avanidhar Subrahmanyam, 2005, Evidence on the speed of convergence to market efficiency, Journal of Financial Economics 76, 271–292.
    Crane, Alan D., and Kevin Crotty, 2018, Passive versus Active Fund Performance: Do Index Funds Have Skill?, Journal of Financial and Quantitative Analysis 53, 33–64.
    Cronqvist, Henrik, and Stephan Siegel, 2014, The genetics of investment biases, Journal of Financial Economics 113, 215–234.
    Del Guercio, Diane, Egemen Genç, and Hai Tran, 2018, Playing favorites: Conflicts of interest in mutual fund management, Journal of Financial Economics 128, 535–557.
    Dichev, Ilia D., and Gwen Yu, 2011, Higher risk, lower returns: What hedge fund investors really earn, Journal of Financial Economics 100, 248–263.
    Dyck, Alexander, Karl V. Lins, and Lukasz Pomorski, 2013, Does Active Management Pay? New International Evidence, The Review of Asset Pricing Studies 3, 200–228.
    Edelen, Roger M., Ozgur S. Ince, and Gregory B. Kadlec, 2016, Institutional investors and stock return anomalies, Journal of Financial Economics 119, 472–488.
    Evans, Richard B., and Rüdiger Fahlenbrach, 2012, Institutional Investors and Mutual Fund Governance: Evidence from Retail–Institutional Fund Twins, The Review of Financial Studies 25, 3530–3571.
    Fichtner, Jan, 2019, The Rise of Institutional Investors. Preprint, SocArXiv.
    Fichtner, Jan, Eelke M. Heemskerk, and Javier Garcia-Bernardo, 2017, Hidden power of the Big Three? Passive index funds, re-concentration of corporate ownership, and new financial risk†, Business and Politics 19, 298–326.
    French, Kenneth R., 2008, Presidential Address: The Cost of Active Investing, The Journal of Finance 63, 1537–1573.
    Gao, Meng, and Jiekun Huang, 2016, Capitalizing on Capitol Hill: Informed trading by hedge fund managers, Journal of Financial Economics 121, 521–545.
    Glosten, Lawrence, Suresh Nallareddy, and Yuan Zou, 2020, ETF Activity and Informational Efficiency of Underlying Securities, Management Science.
    Goetzmann, William N., Dasol Kim, Alok Kumar, and Qin Wang, 2015, Weather-Induced Mood, Institutional Investors, and Stock Returns, Review of Financial Studies 28, 73–111.
    Griffin, John M., Tao Shu, and Selim Topaloglu, 2012, Examining the Dark Side of Financial Markets: Do Institutions Trade on Information from Investment Bank Connections?, The Review of Financial Studies 25, 2155–2188.
    Grinblatt, Mark, Seppo Ikäheimo, Matti Keloharju, and Samuli Knüpfer, 2015, IQ and Mutual Fund Choice, Management Science 62, 924–944.
    Grinblatt, Mark, Gergana Jostova, Lubomir Petrasek, and Alexander Philipov, 2020, Style and Skill: Hedge Funds, Mutual Funds, and Momentum, Management Science.
    Guercio, Diane Del, and Jonathan Reuter, 2014, Mutual Fund Performance and the Incentive to Generate Alpha, The Journal of Finance 69, 1673–1704.
    Harvey, Campbell R., Sandy Rattray, Andrew Sinclair, and Otto Van Hemert, 2017, Man vs. Machine: Comparing Discretionary andSystematic Hedge Fund Performance, The Journal of Portfolio Management 43, 55–69.
    Hendershott, Terrence, Dmitry Livdan, and Norman Schürhoff, 2015, Are institutions informed about news?, Journal of Financial Economics 117, 249–287.
    Heston, Steven L., and Nitish Ranjan Sinha, 2017, News vs. Sentiment: Predicting Stock Returns from News Stories, Financial Analysts Journal 73, 67–83.
    Hu, Grace Xing, Jun Pan, and Jiang Wang, 2017, Early peek advantage? Efficient price discovery with tiered information disclosure, Journal of Financial Economics 126, 399–421.
    Ibbotson, Roger G., Peng Chen, and Kevin X. Zhu, 2011, The ABCs of Hedge Funds: Alphas, Betas, and Costs, Financial Analysts Journal 67, 15–25.
    Investment Company Institute, 2019, 2019 Investment Company Fact Book.
    Israeli, Doron, Charles M. C. Lee, and Suhas A. Sridharan, 2017, Is there a dark side to exchange traded funds? An information perspective, Review of Accounting Studies 22, 1048–1083.
    Ivashina, Victoria, and Zheng Sun, 2011, Institutional stock trading on loan market information, Journal of Financial Economics 100, 284–303.
    James, Christopher, and Jason Karceski, 2006, Investor monitoring and differences in mutual fund performance, Journal of Banking & Finance 30, 2787–2808.
    Kacperczyk, Marcin, Stijn Van Nieuwerburgh, and Laura Veldkamp, 2014, Time-Varying Fund Manager Skill, The Journal of Finance 69, 1455–1484.
    Kang, Byoung Uk, Jin-Mo Kim, Oded Palmon, and Zhaodong Zhong, 2020, Are college education and job experience complements or substitutes? Evidence from hedge fund portfolio performance, Review of Quantitative Finance and Accounting 54, 1247–1278.
    Kaplan, Steven N., and Joshua Rauh, 2010, Wall Street and Main Street: What Contributes to the Rise in the Highest Incomes?, The Review of Financial Studies 23, 1004–1050.
    Kostovetsky, Leonard, 2017, Brain Drain: Are Mutual Funds Losing Their Best Minds?, Quarterly Journal of Finance 07, 1750009.
    Kurov, Alexander, Alessio Sancetta, Georg Strasser, and Marketa Halova Wolfe, 2019, Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements?, Journal of Financial and Quantitative Analysis 54, 449–479.
    Levy, Ariel, and Offer Lieberman, 2013, Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading, Journal of Banking & Finance 37, 1412–1421.
    Lewellen, Jonathan, 2011, Institutional investors and the limits of arbitrage, Journal of Financial Economics 102, 62–80.
    Lim, Jongha, Berk A. Sensoy, and Michael S. Weisbach, 2016, Indirect Incentives of Hedge Fund Managers, The Journal of Finance 71, 871–918.
    Lu, Yan, Sugata Ray, and Melvyn Teo, 2016, Limited attention, marital events and hedge funds, Journal of Financial Economics 122, 607–624.
    Maggio, Marco Di, Francesco Franzoni, Amir Kermani, and Carlo Sommavilla, 2019, The relevance of broker networks for information diffusion in the stock market, Journal of Financial Economics 134, 419–446.
    Manconi, Alberto, Massimo Massa, and Ayako Yasuda, 2012, The role of institutional investors in propagating the crisis of 2007–2008, Journal of Financial Economics 104, 491–518.
    McCarthy, David, and Brian Wong, 2020, Hedge Funds Versus Hedged Mutual Funds: An Examination of Long/Short Funds; A Performance Update. SSRN Scholarly Paper, Social Science Research Network, Rochester, NY.
    Mclean, R. David, and Jeffrey Pontiff, 2016, Does Academic Research Destroy Stock Return Predictability?, The Journal of Finance 71, 5–32.
    Puckett, Andy, and Xuemin Sterling Yan, 2011, The Interim Trading Skills of Institutional Investors, The Journal of Finance 66, 601–633.
    Roussanov, Nikolai, Hongxun Ruan, and Yanhao Wei, 2018, Marketing Mutual Funds. Working Paper. Working Paper Series, National Bureau of Economic Research.
    Salganik-Shoshan, Galla, 2015, Investment Flows: Retail versus Institutional Mutual Funds. SSRN Scholarly Paper, Social Science Research Network, Rochester, NY.
    Schmidt, Daniel, 2019, Distracted Institutional Investors, Journal of Financial and Quantitative Analysis 54, 2453–2491.
    SIFMA, 2019, SIFMA Capital Markets Fact Book, 2019, Securities Industry and Financial Markets Association.
    Silver, Nicholas, 2017, Blindness to risk: why institutional investors ignore the risk of stranded assets, Journal of Sustainable Finance & Investment 7, 99–113.
    Smith, David M., Na Wang, Ying Wang, and Edward J. Zychowicz, 2016, Sentiment and the Effectiveness of Technical Analysis: Evidence from the Hedge Fund Industry, Journal of Financial and Quantitative Analysis 51, 1991–2013.
    Sun, Zheng, Ashley W. Wang, and Lu Zheng, 2018, Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions, Journal of Financial and Quantitative Analysis 53, 2199–2225.
    Willis Towers Watson, 2019, The world’s largest fund managers - 2019. Thinking Ahead Institute.
    World Bank, 2019, Gross domestic product 2018. World Development Indicators database.
    描述: 碩士
    國立政治大學
    金融學系
    107352030
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0107352030
    資料類型: thesis
    DOI: 10.6814/NCCU202001043
    顯示於類別:[金融學系] 學位論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    203001.pdf1662KbAdobe PDF297檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋