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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/111451


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    題名: 共同基金績效持續性與聰明錢效果之探討
    The persistency of mutual fund performance and the smart money effect
    作者: 王品雯
    Wang, Pin Wen
    貢獻者: 陳鴻毅
    Chen, Hong Yi
    王品雯
    Wang, Pin Wen
    關鍵詞: 基金持續性
    基金績效
    基金流量
    聰明錢效果
    Fund persistency
    Fund performance
    Fund flow
    Smart money effect
    日期: 2017
    上傳時間: 2017-07-31 10:58:11 (UTC+8)
    摘要: 本研究主要探討共同基金績效持續性是否存在，及績效持續性之效果是否會影響基金流量及未來績效。本研究利用1992至2015年間美國共同基金進行實證研究，結果驗證了基金具有績效持續性。進一步的實證結果顯示，在基金具有贏家績效持續性下，其未來一年內基金流量有顯著成長，然若為輸家績效持續性的基金，僅在未來三個月內基金流量顯著流出。此外，在贏家持續性且基金三個月、六個月及十二個月有正向流量下，投資人在未來三個月、六個月及十二個月皆有顯著超額報酬，此即顯示聰明錢效果存在。因此，本研究建議投資人能在觀察到基金具贏家績效持續性，且流量顯著流入下，增加基金持有，以獲超額報酬。
    The main purpose of this study is to investigate whether the performance persistency exists among equity mutual funds and if the performance persistency is significantly associated with fund flows and future performance. Using mutual funds in U.S. from 1992 to 2015 as the sample, this study confirms the persistency of mutual fund performance. In addition, this study shows that persistent winner funds can generate more fund inflows one year subsequent to the persistency, while persistent loser funds experience a significant outflows in the following three months. This study further finds that, consistent with the smart money effect, persistent winner funds with significant 3-month, 6-month and 12-month fund inflows can continue outperform the market in the following 3 months, 6 months and 12 months. Therefore, this study suggests investors investing persistent winner funds with significant money inflows to generate higher excess returns.
    參考文獻: Brown, S. J., & Goetzmann, W. N. (1995). “Performance Persistence,” Journal of Finance, 50(2), 679-698.
    Carhart, M. M. (1997). “On Persistence in Mutual Fund Performance,” Journal of Finance, 52(1), 57-82.
    Carlson, R. S. (1970). “Aggregate Performance of Mutual Funds,” Journal of Financial and Quantitative Analysis, 5, 1-32.
    Chevalier, J., & Ellison, G. (1997). “Risk Taking by Mutual Funds as a Response to Incentives,” Journal of Political Economy, 105(6), 1167-1200.
    Goetzmann, W. N., & Ibbotson, R. G. (1994). “Do Winners Repeat?” Journal of Portfolio Management, 20(2), 9-18.
    Grinblatt, M., & Titman, S. (1992). “The Persistence of Mutual Fund Performance,” Journal of Finance, 47(5), 1977-1984.
    Gruber, M. J. (1996). “Another Puzzle: The Growth in Actively Managed Mutual Funds,” Journal of Finance, 51(3), 783-810.
    Hendricks, D., Patel, J., & Zeckhauser, R. (1993). “Hot Hands in Mutual Funds: Short‐run Persistence of Relative Performance, 1974-1988,” Journal of Finance, 48(1), 93-130.
    Ippolito, R. A. (1992). “Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry,” Journal of Law and Economics, 35(1), 45-70.
    Jain, P. C., & Wu, J. S. (2000). “Truth in Mutual Fund Advertising: Evidence on Future Performance and Fund Flows,” Journal of Finance, 55(2), 937-958.
    Jegadeesh, N., & Titman, S. (1993). “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, 48(1), 65-91.
    Jensen, M. C. (1968). “The Performance of Mutual Funds in the Period 1945-1964,” Journal of Finance, 23(2), 389-416.
    Keswani, A., & Stolin, D. (2008). “Which Money Is Smart? Mutual Fund Buys and Sells of Individual and Institutional Investors,” Journal of Finance, 63(1), 85-118.
    Lynch, A. W., & Musto, D. K. (2003). “How Investors Interpret Past Fund Returns,” Journal of Finance, 59(6), 2605-2622.
    Sapp, T., & Tiwari, A. (2004). “Does Stock Return Momentum Explain the “Smart Money” Effect?” Journal of Finance, 59(6), 2605-2622.
    Sharpe, W. F. (1966). “Mutual Fund Performance,” Journal of Business, 39(1), 119-138.
    Shu, P. G., Yeh, Y. H., & Yamada, T. (2002). “The Behavior of Taiwan Mutual Fund Investors-Performance and Fund Flows,” Pacific-Basin Finance Journal, 10(5), 583-600.
    Sirri, E. R., & Tufano, P. (1993). “Buying and Selling Mutual Funds: Flows, Performance, Fees, and Services,” Working paper, Harvard Business School.
    Sirri, E. R., & Tufano, P. (1998). “Costly Search and Mutual Fund Flows,” Journal of Finance, 53(5), 1589-1622.
    Smith, K. V. (1978). “Is Fund Growth Related to Fund Performance?” Journal of Portfolio Management, 4(3), 49-54.
    Williamson, J. P. (1972). “Measurement and Forecasting of Mutual Fund Performance: Choosing an Investment Strategy,” Financial Analysts Journal, 78-84.
    Zheng, L. (1999). “Is Money Smart? A Study of Mutual Fund Investors’ Fund Selection Ability,” Journal of Finance, 54(3), 901-933.
    描述: 碩士
    國立政治大學
    財務管理研究所
    104357033
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0104357033
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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