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| 研究生： |
黃育琳 Huang, Yu-Lin |
|---|---|
| 論文名稱： |
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 |
| 指導教授： |
陳鴻毅
Chen, Hong-Yi |
| 口試委員: |
楊曉文
Yang, Sheau-Wen 賴慧文 Lai, Whuei-Wen |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2020 |
| 畢業學年度： | 108 |
| 語文別： | 英文 |
| 論文頁數： | 40 |
| 中文關鍵詞： | 樂透型股票 、共同基金績效 、基金經理人 、選股能力 、從眾行為 |
| 外文關鍵詞： | Lottery stocks, Mutual fund performance, Fund managers, Skill of stock selection, Herding behavior |
| DOI URL： | http://doi.org/10.6814/NCCU202000543 |
| 相關次數： | 點閱：235 下載：3 |
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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.
中文摘要 I
Abstract II
List of Tables V
1. Introduction 1
2. Literature Review 4
2.1 Characteristics of lottery stocks 4
2.2 Funds with lottery characteristic 5
2.3 Stock selection skill of fund managers 5
2.4 Research questions 6
3. Data and Methodology 7
3.1 Data 7
3.1.1 Data sources 7
3.1.2 Variables 7
3.2 Measuring lottery-like characteristic (MAX of fund) 8
3.3 Institutional ownership 10
4. Empirical Results 11
4.1 Summary statistics 11
4.2 Determinants of lottery-like funds 12
4.3 Can increasing lottery stocks improve fund performance? 14
4.3.1 Examining the effect by the change of MAX 14
4.3.2 Examining the effect by the change of lottery and non-lottery stock holdings 14
4.4 Can the future performance be enhanced when underperformed funds increase lottery stock holdings? 16
4.4.1 Examining the effect by the interaction term of change of MAX and adjusted return 16
4.4.2 Examining the effect by the interaction term of lottery or non-lottery stock holdings and adjusted return 17
4.5 Do fund managers have the skill to select better lottery stocks? 19
5. Suggestions for Future Research 21
6. Conclusion 22
References 23
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