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| 研究生： |
李韋萱 Lee, Wei-Hsuan |
|---|---|
| 論文名稱： |
共同基金資金流向與積極管理之研究－以美國股票型基金為例 Mutual Fund Flow and Active Management: Evidence from U.S. Equity Funds |
| 指導教授： | 陳鴻毅 |
| 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： | 2018 |
| 畢業學年度： | 106 |
| 語文別： | 英文 |
| 論文頁數： | 40 |
| 中文關鍵詞： | 積極比率 、積極管理 、資金流向 |
| 外文關鍵詞： | Active share, Active management, Fund flow |
| DOI URL： | http://doi.org/10.6814/THE.NCCU.Finance.002.2018.F07 |
| 相關次數： | 點閱：104 下載：8 |
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本研究主要探討基金經理人在面臨資金流入或流出時，是否能夠有效率地管理資產。利用基金的積極比率來衡量基金經理人資產配置的效率性，本研究發現基金資金的流入及流出皆會使得基金的積極比率上升，且基金資金流入時積極比率的上升幅度較大。此結果顯示基金經理人在面臨投資者贖回基金的情況下，較無法有效率地管理資產。此外，在面臨前一期資金大幅流入或流出時，無論經理人是否能有效率的管理資產，皆無法在未來持續創造超額報酬。
This study investigates whether the mutual fund manager can manage assets in an efficient way. Using active share as a measure of the efficiency of asset allocation for a mutual fund, this study finds that the active share of a mutual fund increases if the fund experiences an inflow or an outflow. Specifically, the active share is more sensitive to fund inflow than outflow, indicating, relative to obtaining more funds from investors, the fund manager cannot efficiently manage their assets when he faces the redemption of investors. Furthermore, there is no performance persistence in mutual funds. If the fund experienced an inflow or an outflow, whether the mutual fund managers manage assets in an efficient way, it is difficult for fund managers to outperform the markets in the future.
摘要 I
Abstract II
Contents III
List of tables V
List of figures VI
1. Introduction 1
2. Literature review 2
2.1 Active share 2
2.2 Active management 3
2.3 Fund flow 4
2.4 Hypothesis development 6
3. Data and methodology 7
3.1 Data on mutual fund 7
3.2 Data on active share 8
3.3 Sample selection 10
3.4 Data process 10
3.5 Methodology 13
4. Empirical results 14
4.1 Active share and flow 14
4.2 Regression model for flow 15
4.3 Regression model for inflow and outflow 18
4.4 Performance and flow 19
4.5 Past performance, current active share and future performance 20
5. Conclusion and further research 22
References 24
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