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研究生:翁林聖
研究生(外文):Lin-Sheng Weng
論文名稱:新基金之實証分析
論文名稱(外文):New Mutual Fund Analysis
指導教授:賴慧文賴慧文引用關係
指導教授(外文):Christine W. Lai
學位類別:碩士
校院名稱:元智大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:英文
論文頁數:37
中文關鍵詞:基金家族新基金基金經理人排擠效果
外文關鍵詞:Fund FamilyNew FundFund ManagerCrowding-out Effect
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我們檢驗了在美國共同基金市場從1993年到2004年,由60大基金家族所發行的2510支股票型新基金。首先,我們發現,大體而言新基金的長期績效勝過短期績效,但皆輸給S&P500指數大盤報酬。其次,實證結果證明排擠效果存在於同一基金家族中,意即新基金流量改變與其他同類型舊基金績效好壞具有負相關。此外我們討論基金家族常運用經理人轉移策略來扶植新基金,結果發現若經理人最近的管理經驗是與新基金不同類別的基金,其可能會產生正的報酬。但不論經理人來源為何都不能帶入新資金流入。最後,我們藉由新基金成立的因素來檢驗新基金短期與長期績效,並且對投資人與對基金家族提出一些建議。冀望藉由本文深入的分析能夠降低投資人與基金家族間資訊不對稱問題。
We examine 2510 equity new funds opened by top 60 fund families over the period 1993-2004 in the American mutual fund market. First, we find that overall report the long-term performance is better than short-term, but the performances of all groups were worse than S&P500 index return. Second, empirical result proves the crowding-out effect exists in the same fund family, that means it exists negative relationship between the flow change of new fund and the performance of other similar objective seasoned funds. In addition, we discuss the prevalence of cross-fund subsidization strategy which is fund families usually manipulate fund manager switch strategy to support new fund. Our empirical evidence shows that if the last experience of new fund manager comes from other irrelevant objective funds, its return might be positive. But no matter how new fund manager source, they don’t bring new money into family. Finally, we use the determinants of a fund opening to examine the short-term and long-term performance of new funds, and that we raise some suggestions for general investors and fund family. Furthermore, we hope to reduce the asymmetric information between general investors and fund family by our brief analysis.
CONTENTS

1. INTRODUCTION 1
2. LITERATURE REVIEW 2
3. HYPOTHESES 5
4. DATA 7
4.1 SUMMARY STATISTICS 8
4.2 SHORT-TERM AND LONG-TERM PERFORMANCE OF THE NEW FUNDS 9
4.3 METHODOLOGY AND DEFINITION OF VARIABLES 10
5. EMPIRICAL RESULTS 17
5.1 EXIST IN CROWDING-OUT EFFECT 18
5.2 NEW FUND MANAGER SWITCH 19
5.3 EXAMINE THE 1-YEAR AND 3-YEAR PERFORMANCE OF NEW FUNDS 20
6. CONCLUSIONS 22
REFERENCES 24
References

Chih-Hsten Yu and Wang-Tsung Tzeng, 2003, “The Spillover and Crowding-out Effect of Mutual Funds”, Journal of Financial Studies 2, 1-38.

Jose-Miguel Gaspar, Massimo Massa, and Pedro Matos, 2006, “Favoritism in Mutual Fund Families: Evidence on Strategic Cross-fund Subsidization”, Journal of Finance, 1, 73-104.

Ajay Khorana and Henri Servaes, 1999, “The Determinants of Mutual Fund Starts”, Review of Financial Studies 5, 1043-1074.

Vikram Nanda, Zhi-Jay Wang, and Lu Zheng, 2004, “Family Values and the Star Phenomenon”, Review of Financial Studies 17, 677-698.

Shean-Bii Chiu and Ching-Pei Lin, 1999, “Mutual Funds Classification Schemes and Performance Persistence”, Journal of Financial Studies 2, 63-88.

Erik R. Sirri and Peter Tufano, 1998, “Costly Search and Mutual Fund Flows”, Journal of Finance 5, 1589-1622.

Pei-Gi Shu, Yin-Hua Yeh, and Takeshi Yamada, 2002, “The Behavior of Taiwan Mutual Fund Investors- performance and fund flows”, Pacific-Basin Finance Journal 10,583-600.

Russ Wermers, 2000, “Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Cost, and Expenses”, Journal of Finance 4, 1655-1695.

Judith Chevalier and Glenn Ellison, 1997, “Risk Taking by Mutual Funds as a Response to Incentives”, Journal of Political Economy 6, 1167-1200.

Keith C. Brown, W. Van Harlow, and Laura T. Starks, 1996, “Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry”, Journal of Finance 1, 85-110.



Edwin J. Elton, Martin J. Gruber, and Christopher R. Blake, 2001, “A First Look at the Accuracy of the CRSP Mutual Fund Database and a Comparison of the CRSP and Morningstar Mutual Fund Databases’, Journal of Finance 6, 2415-2430.

Prem C. Jain and Joanna S. Wu, 2000, “Truth in Mutual Fund Advertising: Evidence on Future Performance and Fund Flows”, Journal of Finance 2, 937-958.

Michael J. Barclay, Neil D. Pearson, and Michael S. Weisbach, 1998, “Open-End Mutual Funds and Capital Gains Taxes”, Journal of Financial Economics 49, 3-43.

Thomas H. Goodwin, 1998, “The Information Ratio”, Financial Analysts Journal 54, 34-43.

Kenneth R. Arteaga, Conrad S. Ciccotello, and C. Terry Grant, 1998, “New Equity Funds: Marketing and Performance”, Financial Analysts Journal 54, 43-49.

Jerry Tweddell, 2002, “Capturing the New Fund Glow”, On Wall Street, 60-61.

Jay R. Ritter, 1991, “The Long-Run Performance of Initial Public Offerings”, Journal of Finance 1, 3-27.

Ilan Guedj and Jannette Papastaikoudi, 2004, “Can Mutual Fund Families Affect the Performance of Their Funds”, working paper.

Ajay Khorana and Henri Servaes, 2005, “Conflicts of Interest and Competition in the Mutual Fund Industry”, working paper.

Jonathan Retuter, 2005, “Are IPO Allocations for Sale? Evidence from Mutual Funds”, working paper.

Robert Kosowski, Allan Timmermann, Russ Wermers, and Hal White, 2006, “Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis”, Journal of Finance, Forthcoming.

Craig H. Wisen, 2002, “The bias associated with new mutual fund returns”, working paper.
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