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研究生:蔡宛容
研究生(外文):Tsai, Wan-Jung
論文名稱(外文):Investment Strategies and Fund Performance During the 2007-2009 Financial Crisis
指導教授:黃介良黃介良引用關係
口試委員:沈中華黃介良許志成
口試日期:2014-06-04
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融研究所
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:2014
畢業學年度:102
語文別:英文
論文頁數:84
中文關鍵詞:投資策略共同基金表現
外文關鍵詞:investment strategymutual fund performance
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In this paper, we focus on “aggressive growth” category to investigate the relationship between investment strategies and mutual fund performance. We separate entire data period, from March 2003 to March 2009, into before and during financial crisis. We use CAPM model and Fama-French three-factor model to calculate the excess return of mutual funds, we find that no matter which period, all of the estimated excess return is significant negative in both models, that implies the aggressive growth mutual funds can’t beat the market.
Besides, we use momentum and contrarian investment strategies, compared each stock selected with its benchmark, including top thirty and top fifty percent stocks listed on NYSE, AMEX, and NASDAQ in United States, to investigate mutual fund performance. The results show that momentum and/or contrarian investment strategies significantly contribute to the aggressive growth mutual fund performance before and during financial crisis. The relationship between aggressive growth mutual fund performance and momentum investment strategies is positive. Conversely, the relationship between aggressive growth mutual fund performance and contrarian investment strategies is negative.
We divide momentum investment strategies into buying past winner and selling past loser. And also divide contrarian investment strategies into buying past loser and selling past winner. We find that the selling past loser strategies in momentum investment strategies significantly positive affects aggressive growth mutual fund performance, and the buying past loser strategies in contrarian investment strategies significantly negative affects aggressive growth mutual fund performance.
In order to conduct sensitivity test, we add fund characteristics, including Holdings Number, Manager Tenure, Turnover Ratio, Expense Ratio, and Net Assets, into our models. After adding fund characteristics, the effect on momentum investment strategies disappears, and the effect on contrarian investment strategies is still significant during financial crisis. To conduct robustness tests of investment strategies, we use multi-dimension criteria to define the past returns, No matter which investment strategies and which criteria is chosen, the results still remain.
Therefore, we provide the evidence that momentum investment strategy effectively influence mutual fund performance only before financial crisis, contrarian investment strategy effectively influence mutual fund performance before and during financial crisis. Specially, value strategies, buying or selling past loser, are the most important strategies to contribute aggressive growth mutual fund excess return. We suggest that fund managers should change their investment strategies to keep mutual fund performance during economic recession period.

CONTENTS

1. Introduction 1

2. Literature Review 4

2.1. Mutual Fund Performance 4

2.2. The Fund Characteristics and Fund Performance 7

2.3. Investment Strategy and Fund Performance 10

3. Data and Research Design 13

3.1. Data 13

3.2. Research Hypotheses 16

3.3. Evaluation of Investment Strategy 18

3.4. Evaluation of Mutual Fund Performance 23

4. Empirical results 25

4.1. Summary Statistics of Aggressive Growth Mutual Fund 25

4.2. Risk Adjusted Performance 28

4.3. Investment Strategies and Fund Performance 31

5. Robustness Tests 50

6. Conclusion 72

Reference 75

Appendix 78

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