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研究生:丁嫚儀
研究生(外文):Man-Yi Ting
論文名稱:基金排名與基金家族策略:基金家族是否依據基金排名採行差別策略?
論文名稱(外文):Fund Rankings and Fund Family Strategies: Do Fund Families Take Discrepancy Strategies Based on Fund Rankings?
指導教授:洪碧霞洪碧霞引用關係
指導教授(外文):Pi-Shia Hung
口試委員:黃永成陳瑞璽
口試委員(外文):Yong-Cheng HuangRui-Xi Chen
口試日期:2014-07-28
學位類別:碩士
校院名稱:國立暨南國際大學
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:2014
畢業學年度:102
語文別:英文
論文頁數:51
中文關鍵詞:基金排名基金家族基金特性基金績效持續性
外文關鍵詞:Fund rankingFund familyFund characterFund performance persistence
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本文探討基金家族對於不同排名的基金在基金流量、費用與績效方面是否會採行不同的家族策略。結果發現,基金家族會將高排名的基金帶來的流量和績效與低排名的基金分享,進而使得高、低排名的基金在流量與績效方面差距縮小。然而,對於高排名的基金,基金家族則是採取先降價再抬高價格的策略,使得基金費用在基金排名的三個月後正顯著影響基金排名,此效果可以持續至基金排名後的一年。基金家族此項策略也會使得高排名的基金其基金費用比低排名的基金高出許多,此效果也可持續至基金排名後的一年。
This study first investigates what drives the fund rankings within the fund families and within the financial market? We then examine whether past fund rankings influence future fund fees, flows or performance? Finally, this study furthermore explore whether fund families take discrepancy strategies toward their high- versus low-ranking member funds? Our results show the fund fees are negatively correlated to the percentile rank. Funds belonging to younger families perform better in the financial market. Fund families might strategically change the fund fees to attract more fund investors. Furthermore, regardless of performance measures, fund rankings are positively correlated with the 1-, 3- and 6-month post-ranking cumulative performance. Finally, fund families tend to charge higher-level fund fees to maximize the overall benefit of the fund families. Our evidence also confirms spillover effects in terms of fund flows and performance.
Contents
Acknowledgement……………………………………………………………………Ⅰ
Chinese Abstract…………………………………………………………………………………Ⅱ
English Abstract…………………………………………………………………………………Ⅲ
Content…………………………………………………………………………………………………………Ⅳ
Tables……………………………………………………………………………………………………………Ⅵ
1. Introduction……………………………………………………………………………………1
2. Literature review………………………………………………………………………3
2.1 Fund Characters and Fund Performance…………………………………………3
2.2 Performance Persistence………………………………………………………………………………5
2.3 Spillover Effects and Crowding-out Effects………………………………………6
2.4 Fund Family Strategies………………………………………………………7
3. Data and Methodology……………………………………………………………………8
3.1 Data………………………………………………………………………………………8
3.2 Related Variables………………………………………………………………9
3.2.1 The Characteristics of Mutual Funds…………………………………………9
3.2.2 The Characteristics of Fund Families…………………………………………11
3.3 Methodology………………………………………………………………………12
4. Empirical Results………………………………………………………………………………15
4.1 Summary Statistics………………………………………………………………………15
4.2 The determinants of fund rankings…………………………………………………16
4.3 Fund and family Fee Regression………………………………………………17
4.4 Fund and Family Flow Regression…………………………………………………………………18
4.5 Fund and Family Performance Regression………………………………………19
4.6 Testing for the Discrepancy Strategies of Fund Family……………………………22
5. Conclusions……………………………………………………………………………23
Reference…………………………………………………………………………………………25

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