Title page for etd-0711112-151829


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URN etd-0711112-151829
Author Pi-Fei Hsieh
Author's Email Address No Public.
Statistics This thesis had been viewed 5096 times. Download 15 times.
Department Finance
Year 2011
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title A Study on the Factors of Performance Persistence of the Open-end Mutual Fund in Taiwan
Date of Defense 2012-06-25
Page Count 72
Keyword
  • Time of Establishment
  • Score of Monitoring Indicator
  • Net Asset Value
  • Panel Data
  • Performance Persistence
  • Abstract Recent studies have reported that open-end fund has its performance persistence. However, those studies didn’t mention the factors of performance persistence. Therefore, investors knows the character of the types of fund, but unable to determine which individual fund have the character given the type of fund. The main purpose of this study is to provide investors a new way to select funds. First, investors can select high performance funds in the past period and aim to pick the individual funds which fit the character of high performance persistence.
      This study is divided into two parts. In first part, the researcher use Spearman's Rank Correlation Coefficient Test to examine the existence of performance persistence. In second part, the study aims to use Panel Data Analysis to examine the impact of 10 factors on the performance persistence in different type of funds, and periods. Samples in the study are chosen from 160 Taiwan open-end equity funds during 2004-2011. The return rate data is rolling data. In order to remove the difference of the risks of the funds, simple return rates were transferred into Jensen’s Alpha.
      The conclusions are shown as below:
    1. In short term, Time of Establishment often has a positive effect on fund performance persistence.
    2. In short term, Net Asset Value often has a negative effect on fund performance persistence. In long term, net asset value often has a positive effect on fund performance persistence.
    3. In short and middle term, Average Investment Amount always has a positive effect on fund performance persistence.
    4. Almost in all type of funds and all periods, Stock Holding Rate has a negative effect on fund performance persistence.
    5. Almost in all type of funds and all periods, The Score of Monitoring indicator has a negative effect on fund performance persistence.
    Advisory Committee
  • Jen-Jsung Huang - chair
  • Chou-Wen Wang - co-chair
  • Hsiou-Jen Kuo - advisor
  • Files
  • etd-0711112-151829.pdf
  • Indicate in-campus at 5 year and off-campus access at 5 year.
    Date of Submission 2012-07-11

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