| Summary: | 碩士 === 國立臺灣大學 === 國際企業學系 === 85 === This study investigates (1) the short-term price impact of
mutual funds'' net
purchases and net sales on securities traded in the Taiwan Stock
Exchanges (TSE), (2)
the long-windowed performance of these funds and (3) whether
potential strategic factors help explain mutual
funds'' poor performance.
To explore the extent of short-term impact, I conduct both
portfolio analysis and VAR to test whether mutual
fund''s net purchases affect security returns. As to the
long-windowed study, I build hypothesized buying and selling
group portfolios based on the mutual funds'' sign of
month-end holding changes, deriving and examining
differential cumulative return measures for the period prior to
and for the period subsequent to the holding
percentage changes. Specifically, I document market timing
and selection abilities of the funds within various investment
horizons. My short-windowed results
show that prior-period net purchases has no explanatory
power to individual stock returns, market returns and market
returns volatility. Consistently, the long-
windowed tests demonstrate that mutual funds fail to outperforms
the market.
This study further explores whether potential strategic factors
help explain mutual funds'' poor performance. Mutual
fund managers act as agents for other parties in their
investment decisions. And yet there may exist two incentive
problems. First, the managers may have incentives to
window dress by selectively shifting their portfolios at month-
ends to change potential investors'' perceptions pertaining
the funds. Second, it is often alleged that Taiwan''s close-
end fund managers keep their net asset values from soaring,
thereby maintaining the funds'' closed status. Via
regression analyses, I further examine whether these two
factors serve to explain domestic funds'' cumulative returns.
Nevertheless, I find no corroborative evidence that
supports our allegation.
|
|---|
