The Relationship between Cash Flows and Performance of Open－End Mutual Funds in Taiwan.

• Main Authors: Ya-Ling,Chen, 陳雅羚
• Other Authors: Dr.Yeong-Jia,Goo
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/85723347993680787784

碩士 === 國立臺北大學 === 企業管理學系 === 89 === The studies by Alan Popa had found a significant effect of performance on fund growth since 1960. A number of recent papers have looked at the relationship between the inflow of new investment into mutual funds and their past performance. But most of the academic researches on domestic mutual funds are focus on the topics such as stock selection, and timing strategy. When the investment in mutual funds is expected to grow, the questions about the movement of cash flows have become more and more important. This thesis studies the open-end equity mutual funds for the period of January, 1998 to February, 2001 in Taiwan. In order to solve the heteroscedasticity in the horizontal phase and the autocorrelation in the vertical at the same time, the paper used time-series/cross-section pooling regression model as the empirical model. We examine four commonly used performance measures that require inputs that are readily available to investors：raw returns, Jensen’s alpha, the Sharpe measure, and the Treynor-Black measure. The empirical results of this thesis are summarized as follows： 1、 We found that net new fund investment is positively related to the past fund performance with a strong degree, no matter for historical performance or risk-adjusted excess return. 2、Among the alternative performance measures examined in this paper, we show that the Sharpe measure best predicts future investment flows. 3、(1)In this paper, the coefficient of the logarithm of the size variable is significant and positive, implying that larger funds grow more quickly. (2)Some market segmentation also appears to exist. Investors in type 2,3 and 4 have more movement of cash flows. In other words, most investors are interested in type 2,3 and 4 funds. (3)Our main concern in this paper has been with the way in which consumers evaluate risk in deciding upon which funds to invest. We found that the risk is positively related to the fund flows with a strong degree.