| Summary: | 碩士 === 輔仁大學 === 管理學研究所 === 95 === Private-placing fund in the past decade has soon become a booming phenomenon attracting affluent investors who poured money into it for seeking various investment opportunities on one hand and for bypassing governmental restriction on the other. How astonishing is to find that there is sparse literature discussing the investment behavior of private-placing fund managers in the sense of whether they are capable of making profits for their clients? Moreover, what might be the source of their capability if they are able to beat the benchmark?
Referring to the characteristics-based model proposed by Daniel et al. (1997) and Wermers (2000), we investigate the investment behavior and performance measure of a certain private-placing fund manager. The capability of fund managers is decomposed into characteristics selectivity and characteristics timing. Two set of benchmarks are constructed as follows: matching by industry and equity size and matching by equity size only. The results show that the case private place fund manager is characterized as having selectivity while not timing capability. Moreover, the selectivity is more pronounced in the quarter-end months, that is probably due to their private assessment of inside financial information and therefore engage in zealous trading before information disclosure. Furthermore, the selectivity on long-lapse listed firms is significantly higher than the selectivity on short-lapse listed firms. Finally, either selectivity or timing, the short-duration trades are much better than the long-duration trades.
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